The effect of Macroeconomic Determinants on the Performance of the Indian Stock Market
نویسندگان
چکیده
The study investigates the effect of macroeconomic determinants on the performance of the Indian Stock Market using monthly data over the period January 1991 to December 2011 for eight macroeconomic variables, namely, Interest Rate, Inflation, Exchange Rate, Index of Industrial Production, Money Supply, Gold Price, Silver Price & Oil Price, and two stock market indices namely Sensex and S&P CNX Nifty. By applying Augmented Dickey Fuller Unit root test, Johansen Cointegration test, Granger Causality test and Vector Error Correction Model (VECM), the study found that Interest Rate is I(0); Sensex, Nifty, Exchange Rate, Index of Industrial Production, Gold Price, Silver Price and Oil Price are I (1); and Inflation and Money Supply are I (2). It also found the long run relationship between macroeconomic variables and stock market indices. The study also revealed the causality run from exchange rate to stock market indices to IIP and Oil Price.
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