Interlinkages between Indian and Chinese Stock Markets
Keywords:
ADF, Unit Root, Co-integration, indices, DiversificationAbstract
The integration of global stock markets has attracted attention of researchers. The existence of interlinkages among global stock markets has serious importance for international portfolio managers and policy makers. The study analyses the linkages between India and China. The stock indices used for study are SSE Composite Index for China and CNX Nifty for the Indian stock markets. The Daily Closing price levels of the benchmark indices in these countries are taken from the period of 1st April 2008 to 31st March 2015. By applying the ADF unit root test, Johnson’s cointegration Test, the study found that all markets are first differenced stationary and long run relationship exist among stock markets.
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