Integration of Indian Stock Market with Major Global Stock Markets

This paper examines the integration of the Indian stock market with the stock markets of Japan, the United Kingdom, the United States and China over the period ranging from 1 January 1998 to 31 October 2008 using Johansen and Engle-Granger co-integration tests and Granger’s causality test. The analysis of daily data shows that the Indian stock market is integrated with the US stock market, but not with that of Japan, the UK and China. Unidirectional causality is found in most cases. The findings have important implications for investment and speculative decisions.