A STUDY ON LONG-TERM PERFORMANCE OF GLOBAL STOCK MARKET INDICES

Abstract

This paper examines the performance, volatility patterns, and correlation patterns of 5 large international stock market indices, namely NIFTY 50 (India), S&P 500 (United States), Nikkei 225 (Japan), EURO STOXX 50 (Europe), and Shanghai Composite (China) using monthly data between 2000 and 2025. An all-encompassing econometric analysis and framework involving the Augmented Dickey- Fuller test, Compound Annual Growth rate, One-Way ANOVA, Vector Autoregression, GARCH (1,1) model, Johansen Cointegration test and Pearson Correlation analysis are used. ADF outcomes show that there is stationarity in all the return series. Findings of CAGR show that NIFTY 50 has the highest long-term growth with EURO STOX 50 along with the least. The findings of GARCH confirm the volatility clustering and persistence, and emerging economies are more sensitive to the shock. The results of Cointegration by Johansen and correlation analysis give evidence of mixed diversification benefits. The results have implications to global investment diversification and risk management in a global market that is increasingly being integrated.