過去有關國家間的股票市場的關係已有廣泛探討，本文主要檢驗印度與主要已開發國家，如美國、英國與日本的動態關係。本文使用指數分別為印度BSE SENSEX指數、美國Dow Jones工業指數與英國FTSE-100指數與日本Nikkei-225，樣本期間為1997年1月至2002年12月與2003年1月至2007年12月的每日資料。本文OLS實證顯示在各市場間具有共整現象，且多重線性迴歸使用向量自我回歸顯示在這四個市場裡具有動態行為且彼此影響著，但最近尤以美國市場較其他市場具有影響性。

The relationship between the stock markets of the developed countries has been examined extensively in the literature. This paper examine the dynamic relationship between India and the major developed markets including USA, UK and Japan .Using daily stock market data from January 1997 to December 2002 and from January 2003 to December 2007,the study examine the stock price indices of India (BSE SENSEX), USA (Dow Jones Industrial Average), UK(FTSE-100) and Japan (Nikkei 225). The ordinary least square method is showing some relationship between the stock markets. A multiple equation series known as a vector autoregression is proposed for describing the dynamic behavior of the four stock markets. The result shows that the markets are interrelated at significant level and influences each other. All the markets influence India but recently the influence of USA market is comparatively high than other developed markets.

1. Introduction 6
2. Literature Review 8
3. Types of Stock Price Indices 16
3.1 BSE-SENSEX (India) 16
3.2 Nikkei-225(Japan) 16
3.3 Dow Jones Industrial Average (USA) 16
3.4 Financial Times Stock exchange - 100 (UK) 16
4. Data Analysis and Research Methodology 17
4.1 Data Analysis 17
4.2 Research Methodology 18
4.2.1 Unit Root Test 18
4.2.2 Ordinary Least Square Method 20
4.2.3 Vector Autoregression (VAR) and Identification 20
5. Empirical Results 22
6. Research Limitations/Implications 30
7. Conclusions and Suggestions 31

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