The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis
By:
References
- Abugri, B. A. (2008). Empirical Relationship between Macroeconomic Volatility and Stock Return: Evidence from Latin American Markets. International Review of Financial Analysis, Vol. 17(2), pp. 396-410.10.1016/j.irfa.2006.09.002
- Adam, Anokye M. and Tweneboah, George (2008). Macroeconomic Factors and Stock Market Movement: Evidence from Ghana. Unpublished. Available at http://mpra.ub.uni-muenchen.de/11256/.
- Agrawalla (2008). Share Prices and Macroeconomic Variables in India: An Approach to Investigate the Relationship between Stock Markets and Economic Growth. IGIDR Money & Finance Conference.
- Alam, M. M., & Uddin, M. G. S. (2009). Relationship between interest rate and stock price: empirical evidence from developed and developing countries. International journal of business and management, Vol. 4(3), pp. 43-51.10.5539/ijbm.v4n3p43
- Basher, S. A., Haug, A. A. and Sadorsky, P. (2012). Oil prices, exchange rates and emerging stock markets. Energy Economics, Vol. 34(1) pp. 227-240.10.1016/j.eneco.2011.10.005
- Beck, T. and Levine, R. (2004). Stock Markets, Banks, and Growth: Panel Evidence. Journal of Banking and Finance, Vol. 28(3), pp. 423–442.10.1016/S0378-4266(02)00408-9
- Bekhet, H. A. and Matar, A. (2013). Co-integration and causality analysis between stock market prices and their determinants in Jordan. Economic Modelling, Vol. 35, pp. 508–514.10.1016/j.econmod.2013.07.012
- Ben Naceur, S., Ghazouani, S., and Omrani, M. (2007). The determinants of stock market development in the Middle-Eastern and North African region. Managerial Finance, Vol. 33(7), pp. 477-48910.1108/03074350710753753
- Bhargava, A. (2014). Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US, Journal of Econometrics. 183(2), pp. 241-250
- Charles Amo Yartey (2008). The Determinants of Stock Market Development in Emerging Economies: Is South Africa Different?. IMF Working Paper African Department, Working, WP/08/3210.5089/9781451868944.001
- Chen, N. F., Roll, R. and Ross, S.A. (1986). Economic forces and the stock market. Journal of Business, Vol. 59(3), pp. 383-403.10.1086/296344
- Cheng, Y. W. and Ng, L. K. (1998). International evidence on the stock market and aggregate economic activity. Journal of Empirical Finance, Vol. 5 (3, pp. 281-296.10.1016/S0927-5398(97)00025-X
- Coleman, A. K. and Tettey, K. F. A. (2008). Impact of macroeconomic indicators on stock market performance. Journal of Risk Finance, Vol. 9(4), pp. 365-78.10.1108/15265940810895025
- Engle, R. F., & Granger, C. W. (1987). Co-integration and error-correction: Representation, estimation and testing. Econometrica, Vol. 55(2), pp. 251—276.10.2307/1913236
- Fama, E. F. (1990). Stock returns, expected returns, and real activity. The Journal of Finance, Vol. 45(4), pp. 1089–1108.10.1111/j.1540-6261.1990.tb02428.x
- Fama, E. F. (1991). Efficient capital markets: II. The Journal of Finance, Vol. 46(5), pp. 1575–1617.10.1111/j.1540-6261.1991.tb04636.x
- Fama, E., (1981). Stock returns, real activity, inflation and money. American Economic Review, Vol. 71, pp. 545-565.
- Flannery, M. J. and Protopapadakis, R. H. (2002). Macroeconomic factors do influence aggregate stock returns. Review of Financial Studies, Vol. 15(3), pp. 751-782.10.1093/rfs/15.3.751
- Gay-Jr, R.D. (2008). Effect of Macroeconomic Variables on Stock Returns for Four Emerging Economics: Brazil, Russia, India and China. International Business & Economics Research Journal, Vol. 7(3), pp. 1-8.
- Gjrde, Ø. and Saetten, F. (1999). Causal relation among stock returns and macroeconomic variables in a small, open economy. Journal of International Financial Markets, Institutions and Money, Vol. 9(1), pp. 61-74.10.1016/S1042-4431(98)00036-5
- Hsing, Y. (2004). Impacts of Fiscal Policy, Monetary Policy, and Exchange Rate Policy on Real GDP in Brazil: A VAR Model. Brazilian Electronic Journal of Economics, Vol. 6(1), pp. 1-12.
