Stock market anomalies have always attracted questions over the applicability of Capital Asset Pricing Model (CAPM) for being an efficient predictor of stock market returns. Roll (1977), Banz (1981), Bhandari (1988), Jagadeesh (1992), Lakonishok, Shleifer, and Vishney (1994), Arumugam (1996)...

This article attempts to examine the short-and long-run relationship between major world financial markets taking Indian stock exchanges as a particular case. It covers the monthly data of major index returns for the period 1999 to 2010. The research methodology tools include Dickey-Fuller test,...