alexa The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: Evidence from Indian Data
Business & Management

Business & Management

Journal of Stock & Forex Trading

Author(s): Pramod Kumar NAIK, Puja PADHI

Abstract Share this page

The study investigates the relationships between th e Indian stock market index (BSE Sensex) and five macroeconomic variables, namely, i ndustrial production index, wholesale price index, money supply, treasury bills rates and exchange rates over the period 1994:04–2011:06. Johansen’s co-integrati on and vector error correction model have been applied to explore the long-run equ ilibrium relationship between stock market index and macroeconomic variables. The analysis reveals that macroeconomic variables and the stock market index are co-integrated and, hence, a long-run equilibrium relationship exists between them. It is observed that the stock prices positively relate to the money supply and industrial production but negatively relate to inflation. The exchange rate a nd the short-term interest rate are found to be insignificant in determining stock prices. In the Granger causality sense, macroeconomic variable causes the stock pric es in the long-run but not in the short-run. There is bidirectional causality exists between industrial production and stock prices whereas, unidirectional causality from money supply to stock price, stock price to inflation and interest rates to stoc k prices are found

  • Open Access
This article was published in Eurasian Journal of Business and Economics and referenced in Journal of Stock & Forex Trading

Relevant Expert PPTs

Relevant Speaker PPTs

Relevant Topics

Peer Reviewed Journals
 
Make the best use of Scientific Research and information from our 700 + peer reviewed, Open Access Journals
International Conferences 2017-18
 
Meet Inspiring Speakers and Experts at our 3000+ Global Annual Meetings

Contact Us

 
© 2008-2017 OMICS International - Open Access Publisher. Best viewed in Mozilla Firefox | Google Chrome | Above IE 7.0 version
adwords