Integration of Indian Stock Market with Major Global Stock Markets

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Vanita Tripathi
Shruti Sethi


This paper examines the integration of the Indian stock market with the
stock markets of Japan, the United Kingdom, the United States and China
over the period ranging from 1 January 1998 to 31 October 2008 using
Johansen and Engle-Granger co-integration tests and Granger’s causality
test. The analysis of daily data shows that the Indian stock market is
integrated with the US stock market, but not with that of Japan, the UK
and China. Unidirectional causality is found in most cases. The findings
have important implications for investment and speculative decisions.


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