An Empirical Analysis of Cointegration among Asian Stock Markets
The principal objective of this study is to find out the Cointegration among Asian stock markets. This study mainly concentrates to test whether Indian stock market is interdependent with the selected of Asian stock markets. The emerging stock exchanges from Asian stock markets viz. Hong Kong, Indonesia, Korea, India, Japan and Israel are selected and applied Johansen’s Cointegration test. The data is collected for the period of ten years from April 2009 to July 2019. The weekly returns of HIS, JKSE, KOSPI, N225, TA125 and NIFTY for the above mentioned period are considered for testing Cointegration. The result of the study confirmed that Cointegration exists between the selected Asian stock markets.