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- Title
Causal Relationship Between Macroeconomic Variables and Nifty: Empirical Evidence from India.
- Authors
Singh, Ankita; Fouzdar, Akanksha Singh; Bharadwaj, Yogendra Pal
- Abstract
This study aims at exploring the causal relationship between Nifty 50 (National Stock Exchange Fifty, the benchmark broad based stock market index of National Stock Exchange of India for the Indian equity market) and Macroeconomic Variables, namely, Crude Oil (CO), Exchange Rate (ER), Gold Prices (GP), the Index of Industrial Production (IIP) and Wholesale Price Index (WPI) of India. The investigation was made by using monthly data from National Stock Exchange of India to understand the ability of these variables to predict the level of the stock market returns. The results reveal that all the selected macro economic variables have bi-directional causality, except gold price with Nifty, index of industrial production with crude oil, and gold price and wholesale price index with index of industrial production.
- Subjects
MACROECONOMICS; WHOLESALE price indexes; NATIONAL Stock Exchange of India Ltd.; PETROLEUM; DATA analysis
- Publication
ASBM Journal of Management, 2019, Vol 12, Issue 1/2, p59
- ISSN
0974-8512
- Publication type
Article