Relationship among macroeconomic factors and stock prices: cointegration approach from the Indian stock market

Keswani, Sa ika; Pu i, Vee ma; Jha, Rimjhim
A icle
Rela ionship among mac oeconomic ac o s and s ock
p ices: coin eg a ion app oach om he Indian s ock
ma ke
Cogen Economics & Finance
P o ided in Coope a ion wi h:
Taylo & F ancis G oup
Sugges ed Ci a ion: Keswani, Sa ika; Pu i, Vee ma; Jha, Rimjhim (2024) : Rela ionship among
mac oeconomic ac o s and s ock p ices: coin eg a ion app oach om he Indian s ock ma ke ,
Cogen Economics & Finance, ISSN 2332-2039, Taylo & F ancis, Abingdon, Vol. 12, Iss. 1, pp. 1-20,
h ps://doi.o g/10.1080/23322039.2024.2355017
This Ve sion is a ailable a :
h ps://hdl.handle.ne /10419/321493
S anda d-Nu zungsbedingungen:
Die Dokumen e au EconS o dü en zu eigenen wissenscha lichen
Zwecken und zum P i a geb auch gespeiche und kopie we den.
Sie dü en die Dokumen e nich ü ö en liche ode komme zielle
Zwecke e iel äl igen, ö en lich auss ellen, ö en lich zugänglich
machen, e eiben ode ande wei ig nu zen.
So e n die Ve asse die Dokumen e un e Open-Con en -Lizenzen
(insbesonde e CC-Lizenzen) zu Ve ügung ges ell haben soll en,
gel en abweichend on diesen Nu zungsbedingungen die in de do
genann en Lizenz gewäh en Nu zungs ech e.
Te ms o use:
Documen s in EconS o may be sa ed and copied o you pe sonal
and schola ly pu poses.
You a e no o copy documen s o public o comme cial pu poses, o
exhibi he documen s publicly, o make hem publicly a ailable on he
in e ne , o o dis ibu e o o he wise use he documen s in public.
I he documen s ha e been made a ailable unde an Open Con en
Licence (especially C ea i e Commons Licences), you may exe cise
u he usage igh s as speci ied in he indica ed licence.
h ps://c ea i ecommons.o g/licenses/by/4.0/
Cogen Economics & Finance
ISSN: 2332-2039 (Online) Jou nal homepage: www. and online.com/jou nals/oae 20
Rela ionship among mac oeconomic ac o s and
s ock p ices: coin eg a ion app oach om he
Indian s ock ma ke
Sa ika Keswani, Vee ma Pu i & Rimjhim Jha
To ci e his a icle: Sa ika Keswani, Vee ma Pu i & Rimjhim Jha (2024) Rela ionship among
mac oeconomic ac o s and s ock p ices: coin eg a ion app oach om he Indian s ock
ma ke , Cogen Economics & Finance, 12:1, 2355017, DOI: 10.1080/23322039.2024.2355017
To link o his a icle: h ps://doi.o g/10.1080/23322039.2024.2355017
© 2024 The Au ho (s). Published by In o ma
UK Limi ed, ading as Taylo & F ancis
G oup
View supplemen a y ma e ial
Published online: 03 Jun 2024.
Submi you a icle o his jou nal
A icle iews: 9508
View ela ed a icles
View C ossma k da a
Ci ing a icles: 8 View ci ing a icles
Full Te ms & Condi ions o access and use can be ound a
h ps://www. and online.com/ac ion/jou nalIn o ma ion?jou nalCode=oae 20
ECONOMETRICS | REVIEW ARTICLE
Rela ionship among mac oeconomic ac o s and s ock p ices:
coin eg a ion app oach om he Indian s ock ma ke
Sa ika Keswani
a
, Vee ma Pu i
b
and Rimjhim Jha
c
a
Symbiosis Cen e o Managemen S udies (SCMS), Symbiosis In e na ional Uni e si y (SIU), Nagpu , India;
b
S km’s NMIMS
Deemed- o-be Uni e si y, School o Business Managemen , Na i Mumbai, Maha ash a, India;
c
Symbiosis Ins i u e o
Business Managemen , Nagpu Campus, Symbiosis In e na ional (Deemed Uni e si y), Pune, India
ABSTRACT
The pe o mance o a s ock ma ke is in insically linked o he b oade inancial and
economic landscape o a coun y. S ock p ices, as in eg al indica o s, no only mi o
he inancial heal h and collec i e economic ci cums ances o a na ion bu also se e
as c ucial ba ome e s o angible inancial ac i i ies. This esea ch pape aims o
unde ake a comp ehensi e explo a ion o he in ica e ela ionship be ween speci ic
mac oeconomic de e minan s and he s ock ma ke wi hin he con ex o India.
