Cointegration of Indian Stock Market with Global Stock Markets – An Empirical Analysis

Abstract

The interdependence of the Indian stock market with global markets underscores the significance of global forces in influencing investment choices and market dynamics. In order to make well-informed decisions and efficiently manage risks, investors must keep an eye on economic developments in their countries as well as in other countries. The present study aims to understand the degree of cointegration of Indian stock market with the selected stock markets of Europe, Asia and US. In this study the major nine global indices have been studied covering the span of 21 years and analyzed by using multivariate regression model. The study found the high degree of cointegration of Indian stock market with the markets of US, Hongkong, Japan and London and low degree of cointegration with stock market of China.