Influence of Macroeconomic Variable on Indian Stock Movement: Cointegration Approach

Vardhan, Harsh and Sinha, Pankaj (2015): Influence of Macroeconomic Variable on Indian Stock Movement: Cointegration Approach.

Abstract

The purpose of this study is to explore the influence of identified macroeconomic variables on Indian stock returns during the post liberalization period using Vector Error Correction Model (VECM). It was found that the nine macroeconomic variables have both long-term relationship and short-term relationship with SENSEX returns. This fact provided insight into a variety of interesting interrelationships between multiple macroeconomic variables, which gives direction for further reforms in the emerging market.

• Item Type: MPRA Paper
• Language: English
• Keywords: Cointegration, Vector Error Correction Model, Macroeconomic Variables
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C54 - Quantitative Policy Modeling; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; G - Financial Economics > G1 - General Financial Markets > G18 - Government Policy and Regulation; G - Financial Economics > G2 - Financial Institutions and Services > G23 - Non-bank Financial Institutions ; Financial Instruments ; Institutional Investors

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