Dynamic connection between macroeconomic variables and sectoral stock returns: Evidence from India
The present study attempts to assess the impact of institutional investments, foreign direct investment, index of industrial production, interest rate, inflation rate, exchange rate, gold rates and oil prices on the sectoral indices of NSE using monthly data from 01/01/2009 to 30/12/2019. The study...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2021-03-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/1532.pdf
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| Summary: | The present study attempts to assess the impact of institutional investments, foreign
direct investment, index of industrial production, interest rate, inflation rate, exchange rate, gold
rates and oil prices on the sectoral indices of NSE using monthly data from 01/01/2009 to
30/12/2019. The study is covering four sectoral indices financial services, FMCG, IT and oil and
gas which cover almost 78% of market capitalisation of NSE. An autoregressive distributed lag
(ARDL) model is used to examine the short run and long run method co-integration between
macroeconomic variables and stock market performance as the variables are integrated of
different order. The outcomes of the study find that in the long run institutional investment and
index of industrial production are the major determinants and in the short run, the major
determinants are index of industrial production, wholesale price index and exchange rate.
Government must focus on these areas to efficiently run the stock market. |
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| ISSN: | 1841-8678 1844-0029 |