Causal Interactions between Macro economic Variable sand Stock Market Returns in Indiawith Special Reference to NSE

Stock market is one of the main variables of economic development of any economy, on the other hand, variations in stock market are also caused by the fluctuations in the various macroeconomic indicators. These stock market variations influence the behaviour of investors; so, the modeling of stock market returns and macroeconomic indicators is one of the key areas of financial researches. The present paper intends at identifying causal interactions between stock market returns and various macroeconomic variables.

Keywords

Stock market returns Macroeconomic variables Granger Causality Causal loop diagram

References

Adam, A. M., & Tweneboah, G. (2008). Do macroeconomic variables play any role in the stock market movement in Ghana? MPRA Paper 9357, University Library of Munich, Germany.
Aksoy, H., & Leblebicioglu, K. (2004). Modeling ISE100 index through fuzzy logic. Eleventh Annual MFS Conference Proceedings, Turkey.
Ali, I., Rehman, K. U., Yilmaz, A. K., Khan, M. A., & Afzal, H. (2010). Causal relationship between macro-economic indicators and stock exchange prices in Pakistan. African Journal of Business Management, 4(3), 312–319.
Asaolu, T. O., & Ogunmuyiwa, M. S. (2011). Econometric analysis of the impact of macroeconomic variables on stock market movement in Nigeria. Asian Journal of Business Management, 3(1), 72–78.
Bhattacharya, B., & Mukherjee, J. (2001). Causal relationship between stock market and exchange rate, foreign exchange reserves and trade balance. Akron Business and Economic Review, 12, 7–12.
Bhattacharyya, B., & Mukherjee, J. (2006). Indian stock price movement and the macroeconomic context. Journal of International Business and Economics, 5(1), 167–181.
Binder, T., Vox, A., Belyazid, S., Haraldsson, H., & Svensson, M. (2004). Developing system dynamics model from causal loop diagrams. International Conference of the System Dynamics Society, Oxford, UK.
Chowdhury, S. S., Mollik, A. T., & Akhter, M. S. (2006). Macroeconomic volatility influence on stock market volatility. Working Paper, University of Rajshahi, Bangladesh.
Cioni, L. (2009). The good and the bad of system dynamics. University of Pisa, Italy.
Corradi, V., & Distaso, W. (2009). Macroeconomic determinants of stock market volatility and volatility risk-premia. London School of Economics.
Diebold, F. X., & Yilmaz, K. (2008). Macroeconomic volatility and stock market volatility worldwide. NBER Working Paper 14269.
Dopke, J., Hartmann, D., & Pierdzioch, C. (2006). Forecasting stock market volatility with macroeconomic variables in real time.
Duca, G. (2007). Relationship between the stock market and the economy. Bank of Valletta Review, 36.
Engle, R. F., & Rangel, J. G. (2006). The spline-GARCH model for low frequency volatility. Review of Financial Studies, 21, 1187–1222.
Engle, R. F., Ghysels, E., & Sohn, B. (2009). Stock market volatility and macroeconomic fundamentals. Review of Economics and Statistics.
Flad, M. (2006). Do macroeconomic factors help forecasting stock market volatility?
Geweke, J. (1982). Measurement of linear dependence and feedback between multiple time series. Journal of the American Statistical Association, 77, 304–313.
Goonatilake, R., & Herath, S. (2007). The volatility of stock market & news. International Research Journal of Finance & Economics, 11.
Gurloveleen, K., & Bhatia, B. S. (2015). Impact of macroeconomic variables on Indian stock market. Journal of Stock and Forex Trading.
Humpe, A., & Macmillan, P. (2007). Can macroeconomic variables explain long term stock market movements? CDMA Working Paper.
Khalid, W., & Khan, S. (2017). Effects of macroeconomic variables on stock market volatility. Global Journal of Management and Business Research, 17(4), 68–91.
Kotha, K. K., & Sahu, B. (2016). Macroeconomic factors and Indian stock market. International Journal of Economics and Financial Issues, 6(3), 1081–1091.
Kumar, N. P., & Puja, P. (2012). Impact of macroeconomic fundamentals on stock prices. MPRA Working Paper 38980.
Kumar, S. (2009). Investigating causal relationship between stock return and exchange rate. MPRA Paper 01/2009.
Maddala, G. S. (2001). Introduction to Econometrics (3rd ed.). John Wiley & Sons.
Maysami, R. C., Howe, L. C., & Hamaz, M. A. (2004). Relationship between macroeconomic variables and stock market indices. Journal Penguruson, 24, 47–77.
Musebe, B. V. C. (2014). Effect of firms’ market capitalization on stock market volatility. University of Nairobi.
Oluwatoyin, M., & Gbadeb, O. O. (2009). Impact of share market capitalization on company performance. African Journal of Business Management, 3(5), 220–226.
Oseni, I. O., & Nwosa, P. I. (2011). Stock market volatility and macroeconomic variables volatility in Nigeria. Journal of Economics and Sustainable Development, 2(10), 28–42.
Paye, B. S. (2011). Predictive regressions for aggregate stock market volatility.
Saryal, F. S. (2007). Inflation impact on conditional stock market volatility. International Research Journal of Finance and Economics, 11, 123–133.
Sharma, G. D., & Mahendru, M. (2010). Impact of macro-economic variables on stock prices in India. Global Journal of Management and Business Research, 10(7), 19–26.
Tripathi, V., & Seth, R. (2014). Stock market performance and macroeconomic factors. Global Business Review, 15(2), 291–316.
Zafar, N., Urooj, S. F., & Durrani, T. K. (2008). Interest rate volatility and stock return. European Journal of Economics, Finance and Administrative Sciences, 14, 135–140.
Zakaria, Z., & Shamsuddin, S. (2012). Relationship between stock market volatility and macroeconomic volatility in Malaysia. Journal of Business Studies Quarterly, 4(2), 61–71.

