Open Access
American Research Journal of Business and Management
ISSN (Online): 2379-1047
DOI: 10.46568/arjbm
Financial Markets Co-Movement between India and the US during the Turbulent Decade Ending with Covid-19
1Director in Reserve Bank of India
2Retired Associate Professor at D. G. Ruparel College, Mumbai
3Deputy General Manager in Reserve Bank of India
Amarendra Acharya, Prakash A. Salvi, Manbhanjan Mishra, “Financial Markets Co-Movement between
India and the US during the Turbulent Decade Ending with Covid-19”, American Research Journal of Business and
Management, Vol 9, no. 1, 2023, pp. 39-57.
Abstract
In the backdrop of the events such as taper tantrum, demonetisation, Covid-19 etc, this paper examines whether financial
markets in India are integrated with the overseas markets. The present study analyses the data on the stock index,
government securities yield, corporate bond yield, treasury bond yield, commercial paper and certificates of deposit, etc,
from 2010 onwards. The empirical result of the study indicates that, during the last decade, the Indian stock index, G-sec
yield and corporate bond yield were having co-movement with their global counterparts. However, the co-movement was
missing in case of the financial market segments such as Indian treasury bill, certificates of deposit (CD) and commercial
paper (CP). Further, the co-movement of the Indian stock market with the US stock market increased during the bull
phase of the Indian stock market, while co-movement of the Indian government securities market with the US security
market increased during the phases when the Indian government security market witnessed higher yields. Further,
the interaction between various markets in the domestic territory have remained intact despite the last decade being
interspersed with taper tantrum, demonitisation and Covid -19.
