International Journal of Research in Social Sciences

  • Year: 2019
  • Volume: 9
  • Issue: 4

Co-Integration among Indian emerging and developed stock Markets: Impact of emerging and developed stock markets on Indian stock markets

  • Author:
  • R. Sarulatha1, B J Queensley Jeyanthi2
  • Total Page Count: 20
  • DOI:
  • Page Number: 469 to 488

1Research Scholar, Department of commerc, Jayaraj Annapackiam College for women, Periyakulam-625 601, Tamilnadu

2Associate Professor of Commerce, Jayaraj Annapackiam College for women, Periyakulam-625 601, Tamilnadu

Online published on 27 September, 2019.

Abstract

This research paper examined the cointegration among Indian emerging and developed stock markets such as India, China, Indonesia, Malaysia, South Korea, Japan, US and UK. The traditional test namely cross-correlation and the regression are employed to examine the co-integration among the markets. This empirical study is based on daily closing values of the stock markets from the period April 1, 2005 to March 31, 2015. The regression results proved that Indian Stock market is influenced by all the emerging and developed stock markets that are taken for study in short run. This study proves that Indian stock market is co-integrated with other stock markets in the short run.

Keywords

Cross correlation test, Regression, Stock index, India