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5. Empirical Relationship Between Macroeconomic Variables and Stock Market: Evidence from India

Author

Yadav, Miklesh Prasad, Khera, Aastha, Mishra, Nandita, Yadav, Miklesh Prasad, Khera, Aastha, and Mishra, Nandita

Abstract

This study investigates the relationship between the Indian stock market price behaviour and macro-economic variables. The proxy for the Indian stock market is the BSESENSEX while Foreign Reserve, Exchange Rate (Indian vs. US Dollar) and CPI are proxies for the macroeconomic variables. The Johansen Cointegration Test and the Vector Error Correction Model (VECM) on monthly data collected from websites of Reserve Bank of India and Bombay Stock Exchange within the time period of January 2000 and February 2020 have been applied. We observe a contradiction between the results of trace statistics and the maximal eigenvalue of the Johansen Cointegration. The -trace statistics of cointegration allude to the long-run association between the Indian stock market and its constituent macroeconomic vari-ables. The VECM is then applied to examine the long-run and short-run causalities and the results reveal the same. This study has profound implications for investors to diversify their portfolio, considering the impact of the constituent selected macroeconomic variables in the short run and long run

Published
2021
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6. Forecasting the stock return of emerging economies: an empirical study based on ARIMA

Author

Yadav, Miklesh Prasad and Khera, Aastha

Abstract

Investors become jittery when they do not earn return on their hard earned money. In the same time, they want to make their investment in safe place rather than losing it. They can predict the return and accordingly they invest it. The basic purpose of the present study is to forecast the stock return of emerging economies. For the same, the adjusted daily closing price of 11 countries is considered for five years. The autoregressive integrated moving average (ARIMA) has been used to forecast the stock return of these countries. The different orders of ARIMA have been applied in predicting the stock return. The stock return of Korea, Philippines and Turkey are not forecastable as their autoregressive and moving terms are zero. The policymakers use it in order to analyse and generate extra return of different countries.

Published
2023
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