Financial markets interdependence in India: an empirical analysis
by Parminder Kaur; Harman Arora
International Journal of Economics and Business Research (IJEBR), Vol. 16, No. 4, 2018

Abstract: Very few studies have been conducted on the subject of mutual interdependence among domestic financial markets in developing countries like India. This paper aims to investigate the level of correlation and co-integration among the different financial markets in India. An empirical study has been done to analyse the extent of interdependence among the stock market, currency market, government bonds and commodity market. The time-series data were obtained for the period ranging from 2000 to 2015 from the stock market indices of NSE, government bonds and currency index (USD/INR), but for commodity index, it was computed by using simple weighted average mean. Later for the purpose of empirical investigation, statistical tools like co-integration test were done using e-views to study the long-term associations between the variables. The Granger causality is used to examine the causality among the different variables. The data was also checked against auto-correlation, stationary and unit roots.

Online publication date: Thu, 13-Sep-2018

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