Studies in Economics and Finance

Cointegration of Indian stock markets with other leading stock markets

N. Rajiv Menon, M.V. Subha, S. Sagaran,
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doi.org/10.1108/10867370910963028
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Cointegration
Cointegration of Indian stock of Indian
markets with other leading stock markets
stock markets
87
N. Rajiv Menon
IMT Department, Yanbu Industrial College, Yanbu, Saudi Arabia
M.V. Subha
Anna University, Coimbatore, India, and
S. Sagaran
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Yanbu Industrial College, Yanbu, Saudi Arabia

Abstract
Purpose – One of the anxieties of stock market investors is whether the markets operate efficiently,
independently and with sound fundamentals. This concern is also held by academics and practitioners
for quite some time. However, real market situation tends to exhibit a link as is evident from recent
market movements across the world. The purpose of this paper is to examine whether the stock
markets in the Indian subcontinent have any link with the major stock markets from China, Singapore,
America, and Hong Kong.
Design/methodology/approach – The paper uses Engle Granger test of cointegration.
Findings – The paper finds that the Indian markets are related to some of the markets around the world.
Originality/value – The paper offers insight into the cointegration of Indian stock markets with
other leading stock markets.
Keywords Stock markets, India
Paper type Research paper

Introduction
The revolution in Information Technology coupled with the permeation of high-speed
Internet connectivity have created a fast track information superhighway with global
reach. The technology permeation is taking place at incredible speeds and is highly
democratized so that information is available to any one at any place at any time at low
cost. Capital markets thrive on information, and the information revolution has
transformed these markets world over. Investors can now keep track of the movements
of the capital market on real-time basis and they react to the flow of information from
around the world. These dealings sometimes surge into huge waves of panic actions
and reactions affecting global markets one by one. National economies are no longer
insulated and the repercussions of international events influence the movement of
shares and other investments. With globalization taking roots; investors, governments
and institutions are concerned about the visible linking of geographically separated
markets, though a perfect link is far beyond reality.
Due to the time difference, the financial centers and markets do not close at the same Studies in Economics and Finance
Vol. 26 No. 2, 2009
time. When one market closes, another market on another part of the globe opens. The pp. 87-94
opening markets are aware of the closing prices in the closed markets. The Shanghai q Emerald Group Publishing Limited
1086-7376
and Bombay markets open with the index information from Dow Jones and DOI 10.1108/10867370910963028
 SEF the NASDAQ. The efficient market hypothesis suggests that these processes should
26,2 resemble random walks with uncorrelated increments. Latest global events of late
seems to point in this direction such as the events of 27th February 2007 where the
SSE’s (Shangai Market) worst day of trading in 10 years where the SSE Composite
Index fell nearly 9 percent on fears of capital controls, dragging other markets along
throughout the world. Every move by the Federal Reserve cascades throughout
88 financial markets across the world.
Many researches have been conducted and currently been undertaken to study the
various behavioral aspects of capital market in India and beyond. Many studies were
carried out to test the cointegration and interdependencies among various Capital
Markets (Bala and Mukund, 2001; Wong et al., 2004; David, 1994; Chan et al., 1997;
Kanas, 1998; Masih and Masih, 2001). Various researchers have attempted to test the
efficiency and co integration of the Indian Capital Market from time to time. This study
looks at the co integration characteristics of the Indian Capital Market with global
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markets using the Engle Granger test of co integration, in the post-liberalization period.
Due to the number of markets and the volume of trade, any number of researches
undertaken is not sufficient to explain the behavior. This study examines the possible
link; the Indian capital market has with other capital markets of the world.

Objective of the study

The main objective of the present paper is to test whether the Indian capital market is
cointegrated with other leading stock markets of the world using the Engle Grangler
Test of cointegration.

Method of computation of stock market indices

The CNX Indices are computed using market capitalization weighted method wherein
the level of Index reflects the total market value of all the stocks in the index relative to a
particular base period. The method also takes into account constituent changes in the
index and the corporate actions. Different indices are computed and compiled for use by
the investors. While some indices employ an equal weighting approach (equal amounts
assumed to be invested in each component), the others are either price weighted or value
weighted. Both these methods are employed in the compilation of stock indices.

Bombay stock exchange sensitive index of equity prices SENSEX

The Bombay stock exchange (BSE) started compiling and publishing a sensitive index
number of equity prices from January 2, 1986 with base year 1978-1979 ¼ 100. It is
called “The Bombay Stock Exchange Sensitive Index of Equity Prices”. The BSE Index
is based on the prices and trading volume of 30 selected shares from the specified and
non-specified list. To provide a broad-based index on a national scale, The Mumbai
Stock Exchange has, compiled a new series called “BSE National Index” with the year
1983-1984 as the base year. This index includes 30 scrips of the BSE Sensitive Index
and has 70 scrips selected on an all-India basis depending on their market activity.

