An Empirical Investigation of Co-Integration Between Sensex and the Selected World Stock Markets

Abstract

This study investigates the stock market integration amongst important global stock markets, namely, China, Japan, India, European Union, UK and USA for the period of 5 years between April 2013 and May 2018.The main objective for the present study is to test the co-integration of the major foreign stock markets and to find out the causal relationship among major selected stock markets and to assess the Interdependence of foreign stock markets and their impact on Indian stock exchange. Descriptive statistics reveals that BSE-Sensex is the quite uncertain market with high level of market return amongst all the developed stock markets as their standard deviation is higher. From the study it is found that there is a long run influence of world stock market on Indian stock market. Granger causality reveals that Indian stock market does not granger cause other stock exchanges and vice-versa.