The Integration of Indian and SAARC Stock Markets – An Empirical Study


  • Dr. Ranjan Dasgupta Associate Professor MBA Department, Institute of Engineering & Management, Kolkata, India.


BSE SENSEX, SAARC Indices, JJ Cointegration test, Granger Causality test, Long-run and short, run relationships


This study has attempted to find out relationships between BSE SENSEX and four SAARC Indices, namely, KSE 100, DSE 20, CSE Milanka and NEPSE indices both in the long-run and short-run, by using suitable statistical methods and Monthly indices data from April, 2007 to March, 2012. ADF and PP tests results showed that all variables have contained a unit root and are integrated of order one. Johansen and Juselius’s cointegration test has pointed out at least one cointegration vector and long-run relationships between BSE SENSEX with some other markets. The Granger causality test has also found few short-run unilateral and bilateral causal relationships between BSE SENSEX with the SAARC indices..


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How to Cite

Dr. Ranjan Dasgupta. (2022). The Integration of Indian and SAARC Stock Markets – An Empirical Study. Indian Journal of Commerce and Management Studies, 5(1), 09–17. Retrieved from