- Hussin, M., Yahya, M., Muhammad, F., & Awang, S. A. (2012). Macroeconomic variables and Malaysian Islamic stock market: a time series analysis. The Journal of Business Studies Quarterly, Vol. 3(4), pp. 1-13.
- Ibrahim, M.H. and Aziz, H. (2003). Macroeconomic variables and the Malaysian equity market: A View Theory Rolling Subsample. Journal of Economic Studies, Vol. 30(1), pp. 6-27.10.1108/01443580310455241
- Ioannidis, D., Katrakilidis, K., & Lake, A. E. (2004). Inflation, Uncertainty and Stock Market Returns Evidence Using Greek Data. NBER working paper.
- Jones, C. M., & Kaul, G. (1996). Oil and the stock markets. The journal of Finance, Vol. 51(2), pp. 463–491.10.1111/j.1540-6261.1996.tb02691.x
- Kanakaraj, A., Singh, B. K. and Alex, D. (2008). Stock Prices, Micro Reasons and Macro Economy in India: What do data say between 1997-2007. Fox Working Paper 3, pp. 1-17.
- Kessel, R. A. (1956). Inflation-caused wealth redistribution: A test of a hypothesis. The American Economic Review, Vol 46(1), pp. 128-141.
- Kim, S. J., McKenzie, M., Faff, R. (2004). Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets. Journal of Multinational Financial Management, Vol. 14(3), pp. 217–232.10.1016/j.mulfin.2003.02.001
- King, R.G. and Levine, R. (1993). Finance and Growth: Schumpeter Might Be Right. Quarterly Journal of Economics, Vol. 108(3), pp. 717–738.10.2307/2118406
- Le, N.P. and Chang, Y. (2012). The impact of oil price fluctuations on stock markets in developed and emerging economies. MPRA Paper No. 31753.
- Levine, R. (1991). Stock markets, growth, and tax policy. Journal of Finance, Vol. 46(4), pp. 1445–1465.10.1111/j.1540-6261.1991.tb04625.x
- Levine, R. (2005). Finance and Growth: Theory and Evidence, in: P. Aghion and S.N. Durlauf (eds.), Handbook of Economic Growth, Elsevier, Amsterdam, pp. 865–934.
- Levine, R., Loayza, N. and Beck, T. (2000). Finance and the Sources of Growth. Journal of Financial Economics, Vol. 58(1), pp. 261–300.
- Levine, R., & Zervos, S. (1996). Stock market development and long-run growth. World Bank Economic Review, Vol. 10(2), pp. 323–339.10.1093/wber/10.2.323
- Levine, R. and Zervos, S. (1998). Stock Markets, Banks, and Economic Growth. American Economic Review, Vol. 88(3), pp. 537–558.
- Lijuan, W., & Ye, X. (2010). Empirical Analysis of Macroeconomic Factors Affecting the Stock Price. Orient Academic Forum.
- Makan, C., Ahuja, A.K. and Chauhan, S. (2012), “A Study of the Effect of Macroeconomic Variables on Stock Market: Indian Perspective”, MPRA Paper No. 43313
- Maysami et al. (2004). Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore’s All-S Sector Indices. Jurnal Pengurusan, Vol. 24(1), pp. 47-77.
- Mazuruse, P. (2014). Canonical correlation analysis: Macroeconomic variables versus stock returns. Journal of Financial Economic Policy, Vol. 6(2), pp. 179-196.10.1108/JFEP-09-2013-0047
- Miller, J. I., & Ratti, R. A. (2009). Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, Vol. 31(4), pp. 559-568.10.1016/j.eneco.2009.01.009
- Mokerjee, R. and Qiao, Y. (1997). Macroeconomic variables and stock prices in a small open economy: the case of Singapore. Pacific – Basin Finance Journal, Vol. 5(3), pp. 377-388.10.1016/S0927-538X(96)00029-7
- Mukherjee and Naka (1995). Dynamic relations between macroeconomic variables and the Japanese stock market: An application of a vector error correction model. Journal of Financial Research, Vol. 18(2), pp. 223-237.10.1111/j.1475-6803.1995.tb00563.x
- Naik, P. K., and Padhi, P. (2012). The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: Evidence from Indian Data. Eurasian Journal of Business and Economics, Vol. 5(10), pp. 25-44.
