International Journal of Statistics and Applied Mathematics
2020, Vol. 5, Issue 1, Part A
Relationship between selected macroeconomic variables and S&P BSE index: A statistical analysisAuthor(s):
Rahul Kumar SI and Shishir Kumar PadhanAbstract:
The relationship between stock market and various macroeconomic variables has always been discordant. Studies indicate that stock market is influenced by changes in various macroeconomic variables. Some of which affect the stock market positively while others have an adverse impact. This article examines the impact of five macroeconomic variables i.e. Exchange Rate, Inflation, Interest Rate, Money Supply and Consumer Price Index on BSE S & P index of India. It covers a period of 60 months from October, 2014 to September, 2019. Statistical Package for Social Sciences (SPSS) is used to test the Descriptive Statistics, Correlation Matrix and Regression analysis (Goodness of Fit, Variance Inflation Factor, Coefficient of Determination and Durbin – Watson d-Statistic). Analysis results indicate that S & P BSE value has a positive correlation with all independent variables except for Interest Rate; whereas Interest Rate is seen to have a negative correlation with all variables. Money Supply and Consumer Price Index have a positive relation with Exchange Rate and negative correlation with Interest Rate. VIF of all the independent variables, except for Money Supply and Consumer Price Index are within the acceptable limit and influence of independent variables on the S & P BSE value appears to be very strong.Pages: 14-23 | Views: 554 | Downloads: 41Download Full Article: Click Here
How to cite this article:
Rahul Kumar SI, Shishir Kumar Padhan. Relationship between selected macroeconomic variables and S&P BSE index: A statistical analysis. Int J Stat Appl Math 2020;5(1):14-23.