Mo eo e , his s udy conduc s an exhaus i e analysis o assess he ela i e signi icance
o hese a iables and hei con ibu ions o he p edic i e capaci y o s ock p ices.
This in es iga ion ha nesses a da ase consis ing o mon hly obse a ions o he
chosen mac oeconomic a iables. The ou comes o he coin eg a ion analysis illumin-
a e a obus and s a is ically signi ican long- e m associa ion be ween Indian s ock
p ices and he selec ed mac oeconomic ac o s. The esul s o he coin eg a ion es
a i m a las ing nexus be ween s ock e u ns and c ucial economic indica o s, namely
G oss Domes ic P oduc (GDP), disposable income, and he pa icipa ion o Fo eign
Ins i u ional In es o s (FII) in he ma ke . Fu he mo e, his s udy unde sco es he
endu ing nega i e ela ionship be ween s ock e u ns and ac o s, such as in e es
a es, go e nmen policies, exchange a es, and in la ion. These indings p o ide alu-
able insigh s in o he in e play be ween he s ock ma ke and mac oeconomic o ces
in he Indian con ex .
IMPACT STATEMENT
This s udy comp ehensi ely examines he in ica e ela ionship be ween mac oeco-
nomic a iables and he Indian s ock ma ke om 2009 o 2019. U ilizing a mon hly
da ase and igo ous s a is ical echniques, such as coin eg a ion analysis and he
VECM G ange causali y es , he esea ch elucida es a signi ican long- e m ela ion-
ship be ween mac oeconomic a iables like GDP, disposable income, and Fo eign
Ins i u ional In es o (FII) pa icipa ion, and Indian s ock p ices.
The empi ical esul s e eal a nega i e co ela ion wi h in e es a es, go e nmen pol-
icies, exchange a es, and in la ion, and a posi i e long- e m co ela ion wi h GDP, dis-
posable income, and FII in ol emen . The coin eg a ion es s subs an ia e hese
indings, ea i ming he endu ing na u e o hese ela ionships.
Fu he mo e, he VECM G ange causali y es highligh s he subs an ial impac o
changes in hese mac oeconomic a iables on sho - e m s ock p ice luc ua ions. The
s udy’s conclusions shed new ligh on he dynamic ela ionship be ween mac oeco-
nomic ac o s and he s ock ma ke in India. By iden i ying he p edic i e capaci y o
key economic indica o s on s ock p ice mo emen s, his esea ch con ibu es o mo e
in o med and s a egic decision-making o policymake s, in es o s, and economis s,
he eby enhancing he e icacy o economic planning and in es men s a egies.
ARTICLE HISTORY
Recei ed 5 July 2023
Re ised 30 Ap il 2024
Accep ed 9 May 2024
KEYWORDS
Disposable income;
economic g ow h (GDP);
exchange a es; FII;
go e nmen policies;
in e es a e; in la ion
REVIEWING EDITOR
Xibin Zhang, Monash
Uni e si y, Aus alia
SUBJECTS
Economics;
Mac oeconomics; Finance
JEL CLASSIFICATION
CODES
E2; E4; E6
CONTACT Sa ika Keswani [email p o ec ed] Symbiosis Cen e o Managemen S udies, Nagpu Campus, Symbiosis
In e na ional (Deemed Uni e si y), Pune, India
ß2024 The Au ho (s). Published by In o ma UK Limi ed, ading as Taylo & F ancis G oup
This is an Open Access a icle dis ibu ed unde he e ms o he C ea i e Commons A ibu ion License (h p://c ea i ecommons.o g/licenses/by/4.0/), which
pe mi s un es ic ed use, dis ibu ion, and ep oduc ion in any medium, p o ided he o iginal wo k is p ope ly ci ed. The e ms on which his a icle has been
published allow he pos ing o he Accep ed Manusc ip in a eposi o y by he au ho (s) o wi h hei consen .
