Co Movements of Indian Stock Market and SAARC Nation Stock Markets

Authors

  • Dr. M. Babu, K. Rajasekar, Dr. C. Hariharan, Dr. J. Gayathri, Dr. G. Indhumathi

Abstract

The present study aims to explore the price volatility and linkages of Indian capital market with SAARC nations’ capital market . The top three capital market indices were selected from the SAARC nations, namely, CSE 30, ASPI and KSE 30, for testing the linkages with NSE Nifty. GARCH (1, 1) , Regression Analysis and Granger Causality Test were applied to find out whether the daily prices of Indian capital market Indices and sample SAARC nations’ indices, were volatile. The results of Linear regression model revealed that daily returns of Indian stock market index, NSE Nifty 50 index, was influenced by SAARC nations, capital market indices. The outcome of Granger Causality exhibited that there was unidirectional causation impact between the Indian capital market and sample SARC nations’ capital market indices namely, CSE 30 and KSE 30. Hence the investors of these nations have the hedging opportunities, for reducing their investment risk, in future.

Published

2020-02-29

Issue

Section

Articles