alexa The effect of Macroeconomic Determinants on the Performance of the Indian Stock Market
Business & Management

Business & Management

Journal of Stock & Forex Trading

Author(s): Samveg Patel

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The stud y in v estig at es the eff ect of macr oeconomic det erminants on the perf ormance of the Indian St ock Mar k et using monthl y data o v er the period J a n u a r y 1 9 9 1 t o D e c e m b e r 2 0 1 1 f o r e i g h t macr oeconomic v ariables, namel y , Int er est R at e, I n f l a t i o n , E xc h a n g e R a t e , I n d e x o f I n d u s t r i a l Pr oduction, Mone y Suppl y , Gold Price, Sil v er Price & Oil Price, and tw o st ock mar k et indices namel y Sense x and S&P CN X Nifty . B y appl ying A ugment ed Dick e y F uller Unit r oot t est , Johansen Coint egr ation te s t , G r a n g e r C a u s a l i t y te s t a n d V e c to r E r r o r Corr ection Model (VECM), the stud y f ound that Int er est R at e is I(0); Sense x, Nifty , Ex change R at e, Inde x of Industrial Pr oduction, Gold Price, Sil v er Price and Oil Price ar e I (1); and Inflation and Mone y Suppl y ar e I (2). It also f ound the long run r elationship betw een macr oeconomic v ariables and st ock mar k et indices. The stud y also r e v ealed the causality run fr om e x change r at e t o st ock mar k et indices t o IIP and Oil Price

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This article was published in NMIMS Management Review and referenced in Journal of Stock & Forex Trading

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