Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India

Amalendu Bhunia; Soumya Ganguly

doi:doi:10.11648/j.ajtab.20150101.11

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Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India

Amalendu Bhunia, Soumya Ganguly

Published in American Journal of Theoretical and Applied Business (Volume 1, Issue 1)

Received: 24 April 2015 Accepted: 4 May 2015 Published: 9 May 2015

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Abstract

Purpose of the Study: The present paper investigates how stock market index in India is practically being shocked by two commodity indicators, GDP growth rate and exchange rates. Background: Financial theory and empirical studies confirm that market index is one of the paramount indicators of changes in macroeconomic movement and that’s why in the last twenty three years by reason of the mounting credence those genuine macroeconomic movements habitually shock on stock price indices in India. Methodology: The study is based on secondary data obtained from RBI database, BSE database and Index Mundi database for the period between 1991 and 2013 with 23 observations using ADF unit root test and Johansen cointegration test. Results: The empirical results illustrate that there is significant long-term cointegration unwavering relationships exist. Findings: Indian stock market index is very depending upon the price of international crude oil price, gold price, exchange rates and GDP growth.

Published in	American Journal of Theoretical and Applied Business (Volume 1, Issue 1)
DOI	10.11648/j.ajtab.20150101.11
Page(s)	1-5
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2015. Published by Science Publishing Group

Keywords

Gold Price, Crude Oil Price, GDP Growth Rate, Exchange Rates, India, Sensex, ADF Unit Root Test, Johansen Cointegration Test

References

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[3]	Bhunia, A. (2013). Relationships between Commodity Market Indicators and Stock Market Index-an Evidence of India, Academy of Contemporary Research Journal, 2(3), 126-130.
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[7]	Le, Thai-Ha and Chang, Y (2011). Dynamic Relationships between the Price of Oil, Gold and Financial Variables in Japan: A Bounds Testing Approach. Online at http://mpra.ub.uni-muenchen.de/33030/ MPRA Paper No. 33030.
[8]	Naik, P. K. and Padhi, P. (2012). The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: An Evidence from Indian Data, Munich Personal RePEc Archive Paper No. 38980.
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[11]	Samanta, S. K and Zadeh, A. H. M (2012). Co-Movements of Oil, Gold, the US Dollar, and Stocks. Modern Economy, 3, 111-117.
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APA Style

Amalendu Bhunia, Soumya Ganguly. (2015). Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India. American Journal of Theoretical and Applied Business, 1(1), 1-5. https://doi.org/10.11648/j.ajtab.20150101.11

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ACS Style

Amalendu Bhunia; Soumya Ganguly. Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India. Am. J. Theor. Appl. Bus. 2015, 1(1), 1-5. doi: 10.11648/j.ajtab.20150101.11

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AMA Style

Amalendu Bhunia, Soumya Ganguly. Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India. Am J Theor Appl Bus. 2015;1(1):1-5. doi: 10.11648/j.ajtab.20150101.11

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@article{10.11648/j.ajtab.20150101.11,
  author = {Amalendu Bhunia and Soumya Ganguly},
  title = {Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India},
  journal = {American Journal of Theoretical and Applied Business},
  volume = {1},
  number = {1},
  pages = {1-5},
  doi = {10.11648/j.ajtab.20150101.11},
  url = {https://doi.org/10.11648/j.ajtab.20150101.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtab.20150101.11},
  abstract = {Purpose of the Study: The present paper investigates how stock market index in India is practically being shocked by two commodity indicators, GDP growth rate and exchange rates. Background: Financial theory and empirical studies confirm that market index is one of the paramount indicators of changes in macroeconomic movement and that’s why in the last twenty three years by reason of the mounting credence those genuine macroeconomic movements habitually shock on stock price indices in India. Methodology: The study is based on secondary data obtained from RBI database, BSE database and Index Mundi database for the period between 1991 and 2013 with 23 observations using ADF unit root test and Johansen cointegration test. Results: The empirical results illustrate that there is significant long-term cointegration unwavering relationships exist. Findings: Indian stock market index is very depending upon the price of international crude oil price, gold price, exchange rates and GDP growth.},
 year = {2015}
}

