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Interrelationship between Rainfall Index and Nifty Index: An Empirical Study

Author

Listed:
  • Mr. Dileep N
  • Dr. G. Kotreshwar

Abstract

Purpose: The proposed study is an attempt to determine whether a relationship exists between rainfall index and NSE Nifty index. Design/Methodology/Approach: The study used the monthly mean rainfall data and monthly closing price of Nifty index. The study applied Augmented Dickey-Fuller (ADF) test, correlation analysis, the GARCH (1,1) model, and the Granger Causality test to analyse the interrelationship. Findings: The results of correlation matrix show that there is no interrelationship between the two variables. The GARCH (1,1) model found that the NSE Nifty index is not affected by the rainfall index and Granger Causality test displays that rainfall index does not Granger Cause the Nifty index. Practical implications: As a result, this rainfall index is potentially a distinct and unique asset worth considering portfolio investment strategy. Further studies can be conducted to know the interrelationship between the rainfall index and the other stock indices or any other financial indices. Originality value: According to the authors' knowledge, this is the first empirical study to determine the interrelationship between the rainfall index and the Nifty Index over a longer period of time.

Suggested Citation

  • Mr. Dileep N & Dr. G. Kotreshwar, 2023. "Interrelationship between Rainfall Index and Nifty Index: An Empirical Study," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 95-106.
    • Handle: RePEc:ers:ijebaa:v:xi:y:2023:i:1:p:95-106
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    References listed on IDEAS

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    3. Stephen Keef & Melvin Roush, 2007. "Daily weather effects on the returns of Australian stock indices," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 173-184.
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    More about this item

    Keywords

    Rainfall index; NSE Nifty index; GARCH (1; 1) model; Granger Causality test and Distinct asset.;
    All these keywords.

    JEL classification:

    • Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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