Influence of Macroeconomic Variable on Indian Stock Movement: Cointegration Approach

Harsh Vardhan and Pankaj Sinha

MPRA Paper from University Library of Munich, Germany

Abstract: The purpose of this study is to explore the influence of identified macroeconomic variables on Indian stock returns during the post liberalization period using Vector Error Correction Model (VECM). It was found that the nine macroeconomic variables have both long-term relationship and short-term relationship with SENSEX returns. This fact provided insight into a variety of interesting interrelationships between multiple macroeconomic variables, which gives direction for further reforms in the emerging market.

Keywords: Cointegration; Vector Error Correction Model; Macroeconomic Variables (search for similar items in EconPapers)
JEL-codes: C54 C58 G15 G18 G23 (search for similar items in EconPapers)
Date: 2015-03-10, Revised 2015-05-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/64369/1/MPRA_paper_64369.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:64369

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().