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International linkages of Indian equity market: evidence from panel co-integration approach

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  • Sangita Choudhary

    (BML Munjal University)

  • Shelly Singhal

    (Chitkara University)

Abstract

The present study explores the linkages among Indian and six international stock market indices. High-frequency data (5 min) for a period of 1 year (June 2017–May 2018) are taken into account to assess short-term and/or long-term co-movement among seven world indices, namely NIFTY, DAX, DOW, CAC, EUROSTOXX, FTSE and S&P. The panel unit root test, panel co-integration test and panel Granger causality test are used to determine the association among selected markets. Results of the study provide evidence of significant co-integration among stock market indices in different countries. In the short term, the Indian stock market index is found to possess bidirectional causality with the US stock market indices, namely DOW and S&P. Additionally, no lead–lag relationship is found between NIFTY and the European stock market index. Findings of the study have important implications for investors, fund managers and portfolio investors.

Suggested Citation

  • Sangita Choudhary & Shelly Singhal, 2020. "International linkages of Indian equity market: evidence from panel co-integration approach," Journal of Asset Management, Palgrave Macmillan, vol. 21(4), pages 333-341, July.
    • Handle: RePEc:pal:assmgt:v:21:y:2020:i:4:d:10.1057_s41260-020-00165-2
    DOI: 10.1057/s41260-020-00165-2
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