Stock Market Co-Integration Between India and BRICS Nations: An Econometric Testing

Abstract

The study was carried out to assess the capital markets' integration among BRICS nations. As the capital markets of the selected nations influence the global market on a major scale and even the decisions of the financial investors and institutions around the world. The most influential stock exchanges of all the BRICS countries have been selected to perform the tests on the same based on the data collected for 10 years from I January, 2009 to 31st December, 2019 closing price has been taken into account. The volatility in the market is affected by the stock returns in these economies. Due to the existence of international trade relations, the study of the trends and the patterns between the NIFTY-50 and other BRICS nations’ stock exchanges is crucial. Their long run and short run relationships are interpreted with the help of econometric tests. The present study interprets that here exists weak long run and short run relations among the BRICS nations and NIFTY-50 but the extent of the same varies.