American Research Journal of Humanities and Social Sciences

The present study investigates the relationship between selected Asian eight countries stock market index and Indian stock market BSE-Sensex. In other words, the main objective of the study is whether Indian stock market index is influenced by selected Asian countries stock market or not. The progressive deletion of constraints, reduction of controls over capital movements, quick development of worldwide trade in commodities, services and financial assets, emergence of new capital markets and the upshots of financial and economic crises enhanced the significant dependability among the emerging stock markets as well. This study is based on secondary time series data obtained from index mundi database and yahoo.com database for the period from 1991 to 2013. In the course of analysis, ADF unit root test, co-integration test and causality test have been designed. Johansen multivariate co-integration test shows that Indian stock market index is related with selected eight countries stock market index in the long-run. Granger causality test illustrates that bi-directional causality exists between the selected variables between the selected stock market indices.