COGENT ECONOMICS & FINANCE
2024, VOL. 12, NO. 1, 2355017
h ps://doi.o g/10.1080/23322039.2024.2355017
1. In oduc ion
The ela ionship be ween mac oeconomic ac o s and s ock p ices has long been a subjec o in e es
and in es iga ion in bo h economic heo y and empi ical esea ch. S udies ha e consis en ly ecognized
s ock p ices and ma ke indices as eliable indica o s o assessing economic dynamics (Abbass e al.,
2022). O e he pas wo decades, he e has been a su ge in schola ly in e es in his a ea, e lec ing a
g owing unde s anding o he complex in e play be ween eal economic ac o s and equi y ma ke luc-
ua ions (Anse e al., 2021; Fabozzi e al., 2022).
Theo e ical and empi ical wo k, such as ha by Chen e al. (1986), has shown ha luc ua ions in
mac oeconomic a iables can signi ican ly impac u u e di idend a es, discoun a es, and, conse-
quen ly, s ock p ices. Addi ionally, empi ical e idence suppo s he no ion ha economic a iables in lu-
ence p ice changes in capi al ma ke s, es ablishing a clea link be ween equi y p ices and inno a ions in
economic ac o s (Hong e al., 2021; Goswami & Jung, 1997).
Go e nmen agencies and policymake s hold a es ed in e es in hese s udies due o he pi o al ole
played by he s ock ma ke in main aining mac oeconomic s abili y (Magbond
e & Kon 
e, 2022). While
heo e ically, s ock ma ke s exhibi co ela ions wi h a na ion’s mac oeconomic a iables, he gene a ion
o highe e enues wi hin he s ock ma ke is in luenced by speci ic mac oeconomic indica o s (Joshi &
Gi i, 2015). Economic condi ions wi hin a coun y signi ican ly a ec s ock ma ke p ices (Riaz e al.,
2022). Mac o a iables, such as GDP, in e es a es, exchange a es (ER), and in la ion also ha e a sub-
s an ial impac on he s ock ma ke (Gyam i e al., 2021).
Es ablishing a long- e m ela ionship be ween selec ed mac oeconomic ac o s and s ock e u ns is o
pa amoun impo ance (Keswani & Wadhwa, 2017,2019a,2019b). The p esence o s ock exchanges wi hin
a ma ke is ecognized o ha e endu ing implica ions o inancial ac i i ies, pa icula ly conce ning go -
e nmen policies and mac oeconomic indica o s (Bigla khani e al., 2023; Ho & Iyke, 2017; Pa el, 2012).
While many s udies ha e explo ed he impac o indi idual mac oeconomic ac o s on s ock p ices,
ewe ha e examined he join e ec o mul iple ac o s, o en ocusing on de eloped economies o he
exclusion o eme ging ma ke economies (Awokuse, 2008; Con ac o e al., 2014; Ho & Iyke, 2017; Paul
& Beni o, 2018).
Mac oeconomic a iables, such as in la ion, in e es a es, and exchange a es, a e c i ical indica o s o
a coun y’s economic heal h. These a iables, in u n, a ec he s ock ma ke , impac ing i s unp edic -
abili y (Na ayan e al., 2014; S ini asan, 2012; T i edi & Behe a, 2012). This s udy seeks o de e mine
whe he changes in hese mac oeconomic a iables a e causal o consequen ial o mo emen s in Indian
s ock ma ke indices. Speci ically, he esea ch explo es how in la ion, in e es a es, GDP, and unemploy-
men a es in luence s ock p ices and aims o iden i y any disce nible pa e ns o ends in he da a
(Huy e al., 2020,2021).
In con as o adi ional esea ch, his pape employs he Jenson Coin eg a ion and VECM me hod-
ology o in es iga e he long- e m and sho - e m s abili y be ween mac oeconomic a iables and
Indian s ock p ices. VECM-based G ange causali y is used o es ablish he di ec ion o causal ela ion-
ships among he a iables, and Va iance Decomposi ion (VDC) is employed o gauge he deg ee o exo-
genei y o he a iables unde s udy. The analysis d aws on mon hly da a spanning om 2009 o 2019.
