Do European, Middle-East and Asian Stock Markets Impact on Indian Stock Market? A Case Study Based on NIFTY Stock Index Forecasting

Jatin Trivedi, Cristi Spulbar (), Ramona Birau, Amir Mehdiabadi and Ion Florescu
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Jatin Trivedi: National Institute of Securities Markets
Ramona Birau: University of Craiova
Amir Mehdiabadi: Mahan Business School
Ion Florescu: University of Craiova

Scientific Annals of Economics and Business (continues Analele Stiintifice), 2022, vol. 69, issue 4, 599 - 613

Abstract: This paper estimates NIFTY index from Indian stock market by considering a cluster of MSCI European, Middle East and Asian stock market indices. In the forecasting process, we obtain group of independent variables to test its relative impact over dependent variable (NIFTY) considering a sample size of daily observations from January 2000 to December 2021 abstracted from Bloomberg. We run OLS regression, Quantile estimations with additional parameter of VIF and BKW. We found significant impact association with China (Asian index) and Saudi Arabia (Middle East index) during the forecasting process compared to rest of sample indices that exceed unexpectedly out of VIF limits. Further, we recorded strong association of independent variables despite of statistical significance (

Keywords: stock market forecasting; inflation; VIF; BKW; OLS regression; EMEA countries; Indian stock market performace (search for similar items in EconPapers)
Date: 2022
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