Macroeconomic variables and the performance of the Indian Stock Market
AbstractIn this paper we analyze relationships among selected macroeconomic variables and the Indian stock market. By employing a vector error correction model, we find that three long-term equilibrium relationships exist among these variables. Our results suggest that domestic inflation is the most severe deterrent to Indian stock market performance, and domestic output growth is its predominant driving force. After accounting for macroeconomic factors, the Indian market still appears to be drawn downward by a residual negative trend. We attribute this to economic mismanagement, since the size of the downward pull mitigates after 1990, coinciding with the beginning of Indian economic reforms.
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Bibliographic InfoPaper provided by University of New Orleans, Department of Economics and Finance in its series Working Papers with number 1998-06.
Length: 31 pages
Date of creation: 1998
Date of revision:
India; Bombay Stock Exchange; Cointegration; Johansen method; Identification;
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- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- Puah, Chin-Hong & Jayaraman, T. K., 2007. "Dynamic linkage between Macroeconomic Activities and Stock Prices in Fiji," MPRA Paper 37671, University Library of Munich, Germany.
- 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.
- SHUBITA, Moade Fawzi & AL-SHARKAS, Adel A., 2010. "A Study Of Size Effect And Macroeconomics Factors In New York Stock Exchange Stock Returns," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 10(2).
- Al-Sharkas, A.A. , 2004. "Dynamic Relations Between Macroeconomic Factors and the Jordanian Stock Market," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(1), pages 97-114.
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