Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India
American Journal of Theoretical and Applied Business
Volume 1, Issue 1, June 2015, Pages: 1-5
Received: Apr. 24, 2015; Accepted: May 4, 2015; Published: May 9, 2015
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Authors
Amalendu Bhunia, Associate Professor, Department of Commerce, University of Kalyani, Kalyani, Nadia, West Bengal, India
Soumya Ganguly, Department of Commerce, Barrackpore Rastraguru Surendranath College, West Bengal, India
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Abstract
Purpose of the Study: The present paper investigates how stock market index in India is practically being shocked by two commodity indicators, GDP growth rate and exchange rates. Background: Financial theory and empirical studies confirm that market index is one of the paramount indicators of changes in macroeconomic movement and that’s why in the last twenty three years by reason of the mounting credence those genuine macroeconomic movements habitually shock on stock price indices in India. Methodology: The study is based on secondary data obtained from RBI database, BSE database and Index Mundi database for the period between 1991 and 2013 with 23 observations using ADF unit root test and Johansen cointegration test. Results: The empirical results illustrate that there is significant long-term cointegration unwavering relationships exist. Findings: Indian stock market index is very depending upon the price of international crude oil price, gold price, exchange rates and GDP growth.
Keywords
Gold Price, Crude Oil Price, GDP Growth Rate, Exchange Rates, India, Sensex, ADF Unit Root Test, Johansen Cointegration Test
To cite this article
Amalendu Bhunia, Soumya Ganguly, Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India, American Journal of Theoretical and Applied Business. Vol. 1, No. 1, 2015, pp. 1-5. doi: 10.11648/j.ajtab.20150101.11
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