Relationships between Indian and Other South-East Stock Markets

This study examines the vibrant relationship and interdependence between selected South-East countries stock markets and Indian stock market. Stock markets in South-East region are expected to become more open and interdependent. The study is based on secondary data obtained from DATASTREAM database for the period from 1st August, 1991 to 31st July, 2011 with a total of 4992 observations. In the course of analysis, descriptive statistics, correlation matrix, Granger causality test, converging trends and co-integration test has been designed. The results of the Granger causality tests indicate interdependence between South-East market returns. Overall, the results indicate an increase in the integration between the South-East markets after the global financial crisis. Keywords: Financial Integration, Capital Markets, India, South-East Countries, Granger Causality Test, Converging Trend Test, Co-integration tes