Stock market co-integration: an investigation of South Asian countries

This Report investigated the integration of Asian stock exchanges and indicated the diversification opportunities for potential investors they provide in the long-term. This study examines the stock market co-integration between India and south Asian countries, whether they are co integrated to each other or not which will eventually be helpful for the individual investors along with corporate investors in selecting their investment area and portfolio diversification. If the stock markets have any co-integration than diversification may not be profitable. This Report empirically analyzes the phenomenon of co-integration amongst selected South Asian stock markets. Augmented Dickey Fuller (ADF), Co-integration and Granger Causality tests are applied on the data.