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Prof. Swami Prasad Saxena, Dr. Sonam Bhadauriya . (2018). Causal Interactions between Macro economic Variable sand Stock Market Returns in Indiawith Special Reference to NSE. DIAS Technology Review, 15(1), 19-27.

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[1] Adam, A. M., & Tweneboah, G. (2008). Do macroeconomic variables play any role in the stock market movement in Ghana? MPRA Paper 9357, University Library of Munich, Germany.

[2] Aksoy, H., & Leblebicioglu, K. (2004). Modeling ISE100 index through fuzzy logic. Eleventh Annual MFS Conference Proceedings, Turkey.

[3] Ali, I., Rehman, K. U., Yilmaz, A. K., Khan, M. A., & Afzal, H. (2010). Causal relationship between macro-economic indicators and stock exchange prices in Pakistan. African Journal of Business Management, 4(3), 312–319.

[4] Asaolu, T. O., & Ogunmuyiwa, M. S. (2011). Econometric analysis of the impact of macroeconomic variables on stock market movement in Nigeria. Asian Journal of Business Management, 3(1), 72–78.

[5] Bhattacharya, B., & Mukherjee, J. (2001). Causal relationship between stock market and exchange rate, foreign exchange reserves and trade balance. Akron Business and Economic Review, 12, 7–12.

[6] Bhattacharyya, B., & Mukherjee, J. (2006). Indian stock price movement and the macroeconomic context. Journal of International Business and Economics, 5(1), 167–181.

[7] Binder, T., Vox, A., Belyazid, S., Haraldsson, H., & Svensson, M. (2004). Developing system dynamics model from causal loop diagrams. International Conference of the System Dynamics Society, Oxford, UK.

[8] Chowdhury, S. S., Mollik, A. T., & Akhter, M. S. (2006). Macroeconomic volatility influence on stock market volatility. Working Paper, University of Rajshahi, Bangladesh.