This esea ch is pi o al as i aids in es o s in making in o med decisions abou s ock ma ke in es -
men s and helps policymake s comp ehend how mac oeconomic policies in luence s ock p ices and,
subsequen ly, he b oade economy. I s insigh s a e in aluable o in es o s, policymake s, and o he
s akeholde s in inancial ma ke s.
1.1. Mo i a ion o he s udy
No ably, none o he exis ing s udies ha e del ed in o a c i ical a iable, namely, disposable income. The
omission o his a iable is signi ican because heo e ically, i plays a subs an ial ole in in luencing he
s ock ma ke . An inc ease in disposable income is expec ed o ha e a di ec impac on s ock ma ke
dynamics, po en ially esul ing in highe s ock alua ions and, consequen ly, a boos in he o e all ma -
ke alue. Disposable income, de ined as he po ion o household income a ailable o expendi u e and
sa ings a e income axes ha e been deduc ed, holds a pi o al posi ion in economic decision-making.
2 S. KESWANI ET AL.
When disposable income expe iences an upswing, households a e p esen ed wi h he choice o ei he
sa e o spend mo e. Inc eased disposable income ypically leads o heigh ened consump ion, which has
a cascading e ec on a ious aspec s o he economy. This su ge in consump ion can igge an upswing
in co po a e sales and ea nings, in u n enhancing he alue o indi idual s ocks. Such an inc ease in he
alua ion o indi idual sha es may ha e a ipple e ec , ul ima ely con ibu ing o an o e all ma ke
up u n. In essence, his scena io can s imula e a inancial upswing, bene i ing a ious ma ke
pa icipan s.
Con e sely, a decline in disposable income limi s households’spending capaci y, necessi a ing mo e
p uden consump ion choices. This dec ease in consump ion can nega i ely impac co po a e sales and
o e all co po a e income, po en ially leading o a educ ion in he alue o indi idual s ocks. The e o e,
he dynamics o disposable income play a pi o al ole in shaping s ock ma ke mo emen s and wa an
a ho ough examina ion in he con ex o s ock ma ke esea ch.
1.2. Con ibu ion o you p oposed s udy
In his s udy, an a emp is made o es ablish a connec ion be ween hese wo e en s. Howe e , unlike
he con en ional s udies, in his pape , he Jenson Coin eg a ion and VECM app oach was used o exam-
ine he long un and sho un s abili y be ween he mac oeconomic a iables and Indian s ock p ices.
The s udy also uses VECM based g ange causali y o check he di ec ion o causal ela ionships be ween
a iables. Va iance Decomposi ion (VDC) is used o explo e he deg ee o exogenei y o he a iables
in ol ed in his s udy. Fo he pu pose o analysis, mon hly da a s a ing om he yea 2009 o 2019
was used.
Resea ch in o he ela ionship be ween mac oeconomic ac o s and s ock p ices in India is o pa a-
moun signi icance o mul iple compelling easons. Fi s ly, i se es as a c ucial ool o in es men deci-
sion-making, aiding bo h indi idual and ins i u ional in es o s in making in o med choices o weal h
gene a ion and p ese a ion. Secondly, i con ibu es o e ec i e isk managemen by p o iding insigh s
in o how mac oeconomic a iables, such as in la ion and in e es a es, impac s ock p ices, enabling
in es o s o mi iga e po en ial inancial isks. Mo eo e , i plays a pi o al ole in economic policy o mu-
la ion, o e ing policymake s aluable insigh s in o he consequences o hei policies on s ock ma ke
pe o mance. Fu he mo e, such esea ch is ins umen al in ensu ing inancial s abili y, allowing egula-
o s o iden i y ulne abili ies and ake p e en i e measu es. I also enhances ma ke o ecas ing accu -
acy and aids businesses in esou ce alloca ion and long- e m planning, all o which a e i al o
economic g ow h and s abili y. Addi ionally, his esea ch os e s in e na ional compa isons and en iches
economic knowledge. Las ly, i empowe s indi iduals h ough imp o ed inancial li e acy, enabling hem
o make well-in o med inancial decisions. In conclusion, esea ch on his subjec is indispensable o
in es o s, policymake s, businesses, and he b oade economy, con ibu ing o inancial s abili y and
in o med in es men s a egies.
