Integration of Indian Stock Market with Major Global Stock Markets
Year: 2010
Type: preprint
Abstract: This paper examines the integration of the Indian stock market with thestock markets of Japan, the United Kingdom, the United States and Chinaover the period ranging from 1 January 1998 to 31 October 2008 usingJohansen and Engle-Granger co-integration tests and Granger’s causalitytest. The analysis of daily data shows that the Indian stock market isintegrated with the US stock market, but not with that of Japan, the UKand China. Unidirectional causality is found in most cases. The findingshave important implications for investment and speculative decisions.
Source: SSRN Electronic Journal
Authors: Vanita Tripathi, Shruti Sethi
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2185057713