Sensex and Whole Sale Price Index of India:Are they Integrated?

This study empirically assesses the relationship between daily closing price of Sensex, a leading stock index of India and whole sale price index of India. The study has used co-integration test to check the relationship. The study has covered data from both pre and post reforms period of Indian economy and it has decomposed the whole sale price index into expected and unexpected parts. The study has proved that neither whole sale price index nor any of its form can influence the sensex price in any of the periods.