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Study on Stock Market Cointegration: A Case of India and China

Vol 7 , Issue 1 , January - June 2020 | Pages: 76-87 | Research Paper  

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Author Details ( * ) denotes Corresponding author

1. * Vasudha Kumar, Assistant Professor, Institute of Management & Sciences, University of Lucknow, Lucknow, Uttar Pradesh, India (
2. Shruti Aurora, Assistant Professor, Institute of Management & Sciences, University of Lucknow, Lucknow, Uttar Pradesh, India (

The economic process of savings, investment and capital formation is integral to the development of nation. Opening up of the economies has led to interchange of capital flows and technology, which has given greater mobility and access to investors with respect to their investment goals. This paper analyses the stock markets of two fastest developing countries of the world, viz. India (SENSEX) and China (Shanghai SE). Secondary data of 20 year daily closing price of the two indices are used to check co integration by using the Johansen’s Co integration test and the Vector Auto regression is used to establish a relationship between them. The Johansen’s cointegration test shows that there is no co-integration and hence VAR is applied. Granger causality shows that the markets do affect each other and there is significant impact of a first lag variable on each other.


Integration; Long run relationship; Pre-crisis; Post-crisis; Stock market, India, China

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