NSE – 50 index (NIFTY)

The S&P CNX Nifty is one of the popularly watched Indices in India. This Index is
built by India Index Services Product Ltd (IISL) and Credit Rating Information Services
of India Ltd (CRISIL). The CRISIL has a strategic alliance with Standard and Poor
 Rating Services. It is named as S&P CNX Nifty or NSE-50 Index and introduced on Cointegration
April 22, 1996. The selection criteria are the market capitalization and liquidity. The of Indian
selection criterion for the index was applied to the entire universe of securities admitted
on NSE. The market capitalization of the companies should be Rs. 5 billion (US$ 120 stock markets
million) or more. The selected securities are given weights in proportion to their market
capitalization. The base period for the S&P CNX Nifty index is the closing prices on
November 3, 1995. The base period is selected to commensurate the completion of one 89
year operation of NSE in the stock market. The base value is fixed at 1,000 with the
base capital of Rs 2.06 trillion.

Review of empirical evidence

David (1994) in his working paper studied the market linkages using Cointegration Rank
test with special application to the US Natural Gas Industry. Likelihood based tests for
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cointegration was applied to data from natural gas spot markets. The Johansen method
was used to study the spatial market linkages. The results indicated that the natural gas
spot markets at dispersed locations in the pipeline network are strongly connected. Out
of 19 market pairs examined, most of the market pairs (13) satisfied a more stringent
condition for perfect market integration. Chan et al. (1997) conducted a study on
integration of stock markets by including 18 nations covering a 32 year period. These
markets were analyzed both separately and collectively in regions to test for the weak
form market efficiency. The cross country market efficiency is tested by using
Johansen’s cointegration test. The results showed that only small number of stock
markets shown evidence of cointegration with others. Kanas (1998) used the
multivariate trace statistic ^P2, the Johansen method, and the Bierens non-parametric
approach to test for pairwise cointegration between the USA and each of the six largest
European equity markets for a period of 13 years. The results from the tests are robust
and consistent in suggesting that the US market is not pairwise cointegrated with any of
the European markets. Bala and Mukund (2001) in their study examined the nature and
extent of linkage between the USA and the Indian stock markets. They used the theory of
cointegration to study the interdependence between the BSE, the NYSE and NASDAQ.
The data consisted of daily closing prices for the three indices from January 1991
through December 1999. The results supported that the Indian stock market was not
affected by the movements in US markets for the entire sample period. Masih and Masih
(2001) in their work examined the patterns of dynamic linkages among national stock
prices of Australia and four Asian NIC stock markets namely Taiwan, South Korea,
Singapore and Hong Kong by employing a multivariate, dynamic framework allowing
for both short and long-run relationships. The results showed that the Hong Kong
market played a leading role in driving fluctuations in Australia and other NIC stock
markets. Wong et al. (2004) have empirically investigated the long-run equilibrium
relationship and short-run dynamic linkage between the Indian stock market and the
stock markets in major developed countries by examining the Granger causality
relationship and the pair-wise, multiple and fractional cointegrations between the Indian
stock market and the developed stock markets such as the USA, the UK and Japan. The
findings of the study revealed that the Indian stock market is statistically, significantly
co-integrated with stock markets of the USA, the UK and Japan. There is existence of a
unidirectional granger causality running from the USA, the UK and Japanese stock
markets to the Indian stock markets. Indian stock index and the mature stock indices
 SEF form fractionally cointegrated relationship in the long run with a common fractional,
26,2 nonstationary component and revealed the cointegration relationship using the
Johansen method. The study confirmed that the financial liberalization in India since
1991 has opened up Indian stock markets vis-à-vis the world markets and therefore
influenced by other markets.

90 Research methodology
Data and sources of data
The share index data is obtained from the NSE NIFTY index along with other major
stock indices from China, Singapore, America, and Hong Kong. The study covers a
time span of ten years; from April 1997 to May 2007.
The two important equity share prices indices in India are:
(1) The BSE Index.
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(2) The NSE Index.

These index values are quoted and published on a daily basis at the end of each trading
day. The broad based NSE-NIFTY index values are used for the study. To compare
Indian stock market movements with other global markets, stock index values of
popular markets such as the SEC (China), NASDAQ (America), Hang Seng (HSI, Hong
Kong), STI (Singapore) are used.

Period of study
The period of study is ten years, from April 1, 1997 to May 10, 2007. Similarly the
closing index values of various international stock markets are also collected for the
same period (April 1, 1997-May 10, 2007). The daily Index values from the various
markets are used. No adjustments are made for non-trading days and when the stock
exchange is closed for holidays.

