THE STUDY ON CO-MOVEMENT & INTERDEPENDENCY OF INDIAN STOCK MARKET WITH SELECTED FOREIGN STOCK MARKETS
Keywords:
Interdependence, Co movement, Granger causality test, CorrelationAbstract
Bombay stock exchange is one of the oldest markets in world. Various markets may have impact on each other. The Study was done to examine the causal relationship among equity markets to better understand how shocks in one market are transmitted to other markets. The study was done by taking stock price data of BSE, FTSE, Hangseng, JKSE, NIKKEI, CSE, SMI, SSE and TSEC Stock Market from 4/1/2001 to till 29/12/2011.The Correlation Shows that BSE is highly correlated with FTSE (96%), HANGSENG (95%), JKSE (95%), TSEC (87%), CSE (82%) & SSE (73%). The ADF Test revels that the null hypothesis of first difference of series of all indices cannot be accepted at 5% level and 10% significant level as t-statistic values are less than critical values. The granger causality test reveal that BSE is not affected by any of the selected market & BSE causes to FTSE, Hangseng, JKSE, CSE, and TSEC.It means that these markets are dependent on BSE.
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