alexa The Role of Macroeconomic Vari ables on Stock Market Index in China and India
Business & Management

Business & Management

Journal of Stock & Forex Trading

Author(s): Seyed Mehdi Hosseini, Zamri Ahmad, Yew Wah Lai

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This paper investigates the relationships between stock ma rket indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India. The period covers in this study is between January 1999 to January 2009. Using the Augmented Dickey-Fuller unit root test, the underlying series are tested as non-stationary at the level but stationary in first difference. The use of Johansen-Juselius (1990) Multivariate Cointegration and Vector Error Correction Model technique, indicate that there are both long and short run linkages between macroeconomic variable and stock market index in each of these two countries.

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

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