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
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.
Cross correlation test, Regression, Stock index, India
