On the Relationship Between Macroeconomic Factors and S&amp;P BSE Auto Index: An ARDL Approach

Alexander, Rhoda; Al‐Malkawi, Husam‐Aldin Nizar

doi:10.1007/978-3-030-94672-2_15

Cited by 2 publications

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The Impact of Macroeconomic Factors on the Nifty Auto Index

Alexander,

Al-Malkawi

2023

Lecture Notes in Civil Engineering

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The aim of the paper is to investigate the association between selected macroeconomic variables like crude price, exchange rate, index of industrial production, inflation, interest rate, repo rate, gold price and the auto index of the National Stock Exchange (NSE) of India during a time when the automotive sector in India witnessed the sharpest dip in sales. The study adopts Autoregressive Distributed Lag (ARDL) co-integration approach and performs suitable diagnostic tests. Results indicate that, exchange rate has a significant negative relationship with Nifty auto index in the long run. Additionally, crude price, index of industrial production and repo rates are statistically significant determinants of Nifty auto index. On the contrary, first lag of crude price is found to be a possible predictor of the index in the short run. The study provides important implications for researchers, corporations, portfolio managers, investors, and government. Despite the availability of a large body of literature exploring the association between macro-economic factors and stock market in India, research exploring the association between the former and Indian auto indices has been sparse. Hence, this study is intended to fill this gap in the literature.

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