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

Dr. Ranjan Dasgupta
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Dr. Ranjan Dasgupta: Associate Professor MBA Department, Institute of Engineering & Management, Kolkata, India.

Indian Journal of Commerce and Management Studies, 2014, vol. 5, issue 1, 09-17

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.

Keywords: BSE SENSEX; SAARC Indices; JJ Cointegration test; Granger Causality test; Long-run and short-run relationships. (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:aii:ijcmss:v:5:y:2014:i:1:p:09-17

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