Influences of Macroeconomic Variables on the Performance of Indian Stock Market
Journal Title: PARIPEX-Indian Journal of Research - Year 2015, Vol 4, Issue 10
Abstract
This paper is an attempt to investigate the linkage between stock market & macroeconomic variables in the Indian context using techniques like correlation, regression, ADF test & Unit root test, Granger causality test. A time span has been chosen for this study from January, 2004 to February, 2015 uses 134 monthly data to portray a larger view of the relationship. The result of the study shows that four out of eight variables are relatively more significant and likely to influence Indian stock market. These factors are Exchange Rate, Gold Price and M3 and IIP. There is a positive relation between Exchange rate and SENSEX, Gold rate and SENSEX, and Money supply(M3) and SENSEX whereas BoT and SENSEX shows a negative relation. Regression analysis in which Exchange Rate and Gold Price and M3 affecting the stock market. All variables in this study are not stationary at level, but become stationary at first difference. The result has been concluded on the bases of the granger causality test in which Crude oil price has been seen as affecting stock market. This study will be useful for the investors who might be able to identify some basic economic variables that they should focus on while investing in stock market and will have an advantage to make their own suitable investment decisions.
Authors and Affiliations
Firoz Husain, Dr. Adeel Maqbool
Keywords
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