Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships
The rapid growth of Indian economy during the last two decades raises empirical questions regarding the fundamental connection between stock price and key macroeconomic indicators. This paper aims to examine long and short run relations between selected macroeconomic indicators and stock market ret...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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EconJournals
2016-07-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/2328 |
| _version_ | 1797907428023468032 |
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| author | Kiran Kumar Kotha Bhawna Sahu |
| author_facet | Kiran Kumar Kotha Bhawna Sahu |
| author_sort | Kiran Kumar Kotha |
| collection | DOAJ |
| description |
The rapid growth of Indian economy during the last two decades raises empirical questions regarding the fundamental connection between stock price and key macroeconomic indicators. This paper aims to examine long and short run relations between selected macroeconomic indicators and stock market returns with reference to India. This study employs monthly data from July 2001 to July 2015 since major stock market reforms viz., ban of Badla system, introduction of rolling settlement and introduction of stock derivatives, were all implemented in July 2001. With the help of co-integration and error correction model, the study reveals the presence of long run relation between the BSE Sensex and select macroeconomic indicators viz., Exchange Rate, Wholesale Price Index, T-bill rates and M3.
Keywords: Macroeconomic indicators, stock returns, Cointegration
JEL Classification: G15
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| first_indexed | 2024-04-10T10:36:32Z |
| format | Article |
| id | doaj.art-53c6a7f56cf2405ab3bbd1b115358da4 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T10:36:32Z |
| publishDate | 2016-07-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-53c6a7f56cf2405ab3bbd1b115358da42023-02-15T16:20:49ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382016-07-0163Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run RelationshipsKiran Kumar Kotha0Bhawna Sahu1Indian Institute of Management IndoreIndian Institute of Management Indore The rapid growth of Indian economy during the last two decades raises empirical questions regarding the fundamental connection between stock price and key macroeconomic indicators. This paper aims to examine long and short run relations between selected macroeconomic indicators and stock market returns with reference to India. This study employs monthly data from July 2001 to July 2015 since major stock market reforms viz., ban of Badla system, introduction of rolling settlement and introduction of stock derivatives, were all implemented in July 2001. With the help of co-integration and error correction model, the study reveals the presence of long run relation between the BSE Sensex and select macroeconomic indicators viz., Exchange Rate, Wholesale Price Index, T-bill rates and M3. Keywords: Macroeconomic indicators, stock returns, Cointegration JEL Classification: G15 https://www.econjournals.com/index.php/ijefi/article/view/2328 |
| spellingShingle | Kiran Kumar Kotha Bhawna Sahu Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships International Journal of Economics and Financial Issues |
| title | Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships |
| title_full | Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships |
| title_fullStr | Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships |
| title_full_unstemmed | Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships |
| title_short | Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships |
| title_sort | macroeconomic factors and the indian stock market exploring long and short run relationships |
| url | https://www.econjournals.com/index.php/ijefi/article/view/2328 |
| work_keys_str_mv | AT kirankumarkotha macroeconomicfactorsandtheindianstockmarketexploringlongandshortrunrelationships AT bhawnasahu macroeconomicfactorsandtheindianstockmarketexploringlongandshortrunrelationships |