EXPLORING RELATIONSHIP BETWEEN NIFTY, DJIA, AND SSE INDICES WITH CO-INTEGRATION AND GRANGER CAUSALITY

Pankaj Sharma; Saurabh Jain

doi:10.55955/410001

Authors

Dr. Pankaj Sharma Shri K. K. Shastri Government Commerce College
Mr. Saurabh Jain Khyati School of Business Administration

DOI:

https://doi.org/10.55955/410001

Keywords:

Relationship, Causality, Co-integration, Nifty, Dow Jones Industrial Average, SSE Composite

Abstract

The global financial share market indices play a crucial role in the interconnected and dynamic landscape of international finance and considered as barometers of overall market health. The investors rely on these markets to gauge market sentiment, make informed investment decisions, and diversify portfolios. This study uses to explore the relationship between Nifty, DJIA, and SSE through econometric analysis. The data has been collected for a period of sixteen years for comprehensive investigation. The Yahoo Finance database served as the source of the collected data. The study uses EViews Software for application the Johansen Co-integration test, to evaluate if a long-term equilibrium connection exists between the indexes. To further examine the direction and intensity of the causal association between Nifty, DJIA, and SSE, the Granger Causality test is used. The results indicate that past values of Nifty contain valuable information for predicting future values of DJIA and SSE.

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