Long Run Relationship between Capital Market and Banking Sector-A Cointegration on Federal Bank
Journal Title: Bonfring International Journal of Industrial Engineering and Management Science - Year 2015, Vol 5, Issue 1
Abstract
This paper examines the long run relationship between the capital market and banking sector. India has a large investment contribution in capital market. It is vital to the functioning of an economy. The object of the study is to analyze the long run relationship between the stock price of federal bank and composite price of capital market represented by NIFTY. The data used for the purpose is secondary source. An empirical investigation is carried out using daily data of ten years ranging from 1st January 2005 to 31th December 2014. The data used in the present study have been taken from the official website of National Stock Exchange. The major statistical tools used in the study are Unit Root Test, Granger Causality /Block Exogenity Test, Cointegration analysis, Impulse Response function and Error Variance decomposition using the software E-views. Applying the Dickey Fuller Tests to determine the stationality it has been found that both time series are non stationary. Johnsen Cointegration analysis shows that there is unidirectional movement between NIFTY and Federal Bank index. To further investigate the lead lag relationship between the two by Granger Causality /Block Exogenaty test and to identify the short run relationship impulse response function and variance decomposition is conducted. From the study it is conclude that the effect in the banking sector leads to the movement of banking sector but no vice versa
Authors and Affiliations
A. Anjali, K. T. Thomachan
Keywords
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- EP ID EP142787
- DOI 10.9756/BIJIEMS.8020
- Views 148
- Downloads 0
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