The global financial crisis and variability in the stock price index in India: a vector error correction model approach

Jagriti Srivastava and Sandeep Yadav

International Journal of Indian Culture and Business Management, 2023, vol. 29, issue 1, 81-95

Abstract: We study the cointegration and causality between the various macroeconomic variables, global financial crisis (GFC) and the Indian economy [National Stock Exchange (NSE)] stock price index (SPI) from 1995-2018. We analyse how the macroeconomic variables: exchange rate (EX), gross domestic product (GDP), consumer price index (CPI), and money supply (M2) and SPI are related using a vector error correction model (VECM). The results suggest a long-run cointegrating relationship between the above-mentioned macroeconomic variables and SPI. We also find that bidirectional causality exists between GDP and SPI in India. The results also show that SPI and GFC have a significant negative relationship.

Keywords: stock price index; SPI; exchange rate; gross domestic product; GDP; consumer price index; CPI; money supply; cointegration; causality; global financial crisis; GFC. (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.inderscience.com/link.php?id=130933 (text/html)
Access to full text is restricted to subscribers.

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:ids:ijicbm:v:29:y:2023:i:1:p:81-95

Access Statistics for this article

More articles in International Journal of Indian Culture and Business Management from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().