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Cointegration of Indian stock markets with other leading stock markets

Author

Listed:
  • N. Rajiv Menon
  • M.V. Subha
  • S. Sagaran

Abstract

Purpose - One of the anxieties of stock market investors is whether the markets operate efficiently, independently and with sound fundamentals. This concern is also held by academics and practitioners for quite some time. However, real market situation tends to exhibit a link as is evident from recent market movements across the world. The purpose of this paper is to examine whether the stock markets in the Indian subcontinent have any link with the major stock markets from China, Singapore, America, and Hong Kong. Design/methodology/approach - The paper uses Engle Granger test of cointegration. Findings - The paper finds that the Indian markets are related to some of the markets around the world. Originality/value - The paper offers insight into the cointegration of Indian stock markets with other leading stock markets.

Suggested Citation

  • N. Rajiv Menon & M.V. Subha & S. Sagaran, 2009. "Cointegration of Indian stock markets with other leading stock markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 26(2), pages 87-94, June.
    • Handle: RePEc:eme:sefpps:v:26:y:2009:i:2:p:87-94
    DOI: 10.1108/10867370910963028
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    Citations

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    Cited by:

    1. Rahim, Adam Mohamed & Masih, Mansur, 2014. "Portfolio Diversification Benefits of Islamic Stocks and Malaysia’s Major Trading Partners:MGARCH-DCC and Wavelet Correlation Approaches," MPRA Paper 58903, University Library of Munich, Germany.
    2. 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.
    3. Ahmad, Nasir & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Does inter-region portfolio diversification pay more than the international diversification?," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 26-35.
    4. Srinivasan Palamalai & Kalaivani M. & Christopher Devakumar, 2013. "Stock Market Linkages in Emerging Asia-Pacific Markets," SAGE Open, , vol. 3(4), pages 21582440135, November.
    5. Rahim, Adam Mohamed & Masih, Mansur, 2018. "Comovement of stock markets of Singapore and its major Asian trading partners," MPRA Paper 110319, University Library of Munich, Germany.
    6. repec:ire:issued:v:22:n:01:2019:p:85-110 is not listed on IDEAS
    7. P., Srinivasan & M., Kalaivani, 2013. "Stock Market Linkages in Emerging Asia-Pacific Markets," MPRA Paper 45871, University Library of Munich, Germany.
    8. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 4(1), pages 84-122, April.
    9. Amanjot Singh & Manjit Singh, 2017. "Conditional Co-Movement And Dynamic Interactions: Us And Bric Equity Markets," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 62(212), pages 85-112, January -.
    10. Rahim, Adam Mohamed & Masih, Mansur, 2016. "Portfolio diversification benefits of Islamic investors with their major trading partners: Evidence from Malaysia based on MGARCH-DCC and wavelet approaches," Economic Modelling, Elsevier, vol. 54(C), pages 425-438.
    11. Muhammad Hanif & Ariba Sabah, 2020. "Stock Markets’ Integration in Post Financial Crisis Era: Evidence from Literature," Capital Markets Review, Malaysian Finance Association, vol. 28(2), pages 43-71.
    12. Sulaiman T. Al-Abduljader, 2019. "Interdependence of Securitized Real Estate in Frontier Markets," International Real Estate Review, Global Social Science Institute, vol. 22(1), pages 83-108.
    13. Raza, Naveed & Ali, Sajid & Shahzad, Syed Jawad Hussain & Rehman, Mobeen Ur & Salman, Aneel, 2019. "Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models," Resources Policy, Elsevier, vol. 61(C), pages 210-230.
    14. Gagan Deep Sharma & Namish Mishra, 2015. "Return Linkages and Volatility Spillover Effect Between Stock Markets and Currency Markets," Review of Market Integration, India Development Foundation, vol. 7(3), pages 175-197, December.

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    Keywords

    Stock markets; India;

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