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|Title:||A Study on the Factors Affecting the Auto Indices of the Indian Stock Markets – An ARDL Cointegration Approach|
Indian stock markets
National Stock Exchange (NSE)
Bombay Stock Exchange (BSE)
unit root tests
Auto Regressive Distributed Lag(ARDL) Cointegration
|Publisher:||The British University in Dubai (BUiD)|
|Abstract:||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.|
|Appears in Collections:||Dissertations for Finance and Banking (FB)|
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