A Comparatative Study On The Co-Movement Of Nifty And Global Indices (DAX, DJI, Hang Seng) During Pre And Post Covid Period

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Mr. Debankur Majumdar, Prof (Dr.) Siddhartha Bhattacharya, Dr. Manvinder Singh Pahwa



Nowadays, thanks to the advancement of modern technology, pertinent information may travel easily throughout the globe. If the information is affecting the economy of that nation, the stock markets are also responding to it. Many academics have recently expressed interest in researching the long-term correlation between national stock market indices and other international indices. We have made an effort to research the potential co-movement and co-integration of indexes with comparable market caps, such as the NIFTY, DAX, DJI, and HANG SENG. The study examines the indices' weekly close prices during the ten-year period between April 2011 and March 2021. We also talk about the issues that affected the key indices during the Covid period, which was extremely stressful. The "Granger and Causality Correlation" test was used to study the measurement of co-integration and attempt to analyse collinearity among the chosen indices in order to determine whether there is a long-term and short-term link between them. The outcome reveals a long-term, significant positive correlation between the chosen indices. In contrast to the Asian Market, the correlation has diminished with the American and European markets. Therefore, the study is useful for the investors who trade based on the interdependencies of the indices and understand their co-movement.


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Mr. Debankur Majumdar, Prof (Dr.) Siddhartha Bhattacharya, Dr. Manvinder Singh Pahwa