1.3. Pu poses o he s udy
The pu poses o his s udy a e as ollows:
i. To unde s and he long- and sho - e m ela ionships be ween go e nmen policies, FII, GDP, dispos-
able income, ER, in la ion, in e es a e, and Indian s ock p ices.
ii. To see he ela i e impo ance o mac oeconomic a iables in p edic ing he p ices o Indian
sha es.
2. Li e a u e e iew
Fi ield e al. (2002) assessed he in luence o bo h global and local economic ac o s on s ock ma ke
e u ns in Thi een Eme ging Ma ke Economies (EME). Using a p inciple componen analysis, he s udy
disco e ed ha global economic a iables, including Wo ld Indus ial P oduc ion (WIP) and Wo ld
In la ion (WI), signi ican ly explained s ock ma ke e u ns in six EMEs (G eece, Ko ea, Mexico, Po ugal,
COGENT ECONOMICS & FINANCE 3

Singapo e, and Thailand). Howe e , local economic a iables we e ound o signi ican ly impac s ock
ma ke e u ns only in India and G eece. No ably, o coun ies like Chile, Hong Kong, Malaysia, he
Philippines, and Sou h A ica, nei he global no local ac o s could accoun o a ia ions in s ock ma ke
e u ns.
Pal (2005) examined s ock ma ke ola ili y and o eign ins i u ional in es o s in India. Many
s udies ha e ound ha FIIs a e he main playe s in he Indian s ock ma ke . FII ading and domes ic
s ock ma ke sales sugges ha FIIs a e on he ise because o he ising p opo ion o s ock p ices in
India.
Al waij i (2006) ocused on he ac o s ha a ec Saudi A abia’s s ock ma ke and ound ha oil p i-
ces, na ional incomes, he supply o money, in la ion a es (INF), and IR a e he mos impo an ac o s
ha in luence he Saudi s ock ma ke .
Chak abo y (2007) analyzed he bi a ia e causal ela ionship be ween FIIs and con empo a y s ock
ma ke e u ns o he Indian s ock ma ke o eigh consecu i e yea s om Ap il 1997 o Ma ch 2005 by
applying pai -wise G ange Causali y es s. The esul s o he s udy indica ed he e e se causal ela ion-
ship be ween FII in lows and s ock ma ke e u ns, con adic ing he age-old pe cep ion o he posi i e
e ec o FII in lows on s ock ma ke e u ns. Such indings sugges ed he e u n-chasing beha iou o
o eign in es o s and suppo ed he heo y o ‘cumula i e in o ma ional disad an age.
Cunningham (2007) concluded ha he p o isional and inal elease da es o GDP usually cause
g ea e changes in s ock p ices han he a e age. Mos in es o s and people we e conce ned ha
he ma ke was s ill eac ing o his GDP elease because he cou se and o en he size o he GDP
elease can be accu a ely p edic ed based on he sou ce da a eleased a e he ad ance announce-
men . Howe e , news on GDP epo ed abou sha es p ices appea do no a ec s ock p ices signi i-
can ly because he ue news can be measu ed in he eleased da a and some o se ing e ec s
occu .
Chuang e al. (2007) in es iga ed he exis ence o signi ican budge de ici s, money supply, and p e-
dic ed s ock p ices in Singapo e, Taiwan, Sou h Ko ea, and Hong Kong. Qua e ly in o ma ion on s ock
p ice indices, budge de ici , and money supply was used o he esea ch. The s udy obse ed ha
using he VAR model, he e is a long- e m connec ion among budge de ici , money supply, and s ock
p ices. S ock p ices did no necessa ily change apidly and in sho - e m adjus men s, ei he in he eco-
nomic o mone a y policy. The esul s we e he e o e disco e ed o be consis en wi h he ele an
mac oeconomic li e a u e.
Ahmed (2008) examined he causal ela ionship be ween s ock p ices (namely, Sensex and NIFTY)
and key mac oeconomic a iables in India, such as exchange a es, o eign di ec in es men (FDI),
index o indus ial p oduc ion (IIP), expo a es, money supply, and in e es a es. The au ho
employed J-J coin eg a ion and ARDL bounds es ing echniques o es o long- e m obus ness.
