A study on co-integration of stock markets in India, Hong Kong and USA during COVID-19

The objective of the paper is to analyse the impact of COVID-19 on the co-integrating relationship amongst the Indian, US and Hong Kong markets. The data has been taken from January 2016 to April 2020. Engle and Granger method and Johansen method of co-integration was applied for the purpose. All three markets were found to be co-integrated when the whole period was considered but the long-term relationship does not exist when the analysis was done for the post COVID-19 period. One reason for the change in co-integrating relationship could be the breakdown of trade linkages during the time of turbulence. The capital market not being co-integrated could be an opportunity for the international fund managers for formulating the strategies of diversification.