Comparative Cointegration of Stock Markets: Focus on NYSE, NSE And Shanghai Stock Exchange

This study investigates integration in the Indian stock market with a special focus on the National Stock Exchange (NSE). This study focuses on the connection between NSE, New York Stock Exchange (NYSE), and Shanghai Stock Exchange (SSE). Understanding the interrelationships of international capital markets is important in determining different capital sources and developing international capital market policies. Given the strong momentum in the global economy, investors are looking for ways to achieve good results in the economy. This study uses EngleGranger and Johansen cointegration tests and a compilation of historical stock price measurements each month to determine the level of cointegration. Johansen’s correlation results confirm the long-term correlation between NSE Nifty, NYSE and SSE. Many of the findings highlight synergies between different sectors and provide insight to investors and policymakers.