文章基本信息

标题：Forecasting BSE Sensex under Optimal Conditions: An Investigation Post Factor Analysis
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作者：Arijit Ghosh ; Gautam Bandyopadhyay ; Kripasindhu Choudhuri 等
期刊名称：Journal of Business Studies Quarterly
电子版ISSN：2152-1034
出版年度：2011
卷号：3
期号：2
页码：57-73
出版社：Journal of Business Studies Quarterly
摘要：The following paper tries to investigate and predict optimal condition of the primary factors responsible for affecting Bombay Stock Exchange (BSE) in India. We considered the following determinants Oil prices, Gold price, Cash Reserve Ratio, Food Price Inflation, Call Money Rate, Dollar Price, F D I, Foreign Portfolio Investment and Foreign Exchange Reserve (Forex). We have taken into consideration the Multicollinearity problem among different macroeconomic variables and attempted to eliminate it. To do this analysis we have taken monthly basis database of different economical variables. Then we applied Factor Analysis to find out Factors affecting BSE Sensex. We found that Dollar Price along with “Factor 1”i.e; “External Reserve” and “Factor score 2”i.e; “Inflation Inertia” are significantly affecting BSE Sensex. Then with the help of Linear Programming Problem the optimality conditions of the primary factors are traced out to ascertain the optimal value of BSE Sensex.
关键词：Multiple Regression analysis; Multicollinearity; Factor Analysis and Linear;Programming Problem.