Time Series Cointegration Analysis of Major Indian Stocks
| dc.contributor.author | Lemos, Mildred | |
| dc.date.accessioned | 2026-05-05T10:14:12Z | |
| dc.date.available | 2026-05-05T10:14:12Z | |
| dc.date.issued | 2025 | |
| dc.description.abstract | Time Series Cointegration provides a powerful statistical framework for understanding the long-term interconnectedness of stock prices. This understanding is crucial for developing sophisticated trading strategies, managing risk effectively, and gaining deeper insights into the underlying dynamics of the stock market. This paper investigates the long-run equilibrium relationships among the major Indian stocks from diverse sectors listed on the Bombay Stock Exchange over a five-year period - April 2020 to March 2025. Employing the Engle-Granger two-step cointegration test on daily closing prices, we identify statistically significant cointegrated pairs, with HDFCBANK emerging as a central stock strongly linked with multiple banking and financial sector stocks. These findings indicate that deviations from equilibrium between these stocks tend to revert over time, reflecting stable long-term relationships. The results have important implications for portfolio management, pairs trading, risk mitigation, and strategic investment decisions within the Indian equity market. | |
| dc.identifier.issn | 2349-6002 | |
| dc.identifier.uri | http://rcca.ndl.gov.in/handle/123456789/550 | |
| dc.language.iso | en | |
| dc.publisher | INTERNATIONAL JOURNAL OF INNOVATIVE RESEARCH IN TECHNOLOGY Volume 12 Issue 6 | |
| dc.title | Time Series Cointegration Analysis of Major Indian Stocks | |
| dc.type | Article |