A STUDY ON EFFECT OF MACRO-ECONOMIC VARIABLES ON INDIAN STOCK PRICES
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Dr.M.JEGADEESHWARAN SIVA THIVYA.R
Assistant Professor M.Phil Research Scholar
Department of Commerce Department of Commerce Bharathiar University Bharathiar University Coimbatore – 46. Coimbatore
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At the same time, large number of steps has been taken to strengthen the stock market such as opening of the stock markets to international investors, regulatory power of SEBI, trading in derivatives, etc. These measures have resulted in significant improvements in the size and depth of stock markets in India and they are beginning to play their due role. Presently, the movement in stock market in India is viewed and analyzed carefully by large number of global players. Understanding macro dynamics of Indian stock market may be useful for policy makers, traders and investors. Results may reveal whether the movement of stock prices is the outcome of something else or it is one of the causes of movement in other macro dimension in the economy. The study also expects to explore whether the movement of stock market are associated with real sector of the economy or financial sector or both. The long term relationship between BSE and certain macroeconomic variables are analysed. The regression equation model (Galton, 1877) is used in order to investigate the relationship among these factors.
II. Review of Literature Konstantinos Drakes(2005)1 A research paper entitled “Interest rate risk and bank common stock returns from the reek banking sector”, examined the effects of changes in the long run interest rate on bank stock returns in the Athens stock exchange. The sensitivity
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1. Ho1: There is no relationship between Macroeconomic variables and stock price.
1. 2.Ho2: There is no effect of selected sample macroeconomic variables on stock price.
VI. Research methodology
Secondary data is used for this study. The data used in the study is divided into two sub-groups. First data set consist of stock data (BSE Sensex). Second data set consist of macroeconomic factors such as inflation rate, foreign exchange reserve, exchange rate and gold price In this study only Secondary data is used. Exchange rate data is collected from the Federal Reserve statistical release. Inflation data and foreign exchange reserve data are obtained from Reserve Bank of India. Gold price is obtained from NASDAQ. BSE. Stock returns are obtained from Bombay Stock Exchange and the Money Control.
The study period consists of 10 years(i.e.) the stock prices for the period April 2007to March 2017 are taken into account. The analysis is conducted by using weekly data for the period spans from April 2007 to March 2017.
A multiple regression model is employed to test for the effects of macroeconomic factors on stock . a stastical technique that simultaneously develop a mathematical relationship between a single dependent variable and two or more independent
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