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Empirical Relationship Between Macroeconomic Variables and Stock Market: Evidence from India
ACCF, Amity University, Noida, Uttar Pradesh, India.
Department of Commerce, Kurukshetra University, Kurukshetra, Haryana, India.
Linköping University, Department of Management and Engineering, Division of Languages for Specific Purposes. Linköping University, Faculty of Arts and Sciences.ORCID iD: 0000-0001-9725-9761
2021 (English)In: Management and Labour Studies, ISSN 0258-042X, Vol. 47, no 1, p. 119-129Article in journal (Refereed) Published
Abstract [en]

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

Place, publisher, year, edition, pages
SAGE Publications India, 2021. Vol. 47, no 1, p. 119-129
Keywords [en]
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
National Category
Business Administration
Identifiers
URN: urn:nbn:se:liu:diva-181536DOI: 10.1177/0258042x211053166Scopus ID: 2-s2.0-85118220200OAI: oai:DiVA.org:liu-181536DiVA, id: diva2:1615819
Available from: 2021-12-01 Created: 2021-12-01 Last updated: 2022-04-28

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Mishra, Nandita

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CiteExportLink to record
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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf