AN EMPIRICAL STUDY OF CO-INTEGRATION AND CASUAL RELATIONSHIP BETWEEN INDIAN CAPITAL MARKET AND BANKING SECTOR

Authors

  • Siddanagouda Policepatil Assistant Professor, NSB Academy, Bangalore, Karnataka, India
  • Dr. N Ramanjaneyalu Professor, Kousali Institute of Management Studies, Karnatak University, Dharwad, Karnataka, India

Keywords:

Banking sector, Nifty 50 index, ADF test, Engle granger causality test, Johansen co integration, Global markets

Abstract

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 bidirectional of the causality among the variables.

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Published

2022-09-30

How to Cite

Policepatil, S. ., & Ramanjaneyalu, D. N. . (2022). AN EMPIRICAL STUDY OF CO-INTEGRATION AND CASUAL RELATIONSHIP BETWEEN INDIAN CAPITAL MARKET AND BANKING SECTOR. The Journal of Contemporary Issues in Business and Government, 28(3), 126–136. Retrieved from https://cibgp.com/au/index.php/1323-6903/article/view/2363

Issue

Vol. 28 No. 3 (2022): The journal of contemporary issues in business and government

Section

Articles

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