This paper documents the cointegration and causality among the stock markets of India, USA and Japan since the sub-prime crisis period. The 7-year month-end closing logarithmic returns of BSE Sensex, S&P500 and Nikkei 225 for the period 2008 -2014 have been used. Statistical and Financial Econometric Tools like Pearson’s Correlation, ADF Test, PP Test, Johansen’s Co-integration Test, and Granger Causality Test have been applied. The paper concludes that there exists cointegration among the Indian, US and Japanese stock markets. Also, there is unidirectional causality between the Japanese and United States stock markets.
A. Senthil Kumar, “Cointegration Among the Stock Markets of India, USA and Japan”, International Journal of Economic Research, vol. 11, pp. 489-497, 2014.