Print ISSN: 2204-1990

Online ISSN: 1323-6903

Keywords : Engle granger causality test


An empirical study of Co-integration and Casual relationship between Indian Capital Market and Banking Sector

Siddanagouda Policepatil , Dr. N Ramanjaneyalu

Journal of Contemporary Issues in Business and Government, 2022, Volume 28, Issue 3, Pages 126-136
DOI: 10.47750/cibg.2022.28.03.013

Global markets always plays key role on banking and financial sectors, this we have seen in
global financial crises 2008. Predicting the banking sector stocks along with Nifty index is
possibly one of the very toughest exercises in Indian Capital Markets. The present study focuses
on Short & Long term dynamics of the Banking industry in Indian capital market. The Banking
sector along with Nifty Index Regular closing monitory value is a sample to the analysis between
January 2015 and December 2021. In the paper, ADF test is embarked to examine immovability
of data and is evident that it is un-movable at initial difference level. The Johansen co-integration test of Johansen is applied to assess long-term balance of Nifty Index analysis with the Banking sector and to define the co-integration of the variables. Granger causality test is used to regulate causal & short-term relationship of the variables with the corresponding bidirect ional of the causality among the variables.