[9] Cioni, L. (2009). The good and the bad of system dynamics. University of Pisa, Italy.

[10] Corradi, V., & Distaso, W. (2009). Macroeconomic determinants of stock market volatility and volatility risk-premia. London School of Economics.

[11] Diebold, F. X., & Yilmaz, K. (2008). Macroeconomic volatility and stock market volatility worldwide. NBER Working Paper 14269.

[12] Dopke, J., Hartmann, D., & Pierdzioch, C. (2006). Forecasting stock market volatility with macroeconomic variables in real time.

[13] Duca, G. (2007). Relationship between the stock market and the economy. Bank of Valletta Review, 36.

[14] Engle, R. F., & Rangel, J. G. (2006). The spline-GARCH model for low frequency volatility. Review of Financial Studies, 21, 1187–1222.

[15] Engle, R. F., Ghysels, E., & Sohn, B. (2009). Stock market volatility and macroeconomic fundamentals. Review of Economics and Statistics.

[16] Flad, M. (2006). Do macroeconomic factors help forecasting stock market volatility?

[17] Geweke, J. (1982). Measurement of linear dependence and feedback between multiple time series. Journal of the American Statistical Association, 77, 304–313.

[18] Goonatilake, R., & Herath, S. (2007). The volatility of stock market & news. International Research Journal of Finance & Economics, 11.

[19] Gurloveleen, K., & Bhatia, B. S. (2015). Impact of macroeconomic variables on Indian stock market. Journal of Stock and Forex Trading.

[20] Humpe, A., & Macmillan, P. (2007). Can macroeconomic variables explain long term stock market movements? CDMA Working Paper.

[21] Khalid, W., & Khan, S. (2017). Effects of macroeconomic variables on stock market volatility. Global Journal of Management and Business Research, 17(4), 68–91.

[22] Kotha, K. K., & Sahu, B. (2016). Macroeconomic factors and Indian stock market. International Journal of Economics and Financial Issues, 6(3), 1081–1091.

[23] Kumar, N. P., & Puja, P. (2012). Impact of macroeconomic fundamentals on stock prices. MPRA Working Paper 38980.

[24] Kumar, S. (2009). Investigating causal relationship between stock return and exchange rate. MPRA Paper 01/2009.

[25] Maddala, G. S. (2001). Introduction to Econometrics (3rd ed.). John Wiley & Sons.

[26] Maysami, R. C., Howe, L. C., & Hamaz, M. A. (2004). Relationship between macroeconomic variables and stock market indices. Journal Penguruson, 24, 47–77.

[27] Musebe, B. V. C. (2014). Effect of firms’ market capitalization on stock market volatility. University of Nairobi.

[28] Oluwatoyin, M., & Gbadeb, O. O. (2009). Impact of share market capitalization on company performance. African Journal of Business Management, 3(5), 220–226.

[29] Oseni, I. O., & Nwosa, P. I. (2011). Stock market volatility and macroeconomic variables volatility in Nigeria. Journal of Economics and Sustainable Development, 2(10), 28–42.

[30] Paye, B. S. (2011). Predictive regressions for aggregate stock market volatility.

[31] Saryal, F. S. (2007). Inflation impact on conditional stock market volatility. International Research Journal of Finance and Economics, 11, 123–133.

[32] Sharma, G. D., & Mahendru, M. (2010). Impact of macro-economic variables on stock prices in India. Global Journal of Management and Business Research, 10(7), 19–26.

[33] Tripathi, V., & Seth, R. (2014). Stock market performance and macroeconomic factors. Global Business Review, 15(2), 291–316.

[34] Zafar, N., Urooj, S. F., & Durrani, T. K. (2008). Interest rate volatility and stock return. European Journal of Economics, Finance and Administrative Sciences, 14, 135–140.

[35] Zakaria, Z., & Shamsuddin, S. (2012). Relationship between stock market volatility and macroeconomic volatility in Malaysia. Journal of Business Studies Quarterly, 4(2), 61–71.