Long Run Dynamic Linkage of Indian Stock Market with Major Asian Stock Market

Dr. Sumit Kumar

Abstract: Globalization of the world market attract the interest of academics and investors to the subject of study of co movement and risk diversification opportunity across the stock markets of the world. The present study investigates the co movement of Indian Equity Market BSE30 with the markets of SSEC index - China, N225 - Japan. The results reveal that all the three stock markets have short run equilibrium whereas for long term these markets do not exhibits any relationship. This indicates that investors can be benefitted by making the investments in these markets as there is a possibility to reduce the level of risk through investments in international portfolio in these countries.

Keywords: Co movement, diversification, International portfolio, Market equilibrium