This paper examined the relationship between the stock market returns for three Asian countries and three developed
countries. It Investigate two way causality among exchange rate, inflation rate, GDP, with stock returns of the sample countries.
This paper examines long term and short term co movement of stock indices of stock market. To check the stationary this study
apply unit root test, OLS test and found that data is stationary. This study used ADF test with and without intercept till data
become intercept till the data become stationary. The data series is stationary at i(1) and 2 difference and intercept level as
presented in above tables.
