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Cointegration and stock market interdependence: Evidence from India and selected Asian and African stock markets

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  • Tom JACOB

    (Christ College Autonomous, Irinjalakuda, India)

  • LITTLEFLOWER P. J

    (Christ College Autonomous, Irinjalakuda, India)

Abstract

This research aims to investigate the kind of link and potential long-term and short-term relationships between the stock market indexes of India and certain Asian and African nations. The stock market indexes of India, Indonesia, South Africa, Japan, Singapore, and China are studied using annual data from 2000 to 2021. There is a strong correlation between the stock markets. With a correlation coefficient ranging from 0.68 to 0.82, all nations have substantial correlations with the Indian stock market, with the exception of the Chinese stock market. Augmented Dickey-Fuller Test is used to determine whether the time series data is stationary or not, it is discovered that all values of the series are stationary at their level form. The Johansen Co-integration Approach is used to analyse the long-term linkages between the stock market indexes. The result demonstrated that the NSE Nifty and other key stock exchange indexes in Asian and African markets have a long-term relationship.

Suggested Citation

  • Tom JACOB & LITTLEFLOWER P. J, 2022. "Cointegration and stock market interdependence: Evidence from India and selected Asian and African stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(633), W), pages 133-146, Winter.
    • Handle: RePEc:agr:journl:v:4(633):y:2022:i:4(633):p:133-146
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    References listed on IDEAS

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