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Association Between Stock Market Liquidity and Some Selected on Indian Stock Market Macroeconomic Variables : A Case Study

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  • Som Sankar Sen
  • Santanu Kumar Ghosh

Abstract

This paper attempts to empirically study the relationship between Index of Industrial Production, Consumer Price Index, Exchange Rate of Indian Rupee against the US Dollar, Gold price and Money Supply with the Stock Market Liquidity. Using two widely used proxies to liquidity that is Turnover Ratio and Amivest Liquidity Ratio and applying long-run static model and Error Correction Model, the paper establishes significant relationship between Stock Market Liquidity and the selected macroeconomic variables. Moreover, the joint positive effect of macroeconomic variables has also been established with the help of the Principal Component Analysis.

Suggested Citation

  • Som Sankar Sen & Santanu Kumar Ghosh, 2008. "Association Between Stock Market Liquidity and Some Selected on Indian Stock Market Macroeconomic Variables : A Case Study," The IUP Journal of Financial Economics, IUP Publications, vol. 0(3), pages 53-73, September.
  • Handle: RePEc:icf:icfjfe:v:06:y:2008:i:3:p:53-73
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