Stock Market Interlinkages Of Indian and Other Global Indices

Abstract

The study investigates the correlation among the Indian stock market with that of other developed countries and has tried to explore the possibility of potential diversification benefits and how the movement of global indices affects the Indian stock market. In the present context, encompasses the aspect of interdependence or co-movements of stock index return across the national equity markets. Greater co-movements of prices in two different markets lag relationship across can be demonstrated as stronger inter linkages or integration between the two different stock markets. The leading indices of the selected stock markets are considered as proxies of the markets. Using the monthly Index data of 2009 authors examine the stock market indices of India (SENSEX), Hong Kong (HANGSENG) and US (DJIA). Correlation and t-test technique has been employed to study the relationships between the market pairs. The paper explores the significant correlation between SENSEX and DOWJONES, SENSEX and HANGSENG. Keywords: SENSEX, DOWJONES and HANGSENG.

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