Can Select Macroeconomic Variables Explain Long - Run Price Movements of Indian Stock Indices ?

D, Bhuvaneshwari

doi:10.17010/ijrcm/2018/v5/i1/122907

Cited by 3 publications

(2 citation statements)

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“…Pani et al (2019) analyse the influence of National and International economic and political events and other major world indices on the stock market in India. Most of the studies have confirmed the impact of macroeconomic elements on Indian stock market (Das and Megaravalli, 2017;Ashwani and Sheera, 2018;Bhuvaneshwari and Ramya, 2018;Mitra, 2018;Sengupta et al, 2019).…”

Section: Review Of Literaturementioning

confidence: 92%

Stock Market Sensitivity to Macroeconomic Factors: Evidence from China and India

Chellaswamy

Natchimuthu

Faniband

2020

Asian Economic and Financial Review

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The purpose of this study is to analyse the impact of Chinese macroeconomic factors on Shanghai Stock Exchange (SSE) Composite returns and Indian macroeconomic factors on Nifty returns based on monthly data from January 1998 to December 2018. This study adopts quantile regression approach. The QR allows examining the conditional dependence of specific quantile of SSE and Nifty returns with respect to the conditioning factors. The authors present results for two sample periods that are prerecession and recession period from 1998 to 2008 and the post-recession period from 2009 to 2018. This paper also documents quite interesting and useful results for the entire period. From the results, It is concluded that Chinese consumer price index significantly affects the SSE returns only for lower quantiles. However, Indian consumer price index has a significant and positive impact on the Nifty returns for the upper quantiles. Further, Chinese interest rates and Indian interest rates have no impact on the SSE and Nifty returns respectively across the different quantiles. Moreover, the Chinese exchange rate influence the SSE returns at the extreme dataset. However, the Indian exchange rate is insignificant. It is important to note that the dependence structure of China shows a negligible change during the post-recession period. Conversely, the dependence structure has changed significantly for India postrecession. The implication of this paper would guide stock market participants. Contribution/ Originality:This research is the first application of Quantile Regression approach to address this issue. This study gives some concrete suggestions to investors. First, investors should carefully invest in the Chinese stock market using the Chinese Consumer Price Index and Exchange Rate. Second, avoid investing in the Indian stock market using Indian Interest Rate and Exchange Rate.

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Section: Review Of Literaturementioning

confidence: 92%

Stock Market Sensitivity to Macroeconomic Factors: Evidence from China and India

Chellaswamy

Natchimuthu

Faniband

2020

Asian Economic and Financial Review

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“…An analysis with sectoral stock indices was conducted to investigate the impulse changes due to exogenous shocks in certain macroeconomic variables in the short as well as long run. Results were found as the sectoral stock indices fluctuated and responded with shocks to FDI, imports, and exports at a certain level of variation [22]. The financial integration had been investigated between four major stock markets in the SAARC region.…”

Section: Literature Reviewmentioning

confidence: 99%

Do Exogenous Shocks in Macroeconomic Variables Respond to Changes in Stock Prices?

Srivastava¹,

Solomon²,

Singh

2022

jour

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The research aims to examine the unexpected changes in stock prices due to external shocks given to the macroeconomic variables to forecast future stock market returns. The study applies two econometric models such as «Variance Decomposition» (VDC) and «Impulse Response Function» (IRF) for examining the exogenous shocks in macroeconomic variables respond to changes in stock prices. Monthly time series data of five significant macroeconomic variables Real Exchange Rate, Interest Rate, Consumer Price Index (CPI), Crude Oil Prices, and Trade Openness, taken as independent variables and BSE SENSEX as a dependent variable. The research period is from Jan 2009 to Dec 2019. The study has taken the responsibility to reveal a few strong evidences for changes in stock prices due to exogenous shocks in Exchange Rate, Trade Openness, Inflation, and Interest rate along with crude oil prices. According to the results, changes in the stock market are due to external factors like changes in dividend policy or capital loss, and some changes in the stock market are due to its own innovative shocks. This study suggests to reduce unexpected changes in stock prices frequently, companies should control capital loss and focus on stable return/dividend policies. There are divergent views in the literature review in the context of measures of these variables, however no research has been done on exogenous shocks in macroeconomic variables to BSE SENSEX for the Indian stock market with this particular data set and duration.

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The Impact of Selected Macroeconomic Variables and FDI on Foreign Trade in Jordan for the Period (2010-2020)

Jaradat

2022

Wseas Transactions on Business and Economics

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Unit Root and Cointegration tests as well as autoregressive distributed lag (ARDL) are used in this study to assess how selected macroeconomic variables and foreign direct investment (FDI) impact foreign trade (FT) of Jordan for the period (2010-2020). The automatic (ARDL) (E-view) method was used to assess the long-run relationship between the variables, represented in GDP, inflation rate (INFR), interest rate (IR), and FDI as independent variables, and international trade as a dependent variable. Study findings showed a positive and significant relationship between selected macroeconomic factors and direct investment in foreign commerce. This suggests that an increase in FDI by 1% results in a (0.13%) increase in foreign commerce provided that all other conditions remain constant. Gross domestic product (GDP) and foreign trade (FT) have a statistically significant positive association. The association between inflation rate (INFR), interest rate (IR), and international trade are negative and statistically significant. According to the data modified R-square (option R2) amounted to (84.2%), means that independent variables account for (84.2%) of the variation in GDP shares derived from international trade.

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Can Select Macroeconomic Variables Explain Long - Run Price Movements of Indian Stock Indices ?

Cited by 3 publications

References 0 publications

Stock Market Sensitivity to Macroeconomic Factors: Evidence from China and India

Stock Market Sensitivity to Macroeconomic Factors: Evidence from China and India

Do Exogenous Shocks in Macroeconomic Variables Respond to Changes in Stock Prices?

The Impact of Selected Macroeconomic Variables and FDI on Foreign Trade in Jordan for the Period (2010-2020)

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