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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
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    File URL: https://mpra.ub.uni-muenchen.de/43313/1/MPRA_paper_43313.pdf
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    References listed on IDEAS

    as
    1. Naka, Atsuyuki & Mukherjee, Tarun K. & Tufte, David R., 1998. "Macroeconomic variables and the performance of the Indian Stock Market," Working Papers 1998-06, University of New Orleans, Department of Economics and Finance.
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    More about this item

    Keywords

    Descriptive Statistics; ADF Test; Correlation Matrix; Econometric Regression Model; Granger Causality Test;

    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

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