Modelling (A)symmetric Nexus Between Macroeconomic Information Sentiment Biases and Stock Market Returns in Case of India: A Bound Test Approach

Prem Vaswani, M. Padmaja
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Abstract

This research attempts to scrutinise the asymmetric nexus of macroeconomic factors in determining the financial stock market performance using index returns of BSE-SENSEX and NSE-NIFTY as proxies for stock market performance in India. The auto-regressive distributed lag (ARDL) results demonstrate the long-term nexus of money supply, interest rates, gold prices, inflation, exchange rate, oil prices and foreign institutional investment (FII) in the capital market with stock returns. The non-linear ARDL (NARDL) results unequivocally support that the selected macroeconomic factors have an asymmetric nexus with the stock market performance. The study’s empirical findings have significant consequences for policy in designing the asset allocation decisions by the investor, portfolio managers and policymakers in the circumstances of a sudden positive or negative shock in the stock market. JEL Codes: E44, G10, C58
以印度为例,模拟宏观经济信息情绪偏差与股市回报之间的(A)对称关联:边界检验法
本研究试图利用 BSE-SENSEX 和 NSE-NIFTY 指数收益率作为印度股市表现的替代指标,仔细研究宏观经济因素在决定金融股市表现方面的非对称关系。自回归分布滞后(ARDL)结果表明,货币供应量、利率、黄金价格、通货膨胀、汇率、石油价格和资本市场中的外国机构投资(FII)与股票收益率之间存在长期联系。非线性 ARDL(NARDL)结果明确支持所选宏观经济因素与股票市场表现之间存在非对称关系。研究的实证结果对投资者、投资组合经理和政策制定者在股市突然受到正面或负面冲击的情况下设计资产配置决策具有重要的政策意义。JEL Codes:E44, G10, C58
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