Cointegration Of Indian And European Stock Market: The Research Of Diversification Opportunities

Abstract

In Accordance With The Weekly Data From 2009 To 2019, This Paper Investigates Whether There Is
Cointegration Relationship Between Sensex, Cac40, Dax, Euro Next100 And Ftse 100. It Showed That
There Were Cointegration Between Sensex, Cac40, Dax, Euro Next100 And Ftse 100.The Descriptive
Statistics Of The Test Showed That The Mean Return Of All The Selected Index Were Positive Other
Than Ftse 100 Index. The Empirical Evidence Also Revealed That The Data Were Stationary At First
Difference. It Was Confirmed Through Adf Test. After The Confirmation Of Cointegration Test
Through Johnson Test, Vecm Test Was Applied To Test Short Run And Long Run Causality Between
The Selected Variable. Finally It Was Concluded Long Run Causality Existed Only From Dependent
Variables Dax, Ftse100 To Independent Sensex Index.