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Habib, Mohsina
- Do Macroeconomic Variables Impact the Indian Stock Market?
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Authors
Affiliations
1 Department of Commerce, Delhi School of Economics, University of Delhi, Delhi, IN
2 Department of Business and Financial Studies, University of Kashmir, Jammu & Kashmir, IN
1 Department of Commerce, Delhi School of Economics, University of Delhi, Delhi, IN
2 Department of Business and Financial Studies, University of Kashmir, Jammu & Kashmir, IN
Source
Journal of Commerce and Accounting Research, Vol 5, No 3 (2016), Pagination: 10-17Abstract
This paper is intended to study the impact of various macroeconomic variables on Indian stock market. Based on the Arbitrage Pricing Theory (APT) propounded by Ross in 1976 and various other studies, a number of macroeconomic variables including, inflation, industrial production, exchange rate, money supply, interest rate, and oil price have been identified to have a significant impact on the stock market. We have applied the multivariate extension of the classical linear regression model computed on Ordinary Least Squares method and Granger Causality test to re-establish the relationship between macroeconomic variables and stock returns over a period of 10 years from 2005 to 2015 using monthly observations. The results of this study show that only exchange rate has a significant negative impact on stock returns. The other macroeconomic variables are not significantly affecting stock returns; however, their impact is in accordance with the economic theory. The Granger Causality test reveals absence of any causal relationship between stock returns and macroeconomic variables, except in case of oil prices, where we find a unidirectional causal relationship running from stock returns to oil prices. However, the Granger Causality results should not be taken in the conventional meaning of causality, but results merely identifying precedence.Keywords
Stock Returns, Macroeconomic Variables, OLS, Granger Causality.
- Impact of Macroeconomic Variables on Islamic Stock Market Returns: Evidence from Nifty 50 Shariah Index
Abstract Views :308 |
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Authors
Affiliations
1 University of Kashmir, IN
2 University of Delhi, Delhi, IN
1 University of Kashmir, IN
2 University of Delhi, Delhi, IN
Source
Journal of Commerce and Accounting Research, Vol 6, No 1 (2017), Pagination: 37-44Abstract
The present paper tries to establish the impact of various macroeconomic variables on the performance of the Islamic stock market for India. Compatible with the Efficient Market Hypothesis (EMH), a number of macroeconomic variables have been documented to impact the performance of the stock market. The Arbitrage Pricing Theory (APT) laid the theoretical basis for the relationship between stock returns and macroeconomic variables which has been later on empirically tested by a large number of studies. We have used the Ordinary Least Square (OLS) Regression to study the impact of macroeconomic variables including inflation, industrial production, exchange rate, interest rates and money supply on the Islamic stock returns. The various diagnostic tests including the Breusch-Godfray Serial Correlation Lagrange Multiplier (LM) test, the Breusch-Pagan-Godfray test and the Jarque-Berra test have been used to check whether the residuals of OLS are pure white noise. The findings of our study suggest that exchange rate and interest rates have a significant impact on the Islamic stock market. The implications of the study are that exchange rates and interest rates should be controlled so as to improve the performance of the Islamic stock market in India.Keywords
Islamic Stock Returns, Macroeconomic Variables, OLS; JEL Classification: G12, G14.References
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