202 THE JOURNAL OF ORIENTAL RESEARCH MADRAS ISSN : 0022-3301 | JUNE 2021 202 AN EMPIRICAL ANALYSIS OF BANKING SECTOR AND NSE THROUGH CO- INTEGRATION APPROACH* BY Ibha Rani  Research Scholar, VTU, Asst. Professor, SSR College of Science and Mgt studies, Bangalore. Dr. Mukund Sharma N  Professor and HOD, BNM Institute of Technology, Bangalore. Sridhar M  Research Scholar, Bharathiar University. Abstract Predicting the banking sector 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 Banking industry in Indian capital market. The Banking sector along with Nifty Index Regular closing monitory value is a sample to the analysis between January 2015 and December 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 Banking 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 of the causality among the variable. Key words: Banking sector, Nifty 50 index, ADF test, Engle granger causality test, Johansen co- integration and Indian Capital Market. Received 06May 2021, Accepted 27May 2021, Published 15June 2021  Correspondence Author: Ibha Rani Introduction: After privatization and globalization, Indian Capital markets have become more integrated worldwide. Due to independent movement of capital in financial markets, international capital markets and economies became progressively more integrated in the mid-1990s of globalization. Indian stock exchanges are popular not only in Asia, But also in global markets (Swetadri et al 2018). This stock- market reform process continued with successful FDI trend control in many sectors and capital market integration. Integrated capital markets can associate price fluctuations with other markets and mcro- Influenced financial markets, such as crude oil prices, gold prices, exchange rates (Rajesh et al 2020). Capital market plays a pivotal role in Indian economy development and achieving the economic goals of various industries (Srihari 2017). Stock market is a place for selling long term debt or shares. It has two section forms; one is primary and later is secondary. However, primary market helps companies collect resources by selling shares, and tributary market is the succeeding security sales and purchases. The Countries foremost stock exchanges are Bombay