Global Integration of Indian Stock Market

Abstract

The present paper endeavors to empirically investigate the long run equilibrium relationship between the stock market of lndia, U.S., China, Singapore and Germany with special emphasis on evaluating the influence of U.S. based global financial crisis (2008) on this long run relationship. This exercise is based on the monthly closing data of the stock market indices for all the selected countries. Single equation Engle-Granger co-integration approach has been applied to examine one to one relationship of lndian stock market with the stock markets of other countries. The influence of U.S. financial crisis (2008) has been seen with the help of dummy variables. Apart from single equation analysis, another approach called multivariate approach given by Johansen and Juselius(1988,1991) is employed to study long run relationship among all the stock markets which suggests that co-movements of stock prices among the selected countries has increased after the 2008 financial crisis.