A Study of the Effect of Macroeconomic Variables on Stock Market: Indian Perspective
Chandni Makan,
Avneet Kaur Ahuja and
Saakshi Chauhan
MPRA Paper from University Library of Munich, Germany
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.
Keywords: Descriptive Statistics; ADF Test; Correlation Matrix; Econometric Regression Model; Granger Causality Test (search for similar items in EconPapers)
JEL-codes: A2 A22 C1 C12 M2 (search for similar items in EconPapers)
Date: 2012-11-19
New Economics Papers: this item is included in nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:43313
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