The global financial crisis and variability in the stock price index in India: a vector error correction model approach

被引：1

作者：

Srivastava, Jagriti ^{[1
]}

Yadav, Sandeep ^{[2
]}

机构：

[1] Indian Inst Management Amritsar, Finance Accounting & Control Area, Punjab, India

[2] Indian Inst Management Bangalore, Strategy Area, Bengaluru, India

来源：

INTERNATIONAL JOURNAL OF INDIAN CULTURE AND BUSINESS MANAGEMENT | 2023年 / 29卷 / 01期

关键词：

stock price index; SPI; exchange rate; gross domestic product; GDP; consumer price index; CPI; money supply; cointegration; causality; global financial crisis; GFC; MARKET CONTAGION; COINTEGRATION; VOLATILITY; RETURNS; TRENDS;

D O I：

10.1504/IJICBM.2022.10047243

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：81 / 95

页数：16

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