| Autor: |
Srivastava, Jagriti, Yadav, Sandeep |
| Zdroj: |
International Journal of Indian Culture and Business Management; 2023, Vol. 29 Issue: 1 p81-95, 15p |
| Abstrakt: |
We study the cointegration and causality between the various macroeconomic variables, global financial crisis (GFC) and the Indian economy [National Stock Exchange (NSE)] stock price index (SPI) from 1995-2018. We analyse how the macroeconomic variables: exchange rate (EX), gross domestic product (GDP), consumer price index (CPI), and money supply (M2) and SPI are related using a vector error correction model (VECM). The results suggest a long-run cointegrating relationship between the above-mentioned macroeconomic variables and SPI. We also find that bidirectional causality exists between GDP and SPI in India. The results also show that SPI and GFC have a significant negative relationship. |
| Databáze: |
Supplemental Index |
| Externí odkaz: |
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