GLOBAL STOCK MARKET INTEGRATION - A STUDY OF SELECT WORLD MAJOR STOCK MARKETS

Abstract

The present study is being contemplated with the objective of studying the degree of stock market integration. In this study, month-wise average prices of BSE-Sensex, NYSE, NASDAQ, S&P500, HangSeng, Nikkei225, SSE Composite index  and FTSE100 have been selected. Multiple Correlations has been computed for the select stock market indices. Statistical Significance of the correlation has been tested by applying correlation t-test. The results of these studies support the view that there is a substantial integration between domestic and international financial markets. BSE-Sensex has witnessed greater fluctuations which has been indicated by very high Ce-efficient of variation compared to other select indices. Sensex, the Indian bench market index, has shown strong association with NYSE and Hang Seng. Chinese stock index i.e., SSE Composite index has exhibited strong correlation with BSE- Sensex and with Hang Seng.

Japanese stock index i.e., Nikkei225 has strong correlation with all the select indices except Sensex, HangSeng and SSE Composite index. The European index i.e., FTSE100 has exhibited strong correlation with all the US stock market indices and with Nekkei225, the Japanese stock market index.