Inter Linkage between Macroeconomic Variables and Stock Indices Using Granger Causality and Co Integration Approach
INTERNATIONAL JOURNAL OF TREND IN SCIENTIFIC RESEARCH AND DEVELOPMENT, 6 (6):
694-701 (октября 2022)Аннотация
As exchange rate and GDP are the important factors which influence the behavior of stock market. In this study we have examined the Co integration between macroeconomic variables and Indian stock market and causality between exchange rate and GDP with stock return. We have applied 42years data on yearly basis for GDP, exchange rate and stock return and applied ADF test for checking Stationarity, Correlogram for serial correlation, Johansen Co integration for association and Granger causality test for examine multiple causal relation by controlling the effects of other variables, then Impulse Response Function used for checking the responsiveness of a time series to unexpected shocks in other time series. The study found that exchange rate significantly granger causes the stock return Indian stock market and long run co integration found to be significant in amongst the selected variables. Dr. Amit Manglani | Mr. Suraj Patel "Inter-Linkage between Macroeconomic Variables and Stock Indices: Using Granger Causality & Co-Integration Approach" Published in International Journal of Trend in Scientific Research and Development (ijtsrd), ISSN: 2456-6470, Volume-6 | Issue-6 , October 2022, URL: https://www.ijtsrd.com/papers/ijtsrd51868.pdf Paper URL: https://www.ijtsrd.com/humanities-and-the-arts/other/51868/interlinkage-between-macroeconomic-variables-and-stock-indices-using-granger-causality-and-cointegration-approach/dr-amit-manglani