Stock Market Integration: a Study of Linkages Between the Indian Stock Markets and American Stock Markets |

ABSTRACT:

In recent years, with the increase in globalization integration amongworld capital markets has increased. This increased interdependence among theworldwide stock markets affects global investors and their internationalportfolio allocation decision. It also affects the economic policies ofdifferent nations. Hence, there is need to study that whether Indian stockmarkets are integrated with the world stock markets or not. In this paper,stock market integration of Indian stock markets and American stock marketsover a period of January 2008 to January 2013, using monthly closing prices isanalyzed. Results of the study indicates that Indian stock markets areintegrated with the American stock markets.. The high degree of correlation andsimilarities in the graphic movement of BSE Sensex and DJIA has been observed.Granger causality between BSE Sensex and DJIA is not observed.