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

Sangita Choudhary () and Shelly Singhal ()
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Sangita Choudhary: BML Munjal University
Shelly Singhal: Chitkara University

Journal of Asset Management, 2020, vol. 21, issue 4, No 4, 333-341

Abstract: 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.

Keywords: Indian stock market; Panel co-integration; Equity market linkages; High-frequency data; Granger causality (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1057/s41260-020-00165-2

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