This paper aims to investigate the cointegration of the spot market and future indices (NIFTY, NIKKEI, S&P 500 AND Singapore FTSE) of selected developed and developing nations from January 2011 to December, 2021. The Johansen cointegration test, Granger Causality Test, and Vector Error Correction Model (VECM) are all used to gauge the degree of cointegration. The study's empirical findings support the hypothesis that there is cointegration between the spot market and future market indices of selected global markets. Comparative Granger tests for causality using the error correction model and results of error correction tests reveal interdependencies. The fact that the S&P 500 spot market index and future market index have a bi-directional causality shows that how interdependent these stock indices are. But, in case of Singapore FTSE, there is uni-causality from SGX future to SGX Spot indices. And in rest of indices (NIFTY and NIKKEI), there is no causality between spot and future stock indices. The study's conclusions show that investors may create diverse portfolio strategies to manage risk
