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Title:
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AN EMPIRICAL ANALYSIS OF CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND MACROECONOMIC VARIABLES IN INDIA
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Author:
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Ashish Kumar
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Keywords:
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Granger Causality, Macroeconomic Variables, Co- integration, Stock Prices JEL Classification: G1, E4
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Abstract:
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The present paper is aimed at studying the nature of the causal relationship between stock prices and macroeconomic variables in India, if any such relationship exists. For this purpose the techniques of unit–root tests, cointegration and the Granger causality test have been applied between the NSE Index ‘Nifty’ and the macroeconomic variables, viz., Real effective economic rate (REER), Foreign Exchange Reserve (FER), and Balance of Trade (BoT), Foreign Direct Investment (FDI), Index of industrial production (IIP), Wholesale price index (WPI) using monthly data for the period from 1st April 2006 to 31st March 2010 have been studied.
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