Cointegration of Indian stock markets with other leading stock markets

Abstract

Purpose

One of the anxieties of stock market investors is whether the markets operate efficiently, independently and with sound fundamentals. This concern is also held by academics and practitioners for quite some time. However, real market situation tends to exhibit a link as is evident from recent market movements across the world. The purpose of this paper is to examine whether the stock markets in the Indian subcontinent have any link with the major stock markets from China, Singapore, America, and Hong Kong.

Design/methodology/approach

The paper uses Engle Granger test of cointegration.

Findings

The paper finds that the Indian markets are related to some of the markets around the world.

Originality/value

The paper offers insight into the cointegration of Indian stock markets with other leading stock markets.

Citation

Rajiv Menon, N., Subha, M.V. and Sagaran, S. (2009), "Cointegration of Indian stock markets with other leading stock markets", Studies in Economics and Finance, Vol. 26 No. 2, pp. 87-94. https://doi.org/10.1108/10867370910963028