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Empirical Relations...
Empirical Relationship Between Macroeconomic Variables and Stock Market: Evidence from India
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- Yadav, Miklesh Prasad (författare)
- ACCF, Amity University, Noida, Uttar Pradesh, India
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- Khera, Aastha (författare)
- Department of Commerce, Kurukshetra University, Kurukshetra, Haryana, India
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- Mishra, Nandita (författare)
- Linköpings universitet,Fackspråk,Filosofiska fakulteten
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(creator_code:org_t)
- 2021-10-26
- 2021
- Engelska.
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Ingår i: Management and Labour Studies. - : SAGE Publications India. - 0258-042X .- 2321-0710. ; 47:1, s. 119-129
- Relaterad länk:
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https://urn.kb.se/re...
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visa fler...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- This study investigates the relationship between the Indian stock market price behaviour and macro-economic variables. The proxy for the Indian stock market is the BSESENSEX while Foreign Reserve, Exchange Rate (Indian vs. US Dollar) and CPI are proxies for the macroeconomic variables. The Johansen Cointegration Test and the Vector Error Correction Model (VECM) on monthly data collected from websites of Reserve Bank of India and Bombay Stock Exchange within the time period of January 2000 and February 2020 have been applied. We observe a contradiction between the results of trace statistics and the maximal eigenvalue of the Johansen Cointegration. The -trace statistics of cointegration allude to the long-run association between the Indian stock market and its constituent macroeconomic vari-ables. The VECM is then applied to examine the long-run and short-run causalities and the results reveal the same. This study has profound implications for investors to diversify their portfolio, considering the impact of the constituent selected macroeconomic variables in the short run and long run
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
Nyckelord
- Organizational Behavior and Human Resource Management
- Industrial relations
- Business and International Management
- Indian stock market
- macroeconomic variables
- long-run equilibrium
- short-run equilibrium
- Johansen Cointegration
- Vector Error Correction Model
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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