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Co-integration between India and major stock markets: evidence from the COVID-19 crisis

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Listed:
  • Shallu Batra
  • Amit Kumar Singh
  • Mohit Saini
  • Mahender Yadav
  • Vaibhav Aggarwal

Abstract

This study examines the co-integration between India and the five major selected nations (China, the USA, France, Germany and Japan) during 2014-2022. By dividing the sample period between the pre (2014-2019) and during the COVID-19 (2020-2022) and applying the Johansen Co-integration test and vector error correction model, our findings reveal that co-integration between India and the other five markets did not exist in pre-COVID-19; however, it is present during the COVID-19 period time. VECM also supports the argument by offering that, in the long run, significant fluctuations in the Indian market are explained by the other five markets. Through Wald-χ² diagnostics, we also found that India has a short-run relationship with the Chinese and Japanese markets. However, other stock markets did not cause fluctuations in the short run in the USA, German and Japanese markets.

Suggested Citation

  • Shallu Batra & Amit Kumar Singh & Mohit Saini & Mahender Yadav & Vaibhav Aggarwal, 2026. "Co-integration between India and major stock markets: evidence from the COVID-19 crisis," International Journal of Diplomacy and Economy, Inderscience Enterprises Ltd, vol. 12(4), pages 448-464.
    • Handle: RePEc:ids:ijdipe:v:12:y:2026:i:4:p:448-464
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