This study investigates the causal relationship between six ASEAN (Singapore, Vietnam, Indonesia, Philippines, Malaysia and Thailand) stock markets and the Indian stock market. Generally, the economic weapon comes from these six ASEAN economies and India is the largest economy in Asia. It is important to know the association among these economies whether investment opportunities for investors are possible or not. Correlation statistics show that Indian stock market is negatively related to the Singapore, Indonesia and Vietnam stock markets. Vector error correction model test results corroborate that there is a significant long-run causal relationship between the Indian stock market and six ASEAN stock markets. Simultaneously, there is no short-run causal relationship of Vietnam and Philippines stock markets with Indian stock market however there is a significant short-run causal relationship of the Singapore, Indonesia, Malaysia and Thailand stock markets with the Indian stock market. These results illustrate that though global markets are fetching more integrated, investors can take benefit of global diversification opportunities by investing in the stock markets of these countries.
Keywords: Indian stock market, ASEAN stock markets, Correlation statistics, VECM test.