Journal Press India^®

Author Details ( * ) denotes Corresponding author

Purpose: This article seeks to examine the interrelationship between the NSE and other prominent global markets. Design/Methodology/Approach:An empirical study has been undertaken to assess the cointegration and causation across stock market indexes using Johansen’s Cointegration and VAR Test. Daily data points covering one financial year (FY22-23) have been used for empirical analysis. Findings: The VAR test findings indicate that NIFTY50 is influenced only by Merval. Moreover, the regression model findings indicate that only the FTSE100 and KOSPI are statistically significant. The findings indicate the lack of multicollinearity and autocorrelation. Research Limitations: The data period taken for this study is less and can be increased. Managerial Implications: The findings of this article may be very beneficial to investment firms, portfolio managers, and foreign institutional investors. Originality/Value:The study highlighted the importance of studying cointegration between the markets.

Keywords

Stock Market Indices, Johansen Cointegration, VAR Test, NIFTY 50.

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