This Article Full Text (PDF) References Alert me when this article is cited Alert me if a correction is posted Services Email this article to a friend Similar articles in this journal Alert me to new issues of the journal Add to Saved Citations Download to citation manager Add to My Marked Citations Citing Articles Citing Articles via Google Scholar Citing Articles via Scopus Google Scholar Articles by Madhusoodanan, P.R. Articles by Kumar, H. V. Search for Related Content Social Bookmarking                         What's this?

An Empirical Verification of Cointegration and Causality in Indian Stock Markets

A Case of BSE and NSE

P.R. Madhusoodanan (corresponding author) is Manager, Research and Planning Division, Export–Import Bank of India, Mumbai. Email: madhusoodan_pr{at}yahoo.co.in

Hareesh V. Kumar

Hareesh V. Kumar is Lecturer, Department of Management Studies, School of Management, Central University of Pondicherry. Email: skhkvk{at}yahoo.co.in

The study examines the empirical validity of cointegration and causality between the two dominating Indian stock markets: the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE). The daily closing values of the BSE Sensex and the NSE Nifty indices are retrieved from the PROWESS online database maintained by the Centre for Monitoring Indian Economy (CMIE). The study covers a period of nine years spanning from 1 January 1997 to 31 December 2005. The analysis reveals the existence of market integration between the BSE and the NSE. This demonstrates information dissemination between these two markets. The study further confirms the role of NSE as a dominating factor over BSE.

Key Words: JEL: G14 • JEL: C32 • Johansen's Cointegration • Market Efficiency • Market Integration • Stock Market • Vector Error Correction Model

South Asia Economic Journal, Vol. 9, No. 1, 159-172 (2008)
DOI: 10.1177/139156140700900107


CiteULike    Complore    Connotea    Del.icio.us    Digg    Reddit    Technorati    Twitter    What's this?