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.