An Empirical study of the Co-integration of the Indian stock market with select Stock Exchanges

Smita Ramakrishna and Jayant Pansare
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Smita Ramakrishna: K. J. Somaiya Institute of Management Studies and Research, Maharashtra, India
Jayant Pansare: K. J. Somaiya Institute of Management Studies and Research, Maharashtra, India

Economics and Applied Informatics, 2017, issue 2, 5-10

Abstract: Fluctuations in the stock market can have an intense economic impact on the economy. This paper studies the inter-linkages between select stock markets. Daily closing levels of the benchmark indices are taken for a period of 15 years. The stationarity of the series has checked by applying line charts and unit-root test. Granger’s causality model and Vector Auto Regression (VAR) model are performed to identify the integration among the markets chosen for study. The series was found to be stationary. Granger’s causality indicated that there is a causation effect by some of the markets uni-directionally. The results of Granger Causality test indicate a unidirectional causality from the Indian Market to Canada and China. In the reverse direction, Korea causes movements in the Indian markets

Keywords: Stationarity; Granger’s Causality; Vector Auto Regression Model; Augmented-Dickey Fuller (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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