Measuring Financial Integration: The Case of The Indian Stock Market and Global Trends
Abstract
Globalization has significantly increased the interdependence of financial markets, making the study of stock market integration highly relevant. This research investigates the integration of the Indian stock market (CNX Nifty) with major global indices, including the New York Stock Exchange (NYSE), NASDAQ, and the Shanghai Stock Exchange (SSE), over the period from January 2022 to December 2024. Employing statistical techniques such as cointegration tests and Granger causality, the study analyzes co-movements, interdependencies, and causal relationships among these markets. The findings reveal long-term cointegration between the CNX Nifty and the global indices, indicating that these markets share a stable long-term relationship despite short-term fluctuations. Granger causality analysis shows that the CNX Nifty has predictive influence over the NYSE but not over NASDAQ, while a bidirectional relationship exists with the SSE Composite. These results provide valuable insights for investors and policymakers, highlighting the increasing significance of India’s market in the global financial system and informing strategies for risk management and investment opportunities.
About this article
Keywords
- Stock Market Integration
- CNX Nifty
- Global Financial Markets
- Cointegration Analysis
- Granger Causality
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