1Selection Grade, Lecturer in Commerce, Jayaraj Annapackiam College for Women, Periakulam, Tamil Nadu, India
2Vice Principal, Loyola College, Chennai, Tamil Nadu, India
Online published on 7 September, 2015.
In this study, we conducted a detailed large sample analysis of the dynamic relationship between India, U.S., Japanese, and Singapore stock markets on the time series data from April 2000 to March 2008 using Unit Root Tests, Cross – Correlation Test, EG ADF and Higher – Order Cointegration Test. The unit root test result suggests that these markets are weak form efficient. But the EG –ADF test result reveals that the Indian stock market is co- integrated with Singapore. But India is isolated from USA and Japan markets.
