IMPACT OF MACRO ECONOMIC VARIABLES ON STOCK INDICES OF INDIAN STOCK MARKET

IMPACT OF MACRO ECONOMIC VARIABLES ON STOCK INDICES OF INDIAN STOCK MARKET
Author(s):
T.Sisili , D.David Winster Praveenraj, V.Vishnu Praba
Keywords:

Abstract
The study examined on the impact of macroeconomic variables in Indian stock market. Analysis used in this study is correlation, granger- causality test, descriptive tests and Augmented – Dickey fuller test. Gross domestic product and exports have positive correlation with SENSEX. Whereas consumer price index, inflation, imports, gross fiscal deficit and unemployment have negative correlation with SENSEX. In Augment Dickey Fuller test it was found that SENSEX, gross fiscal deficit, consumer price index, imports and exports, inflation and unemployment become stationary at first level difference. Gross Domestic Product become stationery at second level difference. In granger causality test it was found that exports, inflation, gross domestic product and unemployment have one- way causality relationship with SENSEX. From the descriptive statistics test it was observed that it rejects null hypothesis, it reveals that macroeconomic variables have a significant effect on SENSEX. In this study it concludes that changes in the macroeconomic variables make a significant effect on Indian stock market.
Article Details
Unique Paper ID: 148310 Publication Volume & Issue: Volume 6, Issue 1 Page(s): 282 - 290
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