Impact of Selected Macroeconomic Variables on Stock Market in India

Debasish Sur; Amalendu Bhunia

doi:doi:10.11648/j.ajtab.20150103.11

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Impact of Selected Macroeconomic Variables on Stock Market in India

Debasish Sur, Amalendu Bhunia

Published in American Journal of Theoretical and Applied Business (Volume 1, Issue 3)

Received: 23 December 2015 Accepted: 29 December 2015 Published: 21 January 2016

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Abstract

Purpose of the study: The present study investigates the influence of selected macroeconomic variables in terms of international crude oil price, exchange rates, domestic gold price, real interest rates and wholesale price index on stock market indices (sensex and nifty) of India. Background: Macroeconomic variables directly or indirectly affect the stock prices because it influences strongly the stock returns by affecting the stock prices, which supports the existance of a long-run relationship between the macroeconomic variables and stock prices. Methodology: This study is based on time series monthly data collected from Reserve Bank of India database; BSE and NSE database, investing.com and yahoo, finance database for the period July 1997 to July 2015 with the application of financial econometrics. Results: The empirical results reveal that sensex and nifty reactions to shocks on crude oil prices, exchanges rates, real interest rates and whole prices indices were positive while a negative shock from sensex and nifty to real interest was noticed.

Published in	American Journal of Theoretical and Applied Business (Volume 1, Issue 3)
DOI	10.11648/j.ajtab.20150103.11
Page(s)	53-63
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), 2016. Published by Science Publishing Group

Keywords

Macroeconomic Indicators, Stock Market, India, Cointegration Test, Causality Test, Vector Error Correction Model

References

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APA Style

Debasish Sur, Amalendu Bhunia. (2016). Impact of Selected Macroeconomic Variables on Stock Market in India. American Journal of Theoretical and Applied Business, 1(3), 53-63. https://doi.org/10.11648/j.ajtab.20150103.11

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ACS Style

Debasish Sur; Amalendu Bhunia. Impact of Selected Macroeconomic Variables on Stock Market in India. Am. J. Theor. Appl. Bus. 2016, 1(3), 53-63. doi: 10.11648/j.ajtab.20150103.11

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AMA Style

Debasish Sur, Amalendu Bhunia. Impact of Selected Macroeconomic Variables on Stock Market in India. Am J Theor Appl Bus. 2016;1(3):53-63. doi: 10.11648/j.ajtab.20150103.11

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@article{10.11648/j.ajtab.20150103.11,
  author = {Debasish Sur and Amalendu Bhunia},
  title = {Impact of Selected Macroeconomic Variables on Stock Market in India},
  journal = {American Journal of Theoretical and Applied Business},
  volume = {1},
  number = {3},
  pages = {53-63},
  doi = {10.11648/j.ajtab.20150103.11},
  url = {https://doi.org/10.11648/j.ajtab.20150103.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtab.20150103.11},
  abstract = {Purpose of the study: The present study investigates the influence of selected macroeconomic variables in terms of international crude oil price, exchange rates, domestic gold price, real interest rates and wholesale price index on stock market indices (sensex and nifty) of India. Background: Macroeconomic variables directly or indirectly affect the stock prices because it influences strongly the stock returns by affecting the stock prices, which supports the existance of a long-run relationship between the macroeconomic variables and stock prices. Methodology: This study is based on time series monthly data collected from Reserve Bank of India database; BSE and NSE database, investing.com and yahoo, finance database for the period July 1997 to July 2015 with the application of financial econometrics. Results: The empirical results reveal that sensex and nifty reactions to shocks on crude oil prices, exchanges rates, real interest rates and whole prices indices were positive while a negative shock from sensex and nifty to real interest was noticed.},
 year = {2016}
}

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TY  - JOUR
T1  - Impact of Selected Macroeconomic Variables on Stock Market in India
AU  - Debasish Sur
AU  - Amalendu Bhunia
Y1  - 2016/01/21
PY  - 2016
N1  - https://doi.org/10.11648/j.ajtab.20150103.11
DO  - 10.11648/j.ajtab.20150103.11
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  - 53
EP  - 63
PB  - Science Publishing Group
SN  - 2469-7842
UR  - https://doi.org/10.11648/j.ajtab.20150103.11
AB  - Purpose of the study: The present study investigates the influence of selected macroeconomic variables in terms of international crude oil price, exchange rates, domestic gold price, real interest rates and wholesale price index on stock market indices (sensex and nifty) of India. Background: Macroeconomic variables directly or indirectly affect the stock prices because it influences strongly the stock returns by affecting the stock prices, which supports the existance of a long-run relationship between the macroeconomic variables and stock prices. Methodology: This study is based on time series monthly data collected from Reserve Bank of India database; BSE and NSE database, investing.com and yahoo, finance database for the period July 1997 to July 2015 with the application of financial econometrics. Results: The empirical results reveal that sensex and nifty reactions to shocks on crude oil prices, exchanges rates, real interest rates and whole prices indices were positive while a negative shock from sensex and nifty to real interest was noticed.
VL  - 1
IS  - 3
ER  -

