A Study on Affiliation between Indian Stock Market and Macro Economic Variables
Journal Title: MUDRA: Journal of Finance and Accounting - Year 2018, Vol 5, Issue 1
Abstract
Stock market volatility is a result of complex interplay of a host of factors. Hence, it is difficult to make a correct assessment of its movement. Macroeconomic variables have are very much influential in context of the volatility of stock market. This study inspects the association amongst stock market index and selected macroeconomic variables. For the analysis unit root, co-integration, Granger causality tests and Johansen co-integration tests were performed. Outcomes of the study showed that all the variables namely money supply, exchange rate and inflation rate are positively correlated with the stock market index except gold prices. Co-integration existed between the stock market index and macroeconomic variables. The study uses monthly data of past ten years (i.e. from April 2008 to March 2018).
Authors and Affiliations
Pooja Chaturvedi Sharma
Keywords
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- EP ID EP625167
- DOI 10.17492/mudra.v5i01.13040
- Views 221
- Downloads 0
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