Empirical Analysis of Cointegration of Indian Financial Markets with Other Markets

The main objective of the current study is to empirically examine the nature of cointegration of Indian markets with those of other developed markets. For the purpose of empirical estimation seven different economies have been selected. These include India, Franc Germany, Indonesia, Italy, Turkey and the UK. The index considered for all the countries is their respective Morgan Stanley Capital International (MSCI) index. MSCI has been considered in order to maintain the homogeneity across all the entire dataset. The time frame deployed is from January 5, 2009 to August 22, 2016. The results show the absence of cointegration of the Indian markets with the other markets considered. The only exception is Germany for which cointegration equation is found to be significant.