文章基本信息

标题：Does Stock Market Respond to Economic Fundamentals? Time-Series Analysis from Indian Data
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作者：Pramod Kumar Naik
期刊名称：Journal of Applied Economics and Business Research
电子版ISSN：1927-033X
出版年度：2013
卷号：3
期号：1
页码：34-50
出版社：Journal of Applied Economics and Business Research
摘要：This study investigates the impact of Macroeconomic factors on stock market behavior considering the Indian data. Monthly data of five macroeconomic variables, namely, industrial production index, inflation, money supply, short term interest rate exchange rates and stock market index over the period 1994:04–2011:04 have been used for the analysis. Johansen’s co-integration and vector error correction model have been applied to explore the long-run equilibrium relationship between stock market index and abovementioned macroeconomic variables. The analysis reveals that macroeconomic variables and the stock market index are co-integrated and, hence, a long-run equilibrium relationship exists between them. It is evident that the stock prices positively relate to the money supply and industrial production but negatively relate to inflation. The exchange rate and the short-term interest rate are found to be insignificant in determining stock prices. In the Granger causality sense, macroeconomic variable causes the stock prices in the long-run as well as in the short-run.
关键词：Stock market index; macroeconomic variables; co-integration test; causality test