Global Stock Market Integration - a Study of Select World Major Stock Markets

The present study is being contemplated with the ob jective of studying the degree of stock market integration. In this study, month-wise avera ge prices of BSE-Sensex, NYSE, NASDAQ, S&P500, HangSeng, Nikkei225, SSE Composite index and FTSE100 have been selected. Multiple Correlations has been computed for the sel ect stock market indices. Statistical Significance of the correlation has been tested by applying correlation t-test. The results of these studies support the view that there is a substantia l integration between domestic and international financial markets. BSE-Sensex has witnessed greater fluctuations which have been indicated by very high Ce-efficient of variation compared to oth er select indices. Sensex, the Indian bench market index, has shown strong association with NYSE and Hang Seng. Chinese stock index i.e., SSE Composite index has exhibited strong correlatio n with BSE- Sensex and with Hang Seng. Japanese stock index i.e., Nikkei225 has strong cor relation with all the select indices except Sensex, HangSeng and SSE Composite index. The European index i.e., FTSE100 has exhibited strong correlation with all the US stock market ind ices and with Nekkei225, the Japanese stock market index.