IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/43313.html
   My bibliography  Save this paper

A Study of the Effect of Macroeconomic Variables on Stock Market: Indian Perspective

Author

Listed:
  • Makan, Chandni
  • Ahuja, Avneet Kaur
  • Chauhan, Saakshi

Abstract

Result of this study help in exploring whether the movement of Bombay Stock Exchanges indices is the outcome of some selected macroeconomic variables or it is one of the causes of movement in those variables of the Indian economy. The study consider macroeconomic variables as Index of Industrial production (IIP), Consumer Price Index (CPI), Call Money Rate (CMR), Dollar Price (DP), Foreign Institutional Investment (FII), Crude Oil Prices (CO), Gold Price (GP) and Bombay Stock Exchanges indices in the form of SENSEX, BSE- Metals, Auto, Capital Goods, Fast Moving Consumer Goods and Consumer Durables by using monthly data that span from April, 2005 to March, 2012. More specifically, in the study we use ADF test, Correlation and Regression analysis and Granger Casually test to see the effect of macroeconomic variables on Bombay Stock Exchange Indices and vice versa (by using Granger Causality test) and found some interesting results for our study analysis.

Suggested Citation

  • Makan, Chandni & Ahuja, Avneet Kaur & Chauhan, Saakshi, 2012. "A Study of the Effect of Macroeconomic Variables on Stock Market: Indian Perspective," MPRA Paper 43313, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:43313
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/43313/1/MPRA_paper_43313.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Descriptive Statistics; ADF Test; Correlation Matrix; Econometric Regression Model; Granger Causality Test;
    All these keywords.

    JEL classification:

    • A22 - General Economics and Teaching - - Economic Education and Teaching of Economics - - - Undergraduate
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • A2 - General Economics and Teaching - - Economic Education and Teaching of Economics
    • M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:43313. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.