AN ANALYSIS OF CAUSALITY AND COINTEGRATION AMONG NIFTY BANK INDEX, PUBLIC AND PRIVATE SECTOR BANKS SHARE PRICES OF INDIA.

Authors

  • Dr. Santoshkumar Jaipuria School of Business, Ghaziabad
  • Dr. Lalit Kumar Sharma Jaipuria School of Business, Ghaziabad
  • Dr.Rajender Kumar Professor, Department of Commerce, Rajdhani College, DU

Keywords:

Bank Nifty, Johansen Cointegration, Granger Causality, VAR, Impulse Response

Abstract

The current paper examines the long run and short run relationship between the bank nifty and other public and private sector banks listed on NSE. market and banking sector. Bank nifty is a major index on NSE. The data was collected from the official website of National Stock Exchange and invtesing.com. The nature of data used for the purpose is secondary. An empirical analysis using everyday data is conducted for 730 days, starting from 2nd January 2017 to 31st December 2019. Descriptive statistics, Unit root Test, Johansen Cointegration test, Granger Causality Test, Cointegration analysis and Impulse Response function are applied as major methodologies for analysis. Augmented Dickey Fuller Tests is applied to examine stationarity of all the variables, it was found that all the variable series were non stationary. JohnsenCointegration analysis shows that there is no long-term relationship among the variables. Granger Causality /Block Exogeneity test is used to identify the short run relationship and found RET BANK NIFTY, RET HDFC, RET KOTAK and RET ICICI have short run relationship. Impulse response function was also used to check the impact of one shock on another variables.

Downloads

Download data is not yet available.

References

Ahmed, W. M. A. (2011). Munich Personal RePEc Archive Comovements and Causality of Sector Price Indices: Evidence from the Egyptian Stock Exchange Comovements and Causality of Sector Price Indices: Evidence from the Egyptian Stock Exchange.

Asaolu, T. O., &Ilo, B. M. (2012). The Nigerian Stock Market and Oil Price : A Cointegration Analysis. Kuwait Chapter of Arabian Journal of Business and Management Review, 33(834), 1-16.https://platforrn.almanhal.corn/GoogleScholar/Details/?ID=2-37745

Baranidharan, S. (n.d.).IPE Journal of ManagEMEntT he Dynamic Long-run and Short-run Linkages between Exchange rates and bSE Sensex return IPE Journal of Management (Vol. 6, Issue 2).2019, from https://search.proquest.com/openview/e9fdc44c710af4e26de10c7c881ee3al /1?pqorigsite=gscholar&cbl=2030552

Retrieved July 25,

Bhunia, A. (2012). Association between Crude Price and Stock Indices: Empirical Evidence from Bombay Stock Exchange. In Journal of Economics and Sustainable Development www.iiste.org ISSN (Vol. 3, Issue 3).Online, www.iiste.org

Butt, S. Z., & Ur Rehman, B. (2011).Comovement Between Emerging and Developed Stock Markets: An Investigation Through Cointegration Analysis. In World Applied Sciences Journal (Vol. 12, Issue 4). https://ro.uow.edu.au/buspapers/1560

Engle R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of the United Kingdom inflation. Econometrica, 50(4), 987-1007

Lodha, S. (2017).A Cointegration and Causation Study of Gold Prices, Crude Oil Prices and Exchange Management.

https://web.b.ebscohost.com/abstractdirect=true&profile=ehost&scope=site&authtype=crawler&jrnl=0972916X&AN=122924917&h=Rm%2BRMzA9zGm%2FyRoGWD%2BteNDEelUAF07Nqp6 FvjPfQk3QjDb8tgPBzVs4PBA6B5T67kwHuoGjGfeDo0soUvRLAA%3D%3D&crl=c&resultNs=A dminWebAuth&resultLo

Rates.IMP Journal of Financial Risk Mahadevan, S., &Sriram, M. (2015).Dynamic Linkages between BSE Sensex and Crude Oil Price-An

Empirical Study in Indi&.International Journal of Information, Business and Management, 7(4). https://www.researchgate.net/publication/286439669

Noor, M. A., Motasim, M., Khan, A., Khan, M. A., &Asif Khan, M. (2014). Co-movement Analysis among different Sectors of Indian Stock Market: Co-movement Analysis among different Sectors of Indian Stock Market Co-movement Analysis among different Sectors of Indian Stock Market.

International Journal of Research ( IJR), 7(4).Pramod Kumar, N., & Puja, P. (2012).The impact of Macroeconomic Fundamentals on Stock Prices

revisited: An Evidence from Indian Data , https://mpra.ub.uni-muenchen.de/38980/

Downloads

Published

2022-09-30

How to Cite

Dr. Santoshkumar, Kumar Sharma, D. L. ., & Kumar, D. R. . (2022). AN ANALYSIS OF CAUSALITY AND COINTEGRATION AMONG NIFTY BANK INDEX, PUBLIC AND PRIVATE SECTOR BANKS SHARE PRICES OF INDIA. The Journal of Contemporary Issues in Business and Government, 28(3), 860–880. Retrieved from https://cibgp.com/au/index.php/1323-6903/article/view/2421

Issue

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

Section

Articles

License

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

You are free to:

  1. Share — copy and redistribute the material in any medium or format for any purpose, even commercially.
  2. Adapt — remix, transform, and build upon the material for any purpose, even commercially.
  3. The licensor cannot revoke these freedoms as long as you follow the license terms.

Under the following terms:

  1. Attribution — You must give appropriate credit , provide a link to the license, and indicate if changes were made . You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use.
  2. No additional restrictions — You may not apply legal terms or technological measures that legally restrict others from doing anything the license permits.

Notices:

You do not have to comply with the license for elements of the material in the public domain or where your use is permitted by an applicable exception or limitation .

No warranties are given. The license may not give you all of the permissions necessary for your intended use. For example, other rights such as publicity, privacy, or moral rights may limit how you use the material.