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TY  - JOUR
T1  - Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India
AU  - Amalendu Bhunia
AU  - Soumya Ganguly
Y1  - 2015/05/09
PY  - 2015
N1  - https://doi.org/10.11648/j.ajtab.20150101.11
DO  - 10.11648/j.ajtab.20150101.11
T2  - American Journal of Theoretical and Applied Business
JF  - American Journal of Theoretical and Applied Business
JO  - American Journal of Theoretical and Applied Business
SP  - 1
EP  - 5
PB  - Science Publishing Group
SN  - 2469-7842
UR  - https://doi.org/10.11648/j.ajtab.20150101.11
AB  - Purpose of the Study: The present paper investigates how stock market index in India is practically being shocked by two commodity indicators, GDP growth rate and exchange rates. Background: Financial theory and empirical studies confirm that market index is one of the paramount indicators of changes in macroeconomic movement and that’s why in the last twenty three years by reason of the mounting credence those genuine macroeconomic movements habitually shock on stock price indices in India. Methodology: The study is based on secondary data obtained from RBI database, BSE database and Index Mundi database for the period between 1991 and 2013 with 23 observations using ADF unit root test and Johansen cointegration test. Results: The empirical results illustrate that there is significant long-term cointegration unwavering relationships exist. Findings: Indian stock market index is very depending upon the price of international crude oil price, gold price, exchange rates and GDP growth.
VL  - 1
IS  - 1
ER  -

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Author Information

Amalendu Bhunia

Associate Professor, Department of Commerce, University of Kalyani, Kalyani, Nadia, West Bengal, India
Soumya Ganguly

Department of Commerce, Barrackpore Rastraguru Surendranath College, West Bengal, India

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APA Style

Amalendu Bhunia, Soumya Ganguly. (2015). Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India. American Journal of Theoretical and Applied Business, 1(1), 1-5. https://doi.org/10.11648/j.ajtab.20150101.11

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ACS Style

Amalendu Bhunia; Soumya Ganguly. Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India. Am. J. Theor. Appl. Bus. 2015, 1(1), 1-5. doi: 10.11648/j.ajtab.20150101.11

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AMA Style

Amalendu Bhunia, Soumya Ganguly. Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India. Am J Theor Appl Bus. 2015;1(1):1-5. doi: 10.11648/j.ajtab.20150101.11

Copy | Download

@article{10.11648/j.ajtab.20150101.11,
  author = {Amalendu Bhunia and Soumya Ganguly},
  title = {Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India},
  journal = {American Journal of Theoretical and Applied Business},
  volume = {1},
  number = {1},
  pages = {1-5},
  doi = {10.11648/j.ajtab.20150101.11},
  url = {https://doi.org/10.11648/j.ajtab.20150101.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtab.20150101.11},
  abstract = {Purpose of the Study: The present paper investigates how stock market index in India is practically being shocked by two commodity indicators, GDP growth rate and exchange rates. Background: Financial theory and empirical studies confirm that market index is one of the paramount indicators of changes in macroeconomic movement and that’s why in the last twenty three years by reason of the mounting credence those genuine macroeconomic movements habitually shock on stock price indices in India. Methodology: The study is based on secondary data obtained from RBI database, BSE database and Index Mundi database for the period between 1991 and 2013 with 23 observations using ADF unit root test and Johansen cointegration test. Results: The empirical results illustrate that there is significant long-term cointegration unwavering relationships exist. Findings: Indian stock market index is very depending upon the price of international crude oil price, gold price, exchange rates and GDP growth.},
 year = {2015}
}

Copy | Download

TY  - JOUR
T1  - Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India
AU  - Amalendu Bhunia
AU  - Soumya Ganguly
Y1  - 2015/05/09
PY  - 2015
N1  - https://doi.org/10.11648/j.ajtab.20150101.11
DO  - 10.11648/j.ajtab.20150101.11
T2  - American Journal of Theoretical and Applied Business
JF  - American Journal of Theoretical and Applied Business
JO  - American Journal of Theoretical and Applied Business
SP  - 1
EP  - 5
PB  - Science Publishing Group
SN  - 2469-7842
UR  - https://doi.org/10.11648/j.ajtab.20150101.11
AB  - Purpose of the Study: The present paper investigates how stock market index in India is practically being shocked by two commodity indicators, GDP growth rate and exchange rates. Background: Financial theory and empirical studies confirm that market index is one of the paramount indicators of changes in macroeconomic movement and that’s why in the last twenty three years by reason of the mounting credence those genuine macroeconomic movements habitually shock on stock price indices in India. Methodology: The study is based on secondary data obtained from RBI database, BSE database and Index Mundi database for the period between 1991 and 2013 with 23 observations using ADF unit root test and Johansen cointegration test. Results: The empirical results illustrate that there is significant long-term cointegration unwavering relationships exist. Findings: Indian stock market index is very depending upon the price of international crude oil price, gold price, exchange rates and GDP growth.
VL  - 1
IS  - 1
ER  -

Copy | Download