Examining the Nexus Between Indian and U.S. Stock Market : A Time Series Analysis

The aim of the study is to provide an analytical analysis of co-integration between Indian and U.S stock market. The study used monthly average data from the stock indices namely, NSE Nifty (NSE) and NASDAQ Composite (NASDAQ), for the period from January 2010 to December 2018. A number of statistical methods were employed including unit root test, Johansen co-integration test and Granger Causality test. The results concluded that NSE Nifty and NASDAQ are not co-integrated, which indicates that a long run equilibrium relationship do not exists between the indices. The Granger causality test showed a unidirectional causality exists between the indices and the causality runs from NASDAQ to NSE. Thus, indicating that NASDAQ have the ability to influence NSE