Macroeconomic variables and the performance of the Indian Stock Market
Tarun Mukherjee and
David Tufte ()
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Atsuyuki Naka: University of New Orleans
Tarun Mukherjee: University of New Orleans
No 1998-06, Working Papers from University of New Orleans, Department of Economics and Finance
In this paper we analyze relationships among selected macroeconomic variables and the Indian stock market. By employing a vector error correction model, we find that three long-term equilibrium relationships exist among these variables. Our results suggest that domestic inflation is the most severe deterrent to Indian stock market performance, and domestic output growth is its predominant driving force. After accounting for macroeconomic factors, the Indian market still appears to be drawn downward by a residual negative trend. We attribute this to economic mismanagement, since the size of the downward pull mitigates after 1990, coinciding with the beginning of Indian economic reforms.
Keywords: India; Bombay Stock Exchange; Cointegration; Johansen method; Identification (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:uno:wpaper:1998-06
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