This study empirically seeks to establish long-run equilibrium relationship between public issues around such major nine Asia-Pacific stock markets as, Jakarta, Kuala Lumpur, Taiwan, Korea, Hong Kong, Japan, Australia, New Zealand and Thailand with India through co-integration analysis following Engle-Granger approach and foresees profits that could have been earned through international public issue portfolio diversification by Indian Institutional Investors during the period 1995-2009. With help of Augmented Dickey-Fuller test, non-stationarity of each public issue series has been checked, which is the pre-condition for having co-integrating relationship. Excepting the level stationary series, regression of log-series of India has been run on each and every other log-series of non-stationary series, one by one. Wherever the residuals of the regressions are found stationary, co-integrating regression has been run to estimate Error Correction Models, which has captured long-run equilibrium relationship between the series.
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