Stock Market Integration: A Study of World’s Major Stock Exchanges with Special Reference to India

Yash Pal Taneja

Vision, 2012, vol. 16, issue 2, 109-120

Abstract: This article attempts to examine the short-and long-run relationship between major world financial markets taking Indian stock exchanges as a particular case. It covers the monthly data of major index returns for the period 1999 to 2010. The research methodology tools include Dickey-Fuller test, Augmented Dickey-Fuller (ADF) test as well as Phillips-Perrson (PP) test for testing of stationarity and use of VAR (Value at Risk) techniques like Granger Causality test and Cointegration test in order to find the cointegration among major world stock exchanges. The results find one way granger causality for S&P CNX 500 and two way granger causality for BSE Sensex. It shows the existence of significant long-run association of Indian stock markets with US, France, Japan, Taiwan and Singapore stock markets. It draws the attention of policy makers by asserting the influence exertion of US, Japan and France market factors over Indian financial market.

Keywords: Market Integration; Interdependency; Cointegration (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:sae:vision:v:16:y:2012:i:2:p:109-120

DOI: 10.1177/097226291201600204

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