Dynamic connection between macroeconomic variables and sectoral stock returns: Evidence from India

Parminder Kaur and Dr. Ravi Singla
Additional contact information
Parminder Kaur: University School of Applied Management, Punjabi University, Patiala
Dr. Ravi Singla: University School of Applied Management, Punjabi University, Patiala

Theoretical and Applied Economics, 2021, vol. XXVIII, issue 1(626), Spring, 273-288

Abstract: The present study attempts to assess the impact of institutional investments, foreign direct investment, index of industrial production, interest rate, inflation rate, exchange rate, gold rates and oil prices on the sectoral indices of NSE using monthly data from 01/01/2009 to 30/12/2019. The study is covering four sectoral indices financial services, FMCG, IT and oil and gas which cover almost 78% of market capitalisation of NSE. An autoregressive distributed lag (ARDL) model is used to examine the short run and long run method co-integration between macroeconomic variables and stock market performance as the variables are integrated of different order. The outcomes of the study find that in the long run institutional investment and index of industrial production are the major determinants and in the short run, the major determinants are index of industrial production, wholesale price index and exchange rate. Government must focus on these areas to efficiently run the stock market.

Keywords: co-integration; ARDL; financial services; FMCG; IT; oil and gas. (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://store.ectap.ro/articole/1532.pdf (application/pdf)
http://www.ectap.ro/articol.php?id=1532&rid=142 (text/html)

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:agr:journl:v:1(626):y:2021:i:1(626):p:273-288

Access Statistics for this article

Theoretical and Applied Economics is currently edited by Mircea Dinu

More articles in Theoretical and Applied Economics from Asociatia Generala a Economistilor din Romania / Editura Economica Contact information at EDIRC.
Bibliographic data for series maintained by Mircea Dinu ().