Analysis of data
The theory of cointegration is used to study the interdependence between the National
Stock Exchange (NSE), SEC (China), NASDAQ (America), HSI (Hong Kong) and STI
(Singapore). The Engle Granger test is used to test the cointegration among these indices.

Test of cointegration
The Engle Granger test of cointegration is used to test the cointegration between
NSE-NASDAQ, NSE-HSI, NSE-STI and NSE-SSE. The idea of cointegrated
multivariate time series was introduced by Granger (1981) and developed by Engle
and Granger (1987). Two variables are said to be cointegrated when a linear
combination of the two variables is stationary implying that there is a long term
relationship existing between them. Lack of cointegration suggests that no such
relationship exists. Non stationary univariate time series can be made stationary by
applying the differencing operator delta, repeatedly to the series. In order to test the
cointegration between the NSE and other global stock indices the following hypothesis
(H0 – Null Hypothesis; H1 – Alternate Hypothesis) are formulated:
H0. There is no linear dependence between the indices of the NSE-NASDAQ stock
exchanges.
 H1. There is linear dependence between the indices of the NSE-NASDAQ stock Cointegration
exchanges. of Indian
H0. There is no linear dependence between the indices of the NSE-HSI stock stock markets
exchanges
H1. There is linear dependence between the indices of the NSE-HSI Stock
Exchanges. 91
H0. There is no linear dependence between the indices of the NSE-SSE Stock
Exchanges.
H1. There is linear dependence between the indices of the NSE-SSE Stock
Exchanges.
H0. There is no linear dependence between the indices of the NSE-STI Stock
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Exchanges.
H1. There is linear dependence between the indices of the NSE-STI Stock
Exchanges.
Testing for co integration involves testing the residuals (the difference between actual
value of the dependent value and the predicted value from the estimated equation) from
an Ordinary Least Square regression for the time series and the residuals are obtained:
Y t ¼ b0 þ b1 xt þ b2 zt þ 1 ð1Þ
Regress y on x and z. The residuals are obtained from the Ordinary least square and a
Dicky Fuller unit root test2 is carried out to check for unit root. If a unit root is not
present, the residuals are stationary and the variables are cointegrated.
The first difference of the residuals DYt is regressed against the first lag of the
residual Yt2 1 and sufficient lags of Yt:
DY t ¼ ðY t 2 Y t21 Þ ¼ ut ð2Þ
The results of the unit root test, t-statistics have to be compared with specially
calculated critical values. If the estimated jtj exceeds any of these critical values the
null hypothesis that there is no cointegration among the variables can be rejected.
Otherwise, the null hypothesis is to be accepted.

Results and discussions

The daily closing prices of NSE (India) and SEC (China), NASDAQ (America), HSI
(Hong Kong), STI (Singapore) are taken to see whether there is any relationship
between the Indian stock market and the US markets. The Engle Granger test of
cointegration is applied and t values are estimated. The critical value for
Engle-Granger statistics at 1 percent, 5 percent and 10 percent are 2 2.5899,
2 1.9439, and 2 1.6177, respectively.
For the NSE-NASDAG stock indices the estimated EG DF (Engle-Grange,
Dicky-Fuller) test statistic is 1.1547. Since, the EG DF statistic is found to be less than
the critical value specified by Engle and Granger statistics at all levels, the Null Hypothesis
that there is no dependency is accepted for all these levels. We recognize the view that there
is no dependence between the USA stock markets and the Indian stock markets.
 SEF For NSE-Hang Seng stock indices, the estimated EG DF test statistic is 2 0.9310.
26,2 Since, the EG DF statistic is found to be less than the critical value specified by Engle
and Granger statistics at all levels, the Null Hypothesis that there is no dependency is
accepted at all the given levels. We accept the view that there is no dependence
between Hang Seng and the Indian stock markets.
For the NSE-Shangai the estimated EG DF test statistic is 2 2.0389. Since, the EG
92 DF statistic is found to be more than the critical value specified by Engle and Granger
statistics at the 5 percent and 10 percent levels, the Null Hypothesis that there is no
dependency is rejected at these levels. We do not accept the view that there is no
dependence between the Shangai stock market and the Indian stock markets at these
two levels. But at 1 percent level, the null hypothesis cannot be rejected that there is no
dependency between Shangai and the Indian Stock market.
For the NSE-Singapore stock indices the estimated EG DF test statistic is 2 3.1749.
Since, the EG DF test statistic falls in the critical region for all three levels of critical
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value specified by Engle and Granger statistics, the Null Hypothesis that there is no
dependency is rejected at all the three levels. We accept the view that there is
dependence between the Singapore stock market and the Indian stock markets.
The study uses the theory of cointegration to understand the interdependence
between the NSE and the NASDAQ, HangSeng, Shangai and Singapore stock markets
Table 1. The results support the hypothesis that the Indian stock market is not
exhibiting long term relationship with the US markets for the entire sample period.
Therefore, the findings show that the Indian markets are operating independently and
are not exhibiting any inter relationship with the US stock markets.
The result also supports the hypothesis that the Indian stock market is not
interrelated to the HangSeng Index for the same period. The finding shows that the
Indian markets operate independently of Hong Kong based Hang Seng stock market.
However, the results are mixed when tested for the Indian and Shangai markets.
The finding shows at 5 percent and 10 percent, the markets are independent of each
other but at 1 percent level the markets are dependent. This shows that the Indian and
the Singapore markets operate in dependence of each other. These two markets are
cointegrated, implying that there is a long-term relationship between these markets.

