Tracking the Rails: Short-Run Interdependence and Price Dynamics in India's Railway Firms

This study examines the daily stock price dynamics of two railway-linked public-sector companies in India—IRCTC and RVNL—using BSE-listed OHLC data from October 2019 to February 2025. Descriptive analysis shows that IRCTC trades at higher, more stable prices, whereas RVNL trades at lower prices with greater volatility and frequent extreme movements. Unit root tests confirm that both series are non-stationary in levels but stationary after first differencing (I(1)), allowing for cointegration analysis. The Engle-Granger test reveals no long-run equilibrium between the two stocks, while VAR analysis indicates that short-term price changes in IRCTC significantly influence RVNL, suggesting short-run shock transmission. Overall, although these structurally linked firms do not share a common long-term trajectory, IRCTC serves as a short-term leading indicator for RVNL, offering insights into inter-stock dynamics and market behaviour in India’s railway-linked corporate sector