Analysis of the impact of select macroeconomic variables on the Indian Stock Market: A heteroscedastic cointegration approach

Business and Economic Horizons Pub Date : 2017-01-01 DOI:10.15208/BEH.2017.09

Naushad Alam

引用次数: 14

Abstract

The present study examines the impact of the macroeconomic variables on the stock prices in India. To fulfil the objective of the study monthly data of inflation, short-term interest rate, long-term interest rate, index of industrial production, exchange rate, money supply, and the stock indices of CNX Nifty and BSE SENSEX were collected from March 2005 to April 2013. Heteroscedastic cointegration approach was employed using a Johansen test of cointegration, OLS and GARCH (1, 1) model to find out the long-term relationship between the selected macroeconomic variables and the stock prices. It is evident from the study that there exist the long-term heteroscedastic relationships between the stock prices and the macroeconomic variables chosen for the study. Further, it is also evident from the study that while INF, MSE and the IIP are positively related to the stock prices, the SIR, LIR and the EXR are negatively related to the stock prices.

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选择宏观经济变量对印度股市的影响分析:异方差协整方法

本研究考察了宏观经济变量对印度股票价格的影响。为了实现研究目标，收集了2005年3月至2013年4月的通货膨胀、短期利率、长期利率、工业生产指数、汇率、货币供应量以及CNX Nifty和BSE SENSEX股票指数的月度数据。采用异方差协整方法，采用协整检验、OLS和GARCH(1,1)模型，找出所选宏观经济变量与股价之间的长期关系。研究表明，股票价格与本研究选取的宏观经济变量之间存在着长期的异方差关系。此外，从研究中还可以看出，虽然INF、MSE和IIP与股价呈正相关，但SIR、LIR和EXR与股价呈负相关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Business and Economic Horizons ECONOMICS-

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期刊介绍： The Business and Economic Horizons (BEH) is an international peer-reviewed journal that publishes high quality theoretical, empirical, and review papers covering the broad spectrum of research in areas of economics, business, management, and finance. The journal aim is to bridge the gap between the theory and the observed data in these constantly developing domains. BEH Editorial Board welcomes the high-quality original research articles and review papers that verify the well-grounded and the emerging theories by employing the econometric, statistical methods or other relevant empirical methods in theoretical and applied economic analysis. BEH does not discriminate articles utilizing the non-mainstream approaches such as experimental research, institutional analysis, other variations of heterodox and developmental economic studies. Therefore, the submissions in any field of micro- and macroeconomics, business ethics, economic policy or finance are appropriate for this journal. We hope, the provided contributions will help to understand the contemporary challenges faced by the private and public sector and will establish an international forum of empirical research.