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Author Information

Debasish Sur

Department of Commerce, the University of Burdwan, West Bengal, India
Amalendu Bhunia

Department of Commerce, University of Kalyani, Kalyani, Nadia, West Bengal, India

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APA Style

Debasish Sur, Amalendu Bhunia. (2016). Impact of Selected Macroeconomic Variables on Stock Market in India. American Journal of Theoretical and Applied Business, 1(3), 53-63. https://doi.org/10.11648/j.ajtab.20150103.11

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ACS Style

Debasish Sur; Amalendu Bhunia. Impact of Selected Macroeconomic Variables on Stock Market in India. Am. J. Theor. Appl. Bus. 2016, 1(3), 53-63. doi: 10.11648/j.ajtab.20150103.11

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AMA Style

Debasish Sur, Amalendu Bhunia. Impact of Selected Macroeconomic Variables on Stock Market in India. Am J Theor Appl Bus. 2016;1(3):53-63. doi: 10.11648/j.ajtab.20150103.11

Copy | Download

@article{10.11648/j.ajtab.20150103.11,
  author = {Debasish Sur and Amalendu Bhunia},
  title = {Impact of Selected Macroeconomic Variables on Stock Market in India},
  journal = {American Journal of Theoretical and Applied Business},
  volume = {1},
  number = {3},
  pages = {53-63},
  doi = {10.11648/j.ajtab.20150103.11},
  url = {https://doi.org/10.11648/j.ajtab.20150103.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtab.20150103.11},
  abstract = {Purpose of the study: The present study investigates the influence of selected macroeconomic variables in terms of international crude oil price, exchange rates, domestic gold price, real interest rates and wholesale price index on stock market indices (sensex and nifty) of India. Background: Macroeconomic variables directly or indirectly affect the stock prices because it influences strongly the stock returns by affecting the stock prices, which supports the existance of a long-run relationship between the macroeconomic variables and stock prices. Methodology: This study is based on time series monthly data collected from Reserve Bank of India database; BSE and NSE database, investing.com and yahoo, finance database for the period July 1997 to July 2015 with the application of financial econometrics. Results: The empirical results reveal that sensex and nifty reactions to shocks on crude oil prices, exchanges rates, real interest rates and whole prices indices were positive while a negative shock from sensex and nifty to real interest was noticed.},
 year = {2016}
}

Copy | Download

TY  - JOUR
T1  - Impact of Selected Macroeconomic Variables on Stock Market in India
AU  - Debasish Sur
AU  - Amalendu Bhunia
Y1  - 2016/01/21
PY  - 2016
N1  - https://doi.org/10.11648/j.ajtab.20150103.11
DO  - 10.11648/j.ajtab.20150103.11
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  - 53
EP  - 63
PB  - Science Publishing Group
SN  - 2469-7842
UR  - https://doi.org/10.11648/j.ajtab.20150103.11
AB  - Purpose of the study: The present study investigates the influence of selected macroeconomic variables in terms of international crude oil price, exchange rates, domestic gold price, real interest rates and wholesale price index on stock market indices (sensex and nifty) of India. Background: Macroeconomic variables directly or indirectly affect the stock prices because it influences strongly the stock returns by affecting the stock prices, which supports the existance of a long-run relationship between the macroeconomic variables and stock prices. Methodology: This study is based on time series monthly data collected from Reserve Bank of India database; BSE and NSE database, investing.com and yahoo, finance database for the period July 1997 to July 2015 with the application of financial econometrics. Results: The empirical results reveal that sensex and nifty reactions to shocks on crude oil prices, exchanges rates, real interest rates and whole prices indices were positive while a negative shock from sensex and nifty to real interest was noticed.
VL  - 1
IS  - 3
ER  -

Copy | Download