Conclusion
The study examined the extent of cointegration between the Indian stock market and
other leading stock markets using the NSE Nifty index along with other major stock
indices of US, China, Singapore and Hong Kong. The study covers a period of ten years;

1% 5% 10%
X Standard Test t-statistic EG critical EG critical EG critical
Index variable error CR DF value value value

22.5899 2 1.9439 21.6177

NSE – NASDAQ 2 0.000831 0.000719 1.1547 Accept (H0) Accept (H0) Accept (H0)
NSE – Hang Seng 2 0.0017 0.001821 20.9310 Accept (H0) Accept (H0) Accept (H0)
NSE – Shangai 2 0.00448 0.002197 22.0389 Accept (H0) Reject (H0) Reject (H0)
Table 1. NSE – S’pore 2 0.00622 0.001959 23.1749 Reject (H0) Reject (H0) Reject (H0)
 from 1 April 1997 to 10 May 2007. The Engle Granger test of cointegration is used to Cointegration
check the level of dependence between the various capital markets. The results of the of Indian
test showed absence of cointegration between the two variables suggesting no
interdependence between the Indian stock markets and the American Stock markets. stock markets
This is also the case with Indian stock markets and Hong Kong stock market. The
Indian stock markets and Hong Kong markets operate independently of each other.
There is some amount of cointegration between the Indian stock markets and the 93
Shanghai stock market. The markets in India and Shangai are dependent to some
extent. However, the results show the presence of strong cointegration between Indian
and Singapore stock markets suggesting a strong inter-dependency. The test of
cointegration reveals the absence of interdependence and long term relationship
between the Indian, Amercian Stock Markets and Indian and Hong Kong stock
markets. When studied with the SSE (China) index, and STI (Singapore) the results
show that there is some amount relationship between the Indian and Shanghai stock
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markets and a strong relationship between Indian and Singapore stock markets.

References
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Journal of Management Research, Vol. 1 No. 3, pp. 141-8.
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integration: a study of eighteen nations”, Journal of Business Finance & Accounting, Vol. 24
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David, W. (1994), “A cointegration rank test of market linkages with an application to the US
natural gas industry”, Review of Industrial Organisation, Vol. 9, pp. 181-91.
Engle, R.F. and Granger, C.W.J. (1987), “Cointegration and error correction: representation,
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Kanas, A. (1998), “Linkages between the US and European equity markets: Further evidence
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Wong, W.K., Agarwal, A. and Du, J. (2004), “Financial integration for Indian stock market:
a fractional co-integration approach”, Finance India, Vol. XVIII No. 4, pp. 1581-604.

Further reading
Azizjon, A.A., Chakroborty, D., Raymond, A.K.C. and Jain, A.K. (2004), “The random walk
hypothesis on the Bombay Stock Exchange”, Finance India, Vol. XVIII No. 3, pp. 1251-8.
Dickey, A.D. and Fuller, A.W. (1981), “Likelihood ratio statistics for autoregressive time series
with a unit root”, Econometrica, Vol. 49 No. 4, pp. 1057-72.
Engle, R.F. and Yoo, B.S. (1987), “Forecasting and testing in co-integrated systems”,
Journal of Econometrics, Vol. 35, pp. 143-59.
Monder, C. (2002), “Asymmetry in the EMS: new results from a cointegration analysis”,
Finance India, Vol. XVI No. 2, pp. 573-84.
 SEF Samanta, G.P. and Sanjib, B. (2005), “Predicting stock market – ‘an application of artificial
neural network technique through genetic algorithm’”, Finance India, Vol. XIX No. 1,
26,2 pp. 173-88.
Schleifer, A. (2000), Inefficient Markets: An Introduction to Behavioral Finance, Oxford
University Press, Oxford.
Sharma, J.L. and Robert, E.K. (1977), “A comparative analysis of stock price behaviour on the
94 Bombay, London and New York stock exchanges”, Journal of Financial and Quantitative
Analysis, September, pp. 391-413.
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