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This paper investigates the relationships between the monthly returns of the Indian stock returns, and of some of India's major trading partners. By using a multivariate co-integration mode, we find that the monthly returns of these markets tend to converge in the long run even though they may move in different directions in the short term. The results of our study may provide some insights to investors of Indian stock market who seek to reduce their risk exposure by diversifying in these markets. [ABSTRACT FROM AUTHOR]