Linkages Between Macroeconomic Variables and the BSE Stock Indices :An Application of the Vector Error Correction Model
The research analyses relationships among macroeconomic variables and BSE Stock Indices from April, 1999 to March, 2007. By employing the Johansen's Vector Error Correction Model, results indicate that the impact of macroeconomic variables on the fundamental indices and sectoral indices vary, n...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2007
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| Online Access: | https://eprints.nottingham.ac.uk/21385/ |
| _version_ | 1848792238647148544 |
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| author | Shah, Preksha |
| author_facet | Shah, Preksha |
| author_sort | Shah, Preksha |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The research analyses relationships among macroeconomic variables and BSE Stock Indices from April, 1999 to March, 2007. By employing the Johansen's Vector Error Correction Model, results indicate that the impact of macroeconomic variables on the fundamental indices and sectoral indices vary, necessitating the requirement for separate sectoral studies. While industrial production is found to drive the BSE capital goods index in the long run, it is negatively related to the BSE consumer durables index. The exchange rates seem to affect the BSE capital goods index in the long run but not BSE consumer durables index. The nature of the relationship between the call rates and the two indices is also opposite in the long run. In the short run also, the responses of both the indices to the call as well as the exchange rate are in opposite directions. |
| first_indexed | 2025-11-14T18:41:14Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-21385 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:41:14Z |
| publishDate | 2007 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-213852018-02-15T06:05:11Z https://eprints.nottingham.ac.uk/21385/ Linkages Between Macroeconomic Variables and the BSE Stock Indices :An Application of the Vector Error Correction Model Shah, Preksha The research analyses relationships among macroeconomic variables and BSE Stock Indices from April, 1999 to March, 2007. By employing the Johansen's Vector Error Correction Model, results indicate that the impact of macroeconomic variables on the fundamental indices and sectoral indices vary, necessitating the requirement for separate sectoral studies. While industrial production is found to drive the BSE capital goods index in the long run, it is negatively related to the BSE consumer durables index. The exchange rates seem to affect the BSE capital goods index in the long run but not BSE consumer durables index. The nature of the relationship between the call rates and the two indices is also opposite in the long run. In the short run also, the responses of both the indices to the call as well as the exchange rate are in opposite directions. 2007 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/21385/1/diss_pdf.pdf Shah, Preksha (2007) Linkages Between Macroeconomic Variables and the BSE Stock Indices :An Application of the Vector Error Correction Model. [Dissertation (University of Nottingham only)] (Unpublished) BSE Sensex capital doods index consumer durables index cointegration analysis impulse response functions |
| spellingShingle | BSE Sensex capital doods index consumer durables index cointegration analysis impulse response functions Shah, Preksha Linkages Between Macroeconomic Variables and the BSE Stock Indices :An Application of the Vector Error Correction Model |
| title | Linkages Between Macroeconomic Variables and the BSE Stock Indices :An Application of the Vector Error Correction Model |
| title_full | Linkages Between Macroeconomic Variables and the BSE Stock Indices :An Application of the Vector Error Correction Model |
| title_fullStr | Linkages Between Macroeconomic Variables and the BSE Stock Indices :An Application of the Vector Error Correction Model |
| title_full_unstemmed | Linkages Between Macroeconomic Variables and the BSE Stock Indices :An Application of the Vector Error Correction Model |
| title_short | Linkages Between Macroeconomic Variables and the BSE Stock Indices :An Application of the Vector Error Correction Model |
| title_sort | linkages between macroeconomic variables and the bse stock indices :an application of the vector error correction model |
| topic | BSE Sensex capital doods index consumer durables index cointegration analysis impulse response functions |
| url | https://eprints.nottingham.ac.uk/21385/ |