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Khandelwal, Risha
- An Econometric Analysis of Linkages Between Macroeconomic Variables and Stock Markets:Evidence from Asian Emerging Markets
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1 Department of Management, GLA University, Mathura, Uttar Pradesh, IN
1 Department of Management, GLA University, Mathura, Uttar Pradesh, IN
Source
International Journal of Financial Management, Vol 8, No 1 (2018), Pagination: 27-35Abstract
The purpose of this paper is to investigate impact of macroeconomic variables on stock markets of India and Indonesia. This paper also attempts to identify linkages between markets and macroeconomic variables. The rationale behind selecting these countries for the present study is MSCI emerging markets index of Asia, which comprises emerging economies with huge return potential for prospective investors. This study will help investors and researchers to understand dynamics of linkages between markets and macroeconomic variables. Augmented Dickey-Fuller (ADF) unit ischolar_main test is used to assess the stationary of time series; Johansen test co-integration is applied to examine long-term integration among variables; Granger causality test is used to examine the causality relationship between macroeconomic variables and stock returns. The monthly data are taken for the study which ranges from July 1997 to July 2017. Currency exchange rates, interest rates, money supply, and inflation are the macroeconomic variables for the current study. Results revealed that there is one co-integrating equation of long-run equilibrium between the variables for both countries. Granger causality test reveals that there exists unidirectional and bidirectional relationship between the variables.Keywords
Co-Integration, Macroeconomic Variables, Stock Markets.
References
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- Co-Integration of Indian Stock Markets with Emerging Markets of Asia
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Authors
Affiliations
1 GLA University, Mathura, Uttar Pradesh, IN
2 GLA university, Mathura, Uttar Pradesh, IN
1 GLA University, Mathura, Uttar Pradesh, IN
2 GLA university, Mathura, Uttar Pradesh, IN
Source
FOCUS : Journal of International Business, Vol 5, No 2 (2018), Pagination: 26-43Abstract
This study has made an attempt to analyse linkages between stock markets of India, Indonesia, Philippines and Taiwan. Monthly data is considered for the present study ranging from January 2000- December 2017. The study begins with description of data series of stock market returns, followed by correlation analysis which examined the degree of association between market returns. Then unit ischolar_main tests (ADF and PP) were applied to determine stationary properties of time series. All the series were found to be integrated of same order i.e. I(1). Then Johansen test of co-integration is applied followed by VECM. The results of Johansen test of co integration confirm the presence of long run linkages among select stock markets. Further, the results of VECM confirm the existence of long causality from Indonesian, Taiwan, and Philippines market to Indian markets. The study suggests that the select markets allow short term diversification benefits to investors but the same is not true in long run due to some transitory movements.Keywords
Emerging Stock Markets, Cointegration, Vector Error Correction Model, Efficient Market Hypothesis, Causality.References
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- Impact of Foreign and Domestic Institutional Investors on Indian Stock Market
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Authors
Affiliations
1 Institute of Business Management, GLA University, Mathura, Uttar Pradesh, IN
1 Institute of Business Management, GLA University, Mathura, Uttar Pradesh, IN
Source
MUDRA : Journal of Finance and Accounting, Vol 6, No 1 (2019), Pagination: 16-30Abstract
In a market, investors belong to a versatile category, as they may be classified as retail investors or institutional investors. Institutional Investors can be Domestic Institutional Investors (DIIs) and Foreign Institutional Investors (FIIs). Both the segments of investors pursue a distinct strategy of investment. Many studies have been conducted on the FIIs trading pattern but very less has been conducted on the DIIs. So, in this study the impact of domestic institutional investors along with foreign institutional investors is examined with respect to Indian Stock Market. BSE is one of the most traded stock exchange; so to complete the study SENSEX is taken as a bench mark index of BSE. To find the said relationship, net trading data on daily frequency has been taken for DIIs and FIIs. Data has been collected from April 2007 to April 2018. Various tools like Correlation, VAR and Granger Causality test have been applied.Keywords
DIIs, FIIs, BSE, VAR, Granger Causality Test.References
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