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The Integration of Indian and SAARC Stock Markets – An Empirical Study

Author

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  • Dr. Ranjan Dasgupta

    (Associate Professor MBA Department, Institute of Engineering & Management, Kolkata, India.)

Abstract

This study has attempted to find out relationships between BSE SENSEX and four SAARC Indices, namely, KSE 100, DSE 20, CSE Milanka and NEPSE indices both in the long-run and short-run, by using suitable statistical methods and Monthly indices data from April, 2007 to March, 2012. ADF and PP tests results showed that all variables have contained a unit root and are integrated of order one. Johansen and Juselius’s cointegration test has pointed out at least one cointegration vector and long-run relationships between BSE SENSEX with some other markets. The Granger causality test has also found few short-run unilateral and bilateral causal relationships between BSE SENSEX with the SAARC indices.

Suggested Citation

  • Dr. Ranjan Dasgupta, 2014. "The Integration of Indian and SAARC Stock Markets – An Empirical Study," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 5(1), pages 09-17, January.
    • Handle: RePEc:aii:ijcmss:v:5:y:2014:i:1:p:09-17
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    References listed on IDEAS

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    Cited by:

    1. J. Vineesh Prakash & D. K. Nauriyal, 2021. "Integration and Interdependence Among Equity Markets in South Asia: Measuring Through ARDL Bounds Approach," Millennial Asia, , vol. 12(2), pages 229-251, August.

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