Growth Indices and Their Co-integration: A Correlation Analysis

Dr. Supriyo Ghose

Professor & Chairperson, Digital Business and Analytics Area

Ghose,S., Iyengar,P., Raja,G.A., et al.(2021). Growth Indices and their Co-integration: A
Correlation. Empirical Economics Letters.


This study tries to investigate the co-integration of India with the global stock markets like the
United States, Japan, and the United Kingdom. The study employed the daily and the monthly stock
prices from Feb 2016 to Jan 2018 of NIFTY 50, Dow Jones, NIKKEI, and FTSE, and forecasted from Feb
2018 to Nov 2018 using ADF Test. Using the Pearson Correlation Test and the Johansen cointegration
test, the study observed that the global integration between the stock prices of India and the US
markets are positively correlated while the returns are not. Further, the findings reveal that all the
four indices are co-integrated among each other.

Link to Article: : http://www.eel.my100megs.com/volume-20-number-7.htm

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