Relationships between Indian and Other South-East Stock Markets

Abstract

This study examines the vibrant relationship and interdependence between selected South-East countries stock markets and Indian stock market. Stock markets in South-East region are expected to become more open and interdependent. The study is based on secondary data obtained from DATASTREAM database for the period from 1^st August, 1991 to 31^st July, 2011 with a total of 4992 observations. In the course of analysis, descriptive statistics, correlation matrix, Granger causality test, converging trends and co-integration test has been designed. The results of the Granger causality tests indicate interdependence between South-East market returns. Overall, the results indicate an increase in the integration between the South-East markets after the global financial crisis.

Keywords: Financial Integration, Capital Markets, India, South-East Countries, Granger Causality Test, Converging Trend Test, Co-integration test