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Has the Global Financial Crisis Made India’s Stock Market More Independent?

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  • T G Saji

Abstract

This paper empirically examines the short-run as well as long-run relationship of the Indian stock market with the major developed markets of the world during the period 2005-13. The objective of the analysis is to decide whether the financial recession of 2008 offers better diversification benefits to global investors through equity investments in India. The empirical results of Granger causality test find causality from the developed markets to the Indian market in the short run during pre- and post-crisis days. However, Johansen’s cointegration methodology fails to provide evidence of price integration among markets after recession and now the long run price movement in the Indian stock market is not driven by factors common to other markets. These findings confirm further possibilities of diversification to global investors through their equity investments in India.

Suggested Citation

  • T G Saji, 2014. "Has the Global Financial Crisis Made India’s Stock Market More Independent?," The IUP Journal of Applied Finance, IUP Publications, vol. 20(4), pages 83-93, October.
    • Handle: RePEc:icf:icfjaf:v:20:y:2014:i:4:p:83-93
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    Cited by:

    1. T.G. Saji, 2022. "Stock market linkages in Asia. Revisiting Granger causality evidences," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(632), A), pages 151-168, Autumn.

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