Browsing by Author "Alexander, Rhoda"

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    The Impact of Macroeconomic Factors on the Nifty Auto Index
    (Springer Link, 2023) Alexander, Rhoda; Al-Malkawi, Husam Aldin
    The aim of the paper is to investigate the association between selected macroeconomic variables like crude price, exchange rate, index of industrial production, inflation, interest rate, repo rate, gold price and the auto index of the National Stock Exchange (NSE) of India during a time when the automotive sector in India witnessed the sharpest dip in sales. The study adopts Autoregressive Distributed Lag (ARDL) co-integration approach and performs suitable diagnostic tests. Results indicate that, exchange rate has a significant negative relationship with Nifty auto index in the long run. Additionally, crude price, index of industrial production and repo rates are statistically significant determinants of Nifty auto index. On the contrary, first lag of crude price is found to be a possible predictor of the index in the short run. The study provides important implications for researchers, corporations, portfolio managers, investors, and government. Despite the availability of a large body of literature exploring the association between macro-economic factors and stock market in India, research exploring the association between the former and Indian auto indices has been sparse. Hence, this study is intended to fill this gap in the literature.
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    A Study on the Factors Affecting the Auto Indices of the Indian Stock Markets – An ARDL Cointegration Approach
    (The British University in Dubai (BUiD), 2020-05) Alexander, Rhoda
    The aim of this study is to analyze the relationship between selected macroeconomic variables and auto indices of the two major Indian stock markets (viz. Bombay Stock Exchange and National Stock Exchange) using monthly data during the time period, January 2017 to August 2019. Unit root test is performed to confirm the order of integration of the data. Bounds test reveals that there is a co-integrating relationship between the dependent and explanatory variables under both models of the study. Hence, autoregressive distributed lag (ARDL) model is employed to examine the co-integrating relationship between them. The results show that, exchange rate is a strong and statistically significant predictor of both S&P BSE auto index and Nifty auto index in the long run. The findings also reveal that, crude price, index of industrial production and repo rates are statistically significant determinants of Nifty auto index in the long run. In addition, first lag of crude price was seen to be a potential indicator of both the indices in the short-run. However, it was quite interesting to note the difference in the direction of relationship of crude price with the indices. The study provides some important policy implications.