A Study of the Effect of Macroeconomic Variables on Stock Market: Indian Perspective

42 Pages Posted: 22 Nov 2012 Last revised: 17 Dec 2012

See all articles by Avneet Ahuja

Avneet Ahuja

University of Delhi - Department of Business Economics

Chandni Makan

Independent

Saakshi Chauhan

Independent

Date Written: November 20, 2012

Abstract

Result of this study help in exploring whether the movement of Bombay Stock Exchanges indices is the outcome of some selected macroeconomic variables or it is one of the causes of movement in those variables of the Indian economy. The study consider macroeconomic variables as Index of Industrial production (IIP), Consumer Price Index (CPI), Call Money Rate (CMR), Dollar Price (DP), Foreign Institutional Investment (FII), Crude Oil Prices (CO), Gold Price (GP) and Bombay Stock Exchanges indices in the form of SENSEX, BSE- Metals, Auto, Capital Goods, Fast Moving Consumer Goods and Consumer Durables by using monthly data that span from April, 2005 to March, 2012. More specifically, in the study we use ADF test, Correlation and Regression analysis and Granger Casually test to see the effect of macroeconomic variables on Bombay Stock Exchange Indices and vice versa (by using Granger Causality test) and found some interesting results for our study analysis.

Keywords: Descriptive Statistics, Correlation Matrix, Econometric Regression Model, Granger Causality Test

Suggested Citation

Ahuja, Avneet and Makan, Chandni and Chauhan, Saakshi, A Study of the Effect of Macroeconomic Variables on Stock Market: Indian Perspective (November 20, 2012). Available at SSRN: https://ssrn.com/abstract=2178481 or http://dx.doi.org/10.2139/ssrn.2178481

Avneet Ahuja (Contact Author)

University of Delhi - Department of Business Economics ( email )

Raja Garden
Delhi, DE
India

Chandni Makan

Independent ( email )

No Address Available

Saakshi Chauhan

Independent

No Address Available

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