COINTEGRATION AND CAUSAL RELATIONSHIP BETWEEN PHARMACEUTICAL SECTOR AND NIFTY – AN EMPIRICAL STUDY

Abstract

Predicting the Pharmaceutical stocks along with Nifty index is possibly one of the very toughest
exercises in Indian Capital Markets. The present study focuses on Short & Long term dynamics of the
Pharmaceutical industry in Indian capital market. The Pharmaceutical sector along with Nifty Index
Regular closing monitory value are a sample to the analysis between June 2015 and June 2020. In the
paper, ADF test is embarked to examine immovability of data and is evident that it is un-movable at
initial difference level. The co-integration test of Johansen is applied to assess long-term balance of
Nifty Index analysis with the pharmaceutical sector and to define the co-integration of the variables.
Granger causality test is used to regulate causal & short-term relationship of the variables with the
corresponding bidirectional casualties amidst them.