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- W2048192464 abstract "Purpose The purpose of this paper is to examine the long‐run relationship between the Indian capital markets and key macroeconomic variables such as interest rates, inflation rate, exchange rates and gross domestic savings (GDS) of Indian economy. Design/methodology/approach Quarterly time series data spanning the period from January 1995 to December 2008 has been used. The unit root test, the co‐integration test and error correction mechanism (ECM) have been applied to derive the long run and short‐term statistical dynamics. Findings The findings of the study establish that there is co‐integration between macroeconomic variables and Indian stock indices which is indicative of a long‐run relationship. The ECM shows that the rate of inflation has a significant impact on both the BSE Sensex and the S&P CNX Nifty. Interest rates on the other hand, have a significant impact on S&P CNX Nifty only. However, in case of foreign exchange rate, significant impact is seen only on BSE Sensex. The changing GDS is observed as insignificantly associated with both the BSE Sensex and the S&P CNX Nifty. The paper, on the whole, conclusively establishes that the capital markets indices are dependent on macroeconomic variables even though the same may not be statistically significant in all the cases. Originality/value This study emphasises on the impact of macroeconomic variables on the stock market performance of a developing economy, whose performance is measured by these variables." @default.
- W2048192464 created "2016-06-24" @default.
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- W2048192464 date "2011-03-01" @default.
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- W2048192464 title "Impact of macroeconomic indicators on Indian capital markets" @default.
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- W2048192464 doi "https://doi.org/10.1108/15265941111112811" @default.
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