UNRAVELING THE INTRICACIES OF THE INDIAN STOCK MARKET'S RELATIONSHIP WITH INTERNATIONAL FINANCIAL MARKETS

Abstract

The purpose of this research paper is to explore the linkage between the Indian stock market and international stock markets. The study uses data of daily closing prices over a period of ten years (01/01/2013 to 30/12/2022) to identify the extent of interdependence between the Indian stock markets (NIFTY AND SENSEX) and major global stock indices (SSE, HSI, DJIA, and FTSE). The linkages are modelled using Descriptive statistics, Correlation test, unit root tests (ADF test), Granger causality test and JJ Cointegration test. The correlation test results suggest that there is a strong negative correlation between the DJIA, NIFTY, and SENSEX indices, while HSI and SSE have weaker positive correlations with the other indices. FTSE has a moderate positive correlation with the other indices. Overall, it is found that there is some degree of long-term interdependence among these stock market indices.