Dynamic Integration, Granger Causality and Volatility Spillovers between Indian and Global Stock Markets
This study examines dynamic integration, predictive precedence, long-run co-movement, and volatility dependence between the Indian stock market and nine major global and regional markets over 1991–2023. Using 8,318 synchronized daily observations, the analysis combines correlation, Granger predictive-precedence tests, Johansen cointegration, generalized method of moments (GMM), and DCC-GARCH(1,1).
The results show positive unconditional correlations and significant positive DCC trends across all market pairs. Granger tests indicate bidirectional predictive precedence between India and Australia, Belgium, Hong Kong, Japan, Singapore, and the United States; France and Germany precede India, whereas India precedes Indonesia. Johansen tests identify two cointegrating relations, indicating long-run common stochastic trends. GMM estimates reveal significant positive conditional associations with seven markets, while Germany and the United States are statistically insignificant. DCC-GARCH estimates further indicate highly persistent conditional dependence. Overall, the findings demonstrate multidimensional integration between India and international equity markets, suggesting more limited diversification benefits over the long run and supporting cross-border surveillance and systemic-risk monitoring.
© The Author(s) 2026. Published by RITHA Publishing. This article is distributed under the terms of the license CC-BY 4.0., which permits any further distribution in any medium, provided the original work is properly cited maintaining attribution to the author(s) and the title of the work, journal citation and URL DOI.
Article’s History: Received 26th of June, 2026; Revised 6th of August, 2026; Accepted for publication 23rd of August, 2026; Available online: 28th of August, 2026; Published as research article in Volume II, Issue 2(4), 2026.
Firdous, A. & Ray, S. (2026). Dynamic Integration, Granger Causality and Volatility Spillovers between Indian and Global Stock Markets. Applied Journal of Economics, Law and Governance, Volume II, Issue 2(4), 221 - 239. https://doi.org/10.57017/ajelg.v2.i2(4).03
Credit Authorship Contribution Statement: Firdous, A: data collection; econometric and statistical analysis; visualization. Ray, B.: conceptualization; literature review; writing - original draft; writing - review and editing. Both authors approved the final revised version. Both authors contributed substantially to the study, reviewed the final manuscript, and approved it for submission.
Acknowledgments: The authors thank the anonymous reviewers for their valuable comments and suggestions on an earlier version of the manuscript. The authors remain responsible for any errors or omissions.
Conflict of Interest Statement: The authors declare that the research was conducted in the absence of any commercial or financial relationships that could be construed as a potential conflict of interest.
Data Availability Statement: The data supporting the findings of this study are available from the corresponding author upon reasonable request.
Ethical Approval Statement: Not applicable. This study uses secondary financial-market data and does not involve human participants, personal data, animals, or interventions requiring ethical approval.
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