INTEGRATION BETWEEN INDIAN STOCK MARKET AND DEVELOPED STOCK MARKETS

Authors

  • Dr. P. Subramanyam Head1, Department of Management studies, Annamacharya institute of technology and sciences, Rajampet, Andhra Pradesh
  • Mr. Joswa Stalin S Assistant Professor2, Department of Commerce and Management, Acharya Bangalore B School, Bangalore, Karnataka
  • Mr. Ashoka G Assistant Professor3, Department of Commerce and Management, Acharya Bangalore B School, Bangalore, Karnataka
  • Mr. Raghavendra K Assistant Professor, Department of Commerce and Management, Acharya Bangalore B School, Bangalore, Karnataka

Keywords:

Stock Market Integration, Stock Market Return, Portfolio Diversification, Johansen Cointegration Test, Granger Causality Test.

Abstract

The present study investigates the stock market integration amongst important global stock markets, namely, Australia, Canada, France, Germany, India, UK and USA to examine the shortrun and long-run relationships with Indian stock market and selected developed stock markets based on time series data for the period between 2001 (January 2) and 2021 (December 31). This study also examines the possibility of portfolio diversification between the Indian stock market and the developed stock markets. Low correlation is observed between Indian stock market and France stock market that indicates the possible gains from international diversifications. Johansen cointegration test confirms a precise long-term equilibrium connection amongst all the stock markets as a widespread strength. Granger causality test results based on VECM show that both Indian stock market and USA stock market are associated in the long-run but it would take long time to return to equilibrium and Indian stock market is associated with France, Germany and USA stock markets in the short-run, which entails that investors can earn reasonable benefits from international portfolio diversification in the short- run but benefits from international portfolio diversification in the long-run are restricted.

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Published

2022-09-30

How to Cite

Subramanyam, D. P. ., Stalin S, M. J. ., G, M. A. ., & K, M. R. . (2022). INTEGRATION BETWEEN INDIAN STOCK MARKET AND DEVELOPED STOCK MARKETS. The Journal of Contemporary Issues in Business and Government, 28(3), 318–331. Retrieved from https://cibgp.com/au/index.php/1323-6903/article/view/2378

Issue

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

Section

Articles

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