{"title":"印度股票市场部门指数变动与宏观经济变量的实证研究","authors":"Sitaram Pandey","doi":"10.1177/ijim.221086678","DOIUrl":null,"url":null,"abstract":"The goal of this research is to look at how the Indian stock market sectoral indices respond to three macroeconomic variables: oil price (OP), gold price (GP) and exchange rate (ER) between 2016 and 2020. The data of sectoral indices were collected from the Bombay Stock Exchange. The underlying series is evaluated as non-stationary at the level, but stationary in the first difference, using the augmented Dickey–Fuller unit root test. The multivariate co-integration analysis and vector error correction model indicates that there are long-term links between macroeconomic variables and sectoral indices in the information technology sector. Meanwhile, the research using the vector auto regression model approach shows that there are short-run correlations between macroeconomic variables and sectoral indices, namely Basic Materials, Fast Moving Consumer Goods, Finance, Healthcare, Information Technology, Auto, Bankex, Power and Reality. The results document that OP, GP and ER simultaneously have a significant effect on sectoral indices in the Indian stock market. To stabilise the stock market post-COVID-19, the authorities are advised to put economic policies sector-wise to accelerate the economic growth and to maintain fiscal discipline. The authorities need to stabilise the aforementioned macroeconomic variables to accelerate the economic growth as the ER has a significant negative impact on all sectors.","PeriodicalId":403169,"journal":{"name":"IMIB Journal of Innovation and Management","volume":"14 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"An Empirical Study of the Movement of Sectoral Indices and Macroeconomic Variables in the Indian Stock Market\",\"authors\":\"Sitaram Pandey\",\"doi\":\"10.1177/ijim.221086678\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The goal of this research is to look at how the Indian stock market sectoral indices respond to three macroeconomic variables: oil price (OP), gold price (GP) and exchange rate (ER) between 2016 and 2020. The data of sectoral indices were collected from the Bombay Stock Exchange. The underlying series is evaluated as non-stationary at the level, but stationary in the first difference, using the augmented Dickey–Fuller unit root test. The multivariate co-integration analysis and vector error correction model indicates that there are long-term links between macroeconomic variables and sectoral indices in the information technology sector. Meanwhile, the research using the vector auto regression model approach shows that there are short-run correlations between macroeconomic variables and sectoral indices, namely Basic Materials, Fast Moving Consumer Goods, Finance, Healthcare, Information Technology, Auto, Bankex, Power and Reality. The results document that OP, GP and ER simultaneously have a significant effect on sectoral indices in the Indian stock market. To stabilise the stock market post-COVID-19, the authorities are advised to put economic policies sector-wise to accelerate the economic growth and to maintain fiscal discipline. The authorities need to stabilise the aforementioned macroeconomic variables to accelerate the economic growth as the ER has a significant negative impact on all sectors.\",\"PeriodicalId\":403169,\"journal\":{\"name\":\"IMIB Journal of Innovation and Management\",\"volume\":\"14 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"IMIB Journal of Innovation and Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1177/ijim.221086678\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"IMIB Journal of Innovation and Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1177/ijim.221086678","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
An Empirical Study of the Movement of Sectoral Indices and Macroeconomic Variables in the Indian Stock Market
The goal of this research is to look at how the Indian stock market sectoral indices respond to three macroeconomic variables: oil price (OP), gold price (GP) and exchange rate (ER) between 2016 and 2020. The data of sectoral indices were collected from the Bombay Stock Exchange. The underlying series is evaluated as non-stationary at the level, but stationary in the first difference, using the augmented Dickey–Fuller unit root test. The multivariate co-integration analysis and vector error correction model indicates that there are long-term links between macroeconomic variables and sectoral indices in the information technology sector. Meanwhile, the research using the vector auto regression model approach shows that there are short-run correlations between macroeconomic variables and sectoral indices, namely Basic Materials, Fast Moving Consumer Goods, Finance, Healthcare, Information Technology, Auto, Bankex, Power and Reality. The results document that OP, GP and ER simultaneously have a significant effect on sectoral indices in the Indian stock market. To stabilise the stock market post-COVID-19, the authorities are advised to put economic policies sector-wise to accelerate the economic growth and to maintain fiscal discipline. The authorities need to stabilise the aforementioned macroeconomic variables to accelerate the economic growth as the ER has a significant negative impact on all sectors.