Cointegration And Long Term Association Among Leading Stock Indices Of Developed And Developing Countries

Abstract

The research studies the long term association that is cointegration of Indian Stock Index with developed and developing countries indices. It also focuses on short term fluctuations in indices values and their tendency to bounce back to equilibrium in the long run and their effects on Indian stock market. The study  establishes long term relationship equation among considered nations indices using VECM model and Johansen Cointegration method is used to find cointegration. Finally, study indicates which developed and developing nation’s stock indices have significant impact on Indian stock market.