Dynamic Effects of US and Asian Markets on Indian Stock Market

India is one of the emerging markets in Asia and it is considered as an attractive investment destination by individual and institutional investors of national and international, private equity funds, etc. Globalisation has relative impact on movements of stock market valuations world wide with liberalised polices, free-flow of capital, advent of information technology, etc. Market indices indicate depth and potential of returns to attract participants. The motive of this paper is to analyse dynamic effects of the US, China and Hong Kong markets on Indian stock market. This study, using monthly prices of Dow Jones Industrial Average, Hang Seng, Shanghai composite and Nifty indices from April 2003 to October 2018, administered statistical techniques of correlation, co-integration and Vector Error Correction Model (VECM) models to understand long-run and short-run relationship on Indian stock market. This study using Johansen co-integration test found long-term association among Hang Seng, Shanghai, Dow Jones Industrial average and Nifty. Further, statistical analysis of granger causality found a short-run positive influence of Hang Seng (Hong Kong), Shanghai (China) and negative impact of DJIA (US) markets on Indian market. The findings shall be useful for portfolio managers, investors and traders to take market decisions.