Interrelationship Between Macroeconomic Fundamentals and Sector-Specific Stock Indices of the Indian Manufacturing Sector

Sumit Kumar Maji (), Arindam Laha () and Debasish Sur ()
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Sumit Kumar Maji: The University of Burdwan
Debasish Sur: The University of Burdwan

Chapter Chapter 6 in Indian Manufacturing Sector in Post-Reform Period, 2022, pp 109-132 from Springer

Abstract: Abstract This chapter focuses on the dynamic relationship between the select manufacturing sector-specific stock market indices and the various macroeconomic factors. The long-run and short-run interrelation between the indices and the macroeconomic variables was accomplished using Auto Regressive Distributed Lag framework. The outcome of the study showed the existence of both short-run and long-run relationships. The effect of all the macroeconomic variables was not found to be statistically significant for all the sector-specific indices. However, economic policy uncertainty, foreign portfolio investment ratio and price factor emerged as the most sensitive macroeconomic variables affecting the selected sector-specific indices during the period under study.

Keywords: Manufacturing; Macroeconomic factors; Auto regressive distributed lag; Economic policy uncertainty; Foreign portfolio investment ratio and Price factor (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-19-2666-2_6

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DOI: 10.1007/978-981-19-2666-2_6

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