An empirical study of Co-integration and Casual relationship between Indian Capital Market and Banking Sector
Journal of Contemporary Issues in Business and Government,
2022, Volume 28, Issue 3, Pages 126-136
10.47750/cibg.2022.28.03.013
Abstract
Global markets always plays key role on banking and financial sectors, this we have seen inglobal 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.
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