Neuro Fuzzy Modeling of The Impact of Real Economic Indicators on Stock Market Behaviour: Some Reflections from National Stock Exchange of India
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Abstract
The modeling of stock market behaviour is one of the key areas of present financial research as stock market is the main determinant of economic development of a country. Worldwide a number of researches have been conducted on the modeling of relationship between macroeconomic indicators and stock market behaviour. But in the context of India not many researches can be traced in the literature. These are primarily based on statistical and econometric analysis, which are not much reliable because of lack of accuracy and non-linearity in the system. In the present study the researchers have made an attempt to develop the neuro fuzzy model, which is not been previously done by researchers in India. The model is based on the data for the period from April 1999 to March 2010. The study considered daily index of S&P CNX Nifty as an indicator of stock market behaviour and the real macroeconomic indicators (Gross Domestic Product, Index of Industrial Production and Inflation) as determining variables. The study finds that neuro fuzzy model developed for stock market behaviour is quite suited for this application.
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