Open AccessNexus between Stock Market Returns and Economic Variables: Evidence
Author(s) -
Vanitha Chawla,
. Shweta
Publication year - 2017
Publication title -
mudra : journal of finance and accounting
Language(s) - English
Resource type - Journals
eISSN - 2395-2598
pISSN - 2347-4467
DOI - 10.17492/mudra.v4i01.9777
Subject(s) - economics , granger causality , stock market , exchange rate , econometrics , stock exchange , stock (firearms) , stock market index , stock market bubble , variables , financial economics , monetary economics , mathematics , statistics , finance , geography , context (archaeology) , archaeology
The paper examines the impact of selected macroeconomic variables on the Indian stock market. The macroeconomic variables used in the study are interest rate, exchange rate, index of industrial production (IIP) and gold price. BSE Sensex is used as proxy for Indian stock market. We have used the monthly data for all the variables from January 2001 to December 2016. Regression analysis and Granger Causality test is used to establish the relationship between the stock market and macroeconomic variables. The results show significant impact of only exchange rate on stock returns. All the other variables have shown insignificant impact on the stock market returns. The results of Granger causality test show unidirectional relationship between exchange rate and stock prices and bi-directional relation between IIP and SENSEX.