Co-integration Between Sensex and Other Popular Indices: A Decadal Study

Parul Bhatia and Hemalatha Ramasubramanian

FIIB Business Review, 2019, vol. 8, issue 2, 108-117

Abstract: Abstract We examine the inter-relationship between India, the USA, Japan, China, France, Dubai and Germany using multivariate co-integration techniques. The study has investigated co-movements between these world indices from 2009 to 2018. During this period, it was found using Johansen co-integration that these indices were co-integrated in the long run. However, in the vector error correction model, long-run causality could not be found. Thereafter with Wald-χ 2 diagnostics, it was found that short-run linkages existed among Indian and rest of the world markets in the study. Therefore, the seven indices may be concluded to have causal relationship in the short run and co-integrating association in the long run.

Keywords: Co-integration; VECM; causal linkages; indices; stock markets (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/2319714518817383 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:fbbsrw:v:8:y:2019:i:2:p:108-117

DOI: 10.1177/2319714518817383

Access Statistics for this article

More articles in FIIB Business Review
Bibliographic data for series maintained by SAGE Publications ().