Envisaging Macroeconomics Antecedent Effect on Stock Market Return in India

• 발행기관: 한국유통과학회
• 저자명: Sivarethinamohan R Zeravan Abdulmuhsen ASAAD Bayar Mohamed Rasheed MARANE Sujatha S
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.8, 311~324쪽, 전체 14쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.08.30

영문 초록

Investors have increasingly become interested in macroeconomic antecedents in order to better understand the investment environment and estimate the scope of profitable investment in equity markets. This study endeavors to examine the interdependency between the macroeconomic antecedents (international oil price (COP), Domestic gold price (GP), Rupee-dollar exchange rates (ER), Real interest rates (RIR), consumer price indices (CPI)), and the BSE Sensex and Nifty 50 index return. The data is converted into a natural logarithm for keeping it normal as well as for reducing the problem of heteroscedasticity. Monthly time series data from January 1992 to July 2019 is extracted from the Reserve Bank of India database with the application of financial Econometrics. Breusch–Godfrey serial correlation LM test for removal of autocorrelation, Breusch–Pagan-Godfrey test for removal of heteroscedasticity, Cointegration test and VECM test for testing cointegration between macroeconomic factors and market returns,] are employed to fit regression model. The Indian market returns are stable and positive but show intense volatility. When the series is stationary after the first difference, heteroskedasticity and serial correlation are not present. Different forecast accuracy measures point out macroeconomics can forecast future market returns of the Indian stock market. The step-by-step econometric tests show the long-run affiliation among macroeconomic antecedents.

목차

1. Introduction

2. Theoretical Framework

3. Materials and Methods

4. Results and Discussion

5. Conclusion

키워드

Forecast Accuracy Error Correction Autocorrelation Stationarity Long Term Equilibrium Indian Stock Market