- Nishat, M. And Shaheen, R. (2004). Macroeconomic Factors and Pakistani Equity Market. The Pakistan Development Review, Vol. 43(4), pp. 619-637.10.30541/v43i4IIpp.619-637
- Pal, K., & Mittal, R. (2011). Impact of macroeconomic indicators on Indian capital markets. Journal of Risk Finance, Vol. 12(2), pp. 84-97.10.1108/15265941111112811
- Pearce, D. K., & Roley, V. V. (1988). Firm characteristics, unanticipated inflation, and stock returns. The Journal of Finance, Vol. 43(4), pp. 965–981.10.1111/j.1540-6261.1988.tb02615.x
- Pesaran, M.H., Shin, Y., Smith, R.J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Economics, Vol. 16(3), pp. 289–326.10.1002/jae.616
- Poon, S. H. and Taylor, S. J. (1992). Stock returns and volatility: an empirical study of the UK stock market. Journal of Banking and Finance, Vol. 16(1), pp. 37-59.10.1016/0378-4266(92)90077-D
- Pradhan, R. P., et al. (2014). Causal nexus between economic growth, banking sector development, stock market development, and other macroeconomic variables. The Review of Financial Economics. http://dx.doi.org/10.1016/j.rfe.2014.07.00210.1016/j.rfe.2014.07.002
- Rafay, A., Naz, F., & Rubab, S. (2014). Causal Relationship between Macroeconomic Variables: Evidence from Developing Economy. Journal of Contemporary Issues in Business Research, Vol. 3(2), pp. 88-99.
- Rahman et al. (2009). Macroeconomic Determinants of Malaysian Stock Market. African Journal of Business Management. Vol. 3(3), pp. 95-106.
- Ratanapakorn, O. and Sharma, S. C. (2007). Dynamics analysis between the US Stock Return and the Macroeconomics Variables. Applied Financial Economics, Vol. 17(4), pp. 369-377.10.1080/09603100600638944
- Ray, D. S. (2012). Testing Granger Causal Relationship between Macroeconomic Variables and Stock Price Behaviour: Evidence from India. Advances in Applied Economics and Finance, Vol. 3(1), pp. 470-481.
- Raza, A., Iqbal, N., Ahmed, Z., Ahmed, M., & Ahmed, T. (2012). The role of FDI on stock market development: the case of Pakistan. Journal of Economics and Behavioral Studies, Vol. 4(1), pp. 26-33.10.22610/jebs.v4i1.299
- Raza, S. A., & Jawaid, S. T. (2014). Foreign capital inflows, economic growth and stock market capitalization in Asian countries: an ARDL bound testing approach. Quality & Quantity, Vol. 48(1), pp. 375-385.10.1007/s11135-012-9774-4
- Sahay, R., Cihak, M., N’Diaye, P., Barajas, A., Bi, R., Ayala, D., Gao, Y., Kyobe, A., Nguyen, L., Saborowski, C., Svirydzenka, K., and Yousefi, S.R. (2015). Rethinking Financial Deepening: Stability and Growth in Emerging Markets. IMF Staff Discussion Note 15/08, International Monetary Fund, Washington, D.C.10.5089/9781498312615.006
- Sahu, T. N., Bandopadhyay, K., & Mondal, D. (2014). An empirical study on the dynamic relationship between oil prices and Indian stock market. Managerial Finance, Vol. 40(2), pp. 200-215.10.1108/MF-06-2013-0131
- Shah A, Thomas S (1997). Securities Markets. In KS Parikh (ed.), “India Development Report 1997, Oxford University Press”, chapter 10, pp. 167–192.
- Sharma et. Al. (2002). A Structural VAR Model of the New Zealand Business Cycle. Wellington: The Treasury.
- Sohail, N., & Hussain, Z. (2009). Long-Run and Short-Run Relationship between Macroeconomic Variables and Stock Prices in Pakistan: The Case of Lahore Stock Exchange. Pakistan Economic and Social Review, Vol. 47(2), pp. 183-198.
- Uddin, M. G. S. and Alam, M. M. (2007). The Impacts of Interest Rate on Stock Market: Empirical Evidence from Dhaka Stock Exchange. South Asian Journal of Management and Sciences, Vol. 1(2), pp. 123-132.
- Yu Hsing, Michael C. Budden (2012). Macroeconomic Determinants of the Stock Market Index for a Major Latin American Country and Policy Implications. Business and Economic Research, Vol. 2(1).
Language: English
Page range: 61 - 78
Published on: Jun 15, 2017
Published by: Lucian Blaga University of Sibiu
In partnership with: Paradigm Publishing Services
Publication frequency: 3 issues per year
Keywords:
Related subjects:
© 2017 A. K. Giri, Pooja Joshi, published by Lucian Blaga University of Sibiu
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.