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The Predictive Power of Macroeconomic Variables on the Indian Stock Market Utilizing an Ann Model Approach: An Empirical Investigation Based on BSE Sensex

Author

Listed:
  • Goel Himanshu

    (1 Jagan Institute of Management Studies Technical Campus, India)

  • Agarwal Monika

    (2 Jagan Institute of Management Studies Technical Campus, India)

  • Chhabra Meghna

    (3 Delhi School of Business, India)

  • Som Bhupender Kumar

    (4 GNIOT Institute of Management Studies (GIMS), India)

Abstract

The paper focuses on the use of Artificial Neural Networks (ANNs) for forecasting time series data of the stock market since ANNs are dynamic and are more capable of handling complex data sets in comparison to conventional forecasting techniques such as regression, Logistic regression, and have massive potential for the prediction of stock market prices.

Suggested Citation

  • Goel Himanshu & Agarwal Monika & Chhabra Meghna & Som Bhupender Kumar, 2023. "The Predictive Power of Macroeconomic Variables on the Indian Stock Market Utilizing an Ann Model Approach: An Empirical Investigation Based on BSE Sensex," Folia Oeconomica Stetinensia, Sciendo, vol. 23(2), pages 116-131, December.
    • Handle: RePEc:vrs:foeste:v:23:y:2023:i:2:p:116-131:n:10
    DOI: 10.2478/foli-2023-0022
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    References listed on IDEAS

    as
    1. Dharmaraja Selvamuthu & Vineet Kumar & Abhishek Mishra, 2019. "Indian stock market prediction using artificial neural networks on tick data," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-12, December.
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    4. Narinder Pal Singh & Sugandha Sharma, 2018. "Phase-wise analysis of dynamic relationship among gold, crude oil, US dollar and stock market," Journal of Advances in Management Research, Emerald Group Publishing Limited, vol. 15(4), pages 480-499, August.
    5. Xiao Zhong & David Enke, 2019. "Predicting the daily return direction of the stock market using hybrid machine learning algorithms," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-20, December.
    6. Ghosh, Sajal & Kanjilal, Kakali, 2016. "Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests," Energy Economics, Elsevier, vol. 53(C), pages 111-117.
    7. Areli Bermudez Delgado, Nancy & Bermudez Delgado, Estefanía & Saucedo, Eduardo, 2018. "The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 266-275.
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    More about this item

    Keywords

    foreign exchange; index of industrial production; BSE Sensex; macroeconomic variables; prediction;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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