Asymmetric relationship between macroeconomic uncertainty and stock market performance: a study of the Indian stock market

Prem Vaswani () and Padmaja M ()
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Prem Vaswani: National Institute of Technology Tiruchirappalli
Padmaja M: National Institute of Technology Tiruchirappalli

Economics Bulletin, 2023, vol. 43, issue 4, 1887 - 1895

Abstract: This research attempts to scrutinize the asymmetric nexus of macroeconomic factors in determining the financial stock market performance using Index returns of BSE-SENSEX and NSE-NIFTY as proxies for stock market performance in India. The Non-linear ARDL (NARDL) results support unequivocally that the selected macroeconomic factors as inflation, exchange rates, broad money supply, call money rates, oil prices, gold prices, FII, and BTCR have an asymmetric nexus with the stock market performance. The study's empirical findings have significant consequences for policy in designing the asset allocation decisions by the investor, portfolio managers and policy makers in the circumstances of a sudden positive or negative shock in the stock market.

Keywords: Macroeconomics; Stock Market; Stock returns; Co-integration; Error correction; NARDL (search for similar items in EconPapers)
JEL-codes: E6 G1 (search for similar items in EconPapers)
Date: 2023-12-30
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