📄 Abstract
This study investigates the interdependence between the Indian and U.S. stock markets by analyzing the relationship between the SENSEX and NASDAQ indices using time-series econometric techniques. In an increasingly globalized financial environment, understanding the nature of market integration is crucial for investors, policymakers, and researchers. The analysis employs the Augmented Dickey-Fuller (ADF) test to examine the stationarity of the data, followed by the Engle-Granger and Johansen cointegration tests to determine the existence of a long-term equilibrium relationship. Additionally, the Granger causality test is applied to identify the direction of short-run causal influence between the two indices. The findings indicate that while the Engle-Granger test does not confirm cointegration, the Johansen test identifies at least one cointegrating vector, suggesting a long-run relationship between the NASDAQ and SENSEX indices. Granger causality results reveal a statistically significant influence of NASDAQ on SENSEX, though with a modest explanatory power. These results highlight the partial financial integration between the two markets and suggest that global shocks originating in the U.S. may affect the Indian stock market. The study contributes to the broader literature on international financial linkages and provides insights into cross-border investment strategies, risk management, and market behavior analysis.
🏷️ Keywords
📚 How to Cite:
V Varaprasad , Sowmya D S , INVESTIGATING THE INTERDEPENDENCE OF INDIAN AND U.S. STOCK INDICES THROUGH COINTEGRATION AND GRANGER CAUSALITY , Volume 11 , Issue 7, july 2025, EPRA International Journal of Multidisciplinary Research (IJMR) , DOI: https://doi.org/10.36713/epra22858