Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India
American Journal of Theoretical and Applied Business
Volume 1, Issue 1, June 2015, Pages: 1-5
Received: Apr. 24, 2015; Accepted: May 4, 2015; Published: May 9, 2015
Views 4650      Downloads 161
Amalendu Bhunia, Associate Professor, Department of Commerce, University of Kalyani, Kalyani, Nadia, West Bengal, India
Soumya Ganguly, Department of Commerce, Barrackpore Rastraguru Surendranath College, West Bengal, India
Article Tools
Follow on us
Purpose of the Study: The present paper investigates how stock market index in India is practically being shocked by two commodity indicators, GDP growth rate and exchange rates. Background: Financial theory and empirical studies confirm that market index is one of the paramount indicators of changes in macroeconomic movement and that’s why in the last twenty three years by reason of the mounting credence those genuine macroeconomic movements habitually shock on stock price indices in India. Methodology: The study is based on secondary data obtained from RBI database, BSE database and Index Mundi database for the period between 1991 and 2013 with 23 observations using ADF unit root test and Johansen cointegration test. Results: The empirical results illustrate that there is significant long-term cointegration unwavering relationships exist. Findings: Indian stock market index is very depending upon the price of international crude oil price, gold price, exchange rates and GDP growth.
Gold Price, Crude Oil Price, GDP Growth Rate, Exchange Rates, India, Sensex, ADF Unit Root Test, Johansen Cointegration Test
To cite this article
Amalendu Bhunia, Soumya Ganguly, Cointegration Influence of Macroeconomic Indicators on Stock Market Index in India, American Journal of Theoretical and Applied Business. Vol. 1, No. 1, 2015, pp. 1-5. doi: 10.11648/j.ajtab.20150101.11
Ahuja. (2012). An End to China’s Imbalances? IMF Working Paper WP/12/100, Available via the Internet:
Bhattacharya, B. and Mukherjee, J. (2002). Causal relationship between stock market and exchange rate, foreign exchange reserves and value of trade balance: A case study for India,
Bhunia, A. (2013). Relationships between Commodity Market Indicators and Stock Market Index-an Evidence of India, Academy of Contemporary Research Journal, 2(3), 126-130.
Charkravarty, S. (2005). Stock market and macroeconomic behavior in India, Institute of Economic Growth, Delhi. Available via the Internet: 12.&rep=rep1&type=pdf
Kaliyamoorthy, S., and Parithi, S (2012). Relationship of Gold Market and Stock Market: An Analysis. International Journal of Business and Management Tomorrow, 2 (6), 1-6
King. B (1966). Market and industry factors in stock price behaviour. Journal of business, University of Chicago Press. 39, pages 139.
Le, Thai-Ha and Chang, Y (2011). Dynamic Relationships between the Price of Oil, Gold and Financial Variables in Japan: A Bounds Testing Approach. Online at MPRA Paper No. 33030.
Naik, P. K. and Padhi, P. (2012). The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: An Evidence from Indian Data, Munich Personal RePEc Archive Paper No. 38980.
Nath, Golak C. and Samanta, G. P (2003). Dynamic Relation Between Exchange Rate and Stock Prices – A Case for India, NSE News, National Stock Exchange of India Limited (NSEIL), 1, 15-18.
Reddy, T. K, and Agrahari, G. (2012). Impact of Fiscal Stimulus on Stock Market and Economy: An Indian Scenario Economics & Business Journal: Inquiries & Perspectives, 4(1) 112-133, taken online from
Samanta, S. K and Zadeh, A. H. M (2012). Co-Movements of Oil, Gold, the US Dollar, and Stocks. Modern Economy, 3, 111-117.
Sharma, G. D and Mahendra, M (2010). Impact of Macro-economic Variables on Stock Prices in India. Global Journal of Management and Business Research, 10 (7), 19-26.
Tripathy, N (2011). Causal Relationship between Macro-Economic Indicators and Stock Market in India” Asian Journal of Finance & Accounting, 3(1), E13, 208-226.
Wang, X. (2010). The Relationship between Stock Market Volatility and Macro-economic Volatility: Evidence from China, International Research Journal of Finance and Economics, 49, taken online from finance.htm.
Yahyazadehfar, M and Babaie, A (2012). Macroeconomic Variables and Stock Price: New Evidence from Iran. Middle-East Journal of Scientific Research, 11 (4), 408-415.
Sireesha, P. B. ‎(2014). Stock Market Returns in India and The Development Implications, taken online from
Bhunia, A., and Mukhuti, S. (2013). The Impact of domestic gold price on stock price indices-An empirical study of Indian stock exchanges. University Journal of Marketing and Business Research, 2(2), 035-043.
Science Publishing Group
1 Rockefeller Plaza,
10th and 11th Floors,
New York, NY 10020
Tel: (001)347-983-5186