Engle-G ange causali y was used o in es iga e long- e m causal linkages, while ARDL es was u ilized
o analyze sho - e m dynamics. The s udy’s indings indica e a s ong associa ion be ween s ock ma -
ke de elopmen and economic g ow h. Engle-G ange causali y es ima ion con i ms a bidi ec ional
causali y be ween s ock ma ke de elopmen and economic g ow h in he long- e m. Howe e , in he
sho - e m, he e is only a unidi ec ional causali y om s ock ma ke de elopmen o economic
g ow h.
Yu e al. (2008) examined he po en ial o ecessions in a s ock ma ke based on mac oeconomic ac-
o s. Empi ical e idence was e alua ed om he mon hly da a o S&D 500 p ice index. The s udy disco -
e ed ha INF and s ock e u ns we e he mos use ul p edic o s in US ecessions among he
mac oeconomic a iables conside ed.
Chang e al. (2009) analyzed he p edic abili y o a ious mac oeconomic a iables, iz, in e es a e,
di idend yield, and de aul p emium, in he s ock ma ke mo emen o US S&P 500 index om
Janua y 1965 o July 2007, in bo h s able and ola ile s a es using he egime-swi ching GARCH
Model, The au ho s ound ha he ime-in a ian impac o h ee economic a iables on he s ock
ma ke e u ns and he abili y o p edic he s ock mo emen s is a be e in a ola ile s a e han in
a s able s a e.
Humpe and Macmillan (2009) con as ed he US/Japanese equi y ela ions wi h indus ial p oduc ion
(IP), INF, money supply (M1), and long- e m IRs. The da a we e aken om Janua y 1995 o June 2005
4 S. KESWANI ET AL.
using coin eg a ion. In he US, s ock p ices we e ound o be s ongly a ec ed by IP, CPI, M1, and long-
e m in e es a es. Fo Japan, he s ock p ices we e disco e ed o be a o ably linked o M1, IP, long-
e m IR, and CPI. The G ange causali y was no de e mined.
Ku y (2010) examined he associa ion o s ock p ice and ER in Mexico by using he weekly equency
da a o he Bolsa Mexico Equi y Index be ween 1989 and 2006; he leading 35–40 s ocks o he ma ke
capi aliza ion index and Mexican peso pe US dolla a e. The G ange es o causali y con i med ha
he s ock p ices G ange -cause ER, indica ing one-way causali y. The au ho used 849 obse a ions o
he s udy. Howe e , he causali y was limi ed o a one- ime delay, which implied ha he e ec can be
only ins an and would dec ease in he long e m.
Al-Shubi i (2010) s udied he de e minan s o he mo emen o s ock p ices using a case s udy on
comme cial banks in Jo dan o he Amman S ock Exchange. I was shown ha ma ke p ices a e ela ed
o he ne asse alue pe sha e and ha he p ice did no lead o in la ion and he in e es a e.
Olweny and Omondi (2011) s udied he impac on s ock exchange ola ili y o Nai obi’s ER, IR, and
INF. They analyzed mon hly ime-se ies da a using EGARCH and TGARCH h esholds om 2001 o 2010.
The esul s indica ed ha Kenya’s s ock ma ke ola ili y was a ec ed by IR, INF, and ER. Fo eign ER oo
had a signi ican bu a he low impac on s ocks.
A a i and Ja ed (2013) explo ed he co ela ion among mac o-economic ola ili y and s ock ma ke
ola ili y in Pakis an. The esea ch examined a he ollowing mac oeconomic a iables ha in luence
s ock p ices: in e es a es, in la ion, and GDP. The EGARCH model wi h an exponen ial unc ion was
applied in his s udy. The mon hly ime se ies da a was collec ed be ween Decembe 1991 and Augus
2012, and i was es ed o s abili y and homogenei y using he ADF and ARCH es s. The s udy disco -
e ed no link be ween GDP and s ock ma ke e u ns. Acco ding o he esul s o he causali y es , how-
e e , unidi ec ional causali y was obse ed be ween he a e o in la ion and economic g ow h, as well
as be ween economic g ow h and go e nmen spending.
Mlambo e al. (2013) u ilized GARCH o assess he impac o exchange a e (ER) ola ili y on he
Johannesbu g S ock Exchange in Sou h A ica. The s udy analyzed mon hly da a om 2000 o 2010 and
ound a weak link be ween ER ola ili y and s ock ola ili y.
Sahu and Bandopadhyay (2013) analyzed he dynamic ela ionