ICTACT Journal on Management Studies

Open Access Open Access  Restricted Access Subscription Access
Open Access Open Access Open Access  Restricted Access Restricted Access Subscription Access

A Study on Integration of Stock Markets: Empirical Evidence from National Stock Exchange and Major Global Stock Markets


Affiliations
1 Department of Commerce, School of Management, Pondicherry University, India
2 School of Management Studies, Bannari Amman Institute of Technology, India
     

   Subscribe/Renew Journal


This study empirically examines the co integration of the Indian stock market with special reference to National Stock Exchange, with the major stock exchanges in the world. The study of the existence of interlink ages among international capital markets has considerable implications on determining the extent of portfolio diversification as well as macroeconomic policies of individual countries. The changing conditions in the international stock market have led global investors to think of other leading market which offers immense returns. Asian Markets have emerged as desired investors centre for the global players. However, their movement is also subject to the volatility prevailing in the international markets. The results of Johansen cointegration test confirmed the existence of long term relationship between NSE Nifty and other indices of major stock exchanges in the world.

Keywords

Stock Market Integration, Long Run Relationship, Global Stock Markets, Johansen Cointegration Test and Granger Causality Test.
Subscription Login to verify subscription
User
Notifications
Font Size

  • Gabriela-Victoria Anghelache and Andreea Negru Ciobanu, “Correlating Stock Exchange Indices under both Normal and Financial Crisis Conditions”, Theoretical and Applied Economics, Vol. 19, No. 11, pp. 75-84, 2012.

  • Gail Ncube and Kapingura Forget Mingiri, “Stock Market Integration in Africa: The case of Johannesburg Stock Exchange and Selected African Countries”, International Business and Economic Research Journal, Vol. 14, No. 2, pp. 367-372, 2015.

  • Nupur Gupta and Vijay Agarwal, “Comparative Study of Distribution of Indian Stock Markets with other Asian Stock Markets”, International Journal of Enterprise Computing and Business Systems, Vol. 1, No. 2, pp. 1-20, 2011.

  • Alexandra Horobet, Lucian Belascu and Roxana Georgiana Olaru, “Integration of Capital Markets from Central and Eastern Europe: Implications of EU Investors”, Expert Journal of Finance, Vol. 2, No. 2, pp. 1-9, 2014.

  • Debjiban Mukherjee, “Comparative Analysis of Indian Stock with International Market”, Great Lakes Herald, Vol. 1, No. 1, pp. 39-71, 2007.

  • Sakshi Saxena and Neetu Chadha, “BSE Vs NASDAQ”, SCMS Journal of Indian Management, Vol. 12, No. 2, pp. 64-73, 2015.

  • P. Srikanth and K. Aparna, “Global Stock Market Integration-A Study on selected World Major Stock Markets”, International Journal of Public Administration And Management Research, Vol. 3, No. 1, pp. 3-17, 2012.

  • Shegorika Rajwani and Jaydeep Mukherjee, “Is the Indian Stock Markets co-integrated with Asian Stock Markets”, Management Research Review, Vol. 36, No. 9, pp. 899-918, 2013.

  • M.V. Subha and T. Nambi, “A Study on Cointegration between Indian and American Stock Markets”, Journal of Contemporary Research in Management, pp. 105-113, 2010.

  • Shalini Talwar and Nupur Gupta- Bhattacharya, “Tiger Economies: Asian Scene”, SCMS Journal of Indian Management, Vol. 2, No. 2, pp. 55-63, 2015.

  • Vanita Tripathi and Shruti Sethi, “Integration of Indian Stock Market with Major Global Stock Markets”, Asian Journal of Business and Accounting, Vol. 3, No. 1, pp. 117-134, 2010.

  • Zhang Dengjun, “Interdependence between Nordic Stock Markets and Financial Cooperation”, Review of Accounting and Finance, Vol. 14, No. 2, pp. 172-188, 2015.


Abstract Views: 408

PDF Views: 0




  • A Study on Integration of Stock Markets: Empirical Evidence from National Stock Exchange and Major Global Stock Markets

Abstract Views: 408  |  PDF Views: 0

Authors

Malabika Deo
Department of Commerce, School of Management, Pondicherry University, India
P. Arun Prakash
School of Management Studies, Bannari Amman Institute of Technology, India

Abstract


This study empirically examines the co integration of the Indian stock market with special reference to National Stock Exchange, with the major stock exchanges in the world. The study of the existence of interlink ages among international capital markets has considerable implications on determining the extent of portfolio diversification as well as macroeconomic policies of individual countries. The changing conditions in the international stock market have led global investors to think of other leading market which offers immense returns. Asian Markets have emerged as desired investors centre for the global players. However, their movement is also subject to the volatility prevailing in the international markets. The results of Johansen cointegration test confirmed the existence of long term relationship between NSE Nifty and other indices of major stock exchanges in the world.

Keywords


Stock Market Integration, Long Run Relationship, Global Stock Markets, Johansen Cointegration Test and Granger Causality Test.

References