Purpose of the study: The present study investigates the influence of selected macroeconomic variables in terms of international crude oil price, exchange rates, domestic gold price, real interest rates and wholesale price index on stock market indices (sensex and nifty) of India. Background: Macroeconomic variables directly or indirectly affect the stock prices because it influences strongly the stock returns by affecting the stock prices, which supports the existance of a long-run relationship between the macroeconomic variables and stock prices. Methodology: This study is based on time series monthly data collected from Reserve Bank of India database; BSE and NSE database, investing.com and yahoo, finance database for the period July 1997 to July 2015 with the application of financial econometrics. Results: The empirical results reveal that sensex and nifty reactions to shocks on crude oil prices, exchanges rates, real interest rates and whole prices indices were positive while a negative shock from sensex and nifty to real interest was noticed.
| Published in | American Journal of Theoretical and Applied Business (Volume 1, Issue 3) |
| DOI | 10.11648/j.ajtab.20150103.11 |
| Page(s) | 53-63 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2024. Published by Science Publishing Group |
Macroeconomic Indicators, Stock Market, India, Cointegration Test, Causality Test, Vector Error Correction Model
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APA Style
Debasish Sur, Amalendu Bhunia. (2016). Impact of Selected Macroeconomic Variables on Stock Market in India. American Journal of Theoretical and Applied Business, 1(3), 53-63. https://doi.org/10.11648/j.ajtab.20150103.11
ACS Style
Debasish Sur; Amalendu Bhunia. Impact of Selected Macroeconomic Variables on Stock Market in India. Am. J. Theor. Appl. Bus. 2016, 1(3), 53-63. doi: 10.11648/j.ajtab.20150103.11
AMA Style
Debasish Sur, Amalendu Bhunia. Impact of Selected Macroeconomic Variables on Stock Market in India. Am J Theor Appl Bus. 2016;1(3):53-63. doi: 10.11648/j.ajtab.20150103.11
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Download@article{10.11648/j.ajtab.20150103.11,
author = {Debasish Sur and Amalendu Bhunia},
title = {Impact of Selected Macroeconomic Variables on Stock Market in India},
journal = {American Journal of Theoretical and Applied Business},
volume = {1},
number = {3},
pages = {53-63},
doi = {10.11648/j.ajtab.20150103.11},
url = {https://doi.org/10.11648/j.ajtab.20150103.11},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtab.20150103.11},
abstract = {Purpose of the study: The present study investigates the influence of selected macroeconomic variables in terms of international crude oil price, exchange rates, domestic gold price, real interest rates and wholesale price index on stock market indices (sensex and nifty) of India. Background: Macroeconomic variables directly or indirectly affect the stock prices because it influences strongly the stock returns by affecting the stock prices, which supports the existance of a long-run relationship between the macroeconomic variables and stock prices. Methodology: This study is based on time series monthly data collected from Reserve Bank of India database; BSE and NSE database, investing.com and yahoo, finance database for the period July 1997 to July 2015 with the application of financial econometrics. Results: The empirical results reveal that sensex and nifty reactions to shocks on crude oil prices, exchanges rates, real interest rates and whole prices indices were positive while a negative shock from sensex and nifty to real interest was noticed.},
year = {2016}
}
TY - JOUR T1 - Impact of Selected Macroeconomic Variables on Stock Market in India AU - Debasish Sur AU - Amalendu Bhunia Y1 - 2016/01/21 PY - 2016 N1 - https://doi.org/10.11648/j.ajtab.20150103.11 DO - 10.11648/j.ajtab.20150103.11 T2 - American Journal of Theoretical and Applied Business JF - American Journal of Theoretical and Applied Business JO - American Journal of Theoretical and Applied Business SP - 53 EP - 63 PB - Science Publishing Group SN - 2469-7842 UR - https://doi.org/10.11648/j.ajtab.20150103.11 AB - Purpose of the study: The present study investigates the influence of selected macroeconomic variables in terms of international crude oil price, exchange rates, domestic gold price, real interest rates and wholesale price index on stock market indices (sensex and nifty) of India. Background: Macroeconomic variables directly or indirectly affect the stock prices because it influences strongly the stock returns by affecting the stock prices, which supports the existance of a long-run relationship between the macroeconomic variables and stock prices. Methodology: This study is based on time series monthly data collected from Reserve Bank of India database; BSE and NSE database, investing.com and yahoo, finance database for the period July 1997 to July 2015 with the application of financial econometrics. Results: The empirical results reveal that sensex and nifty reactions to shocks on crude oil prices, exchanges rates, real interest rates and whole prices indices were positive while a negative shock from sensex and nifty to real interest was noticed. VL - 1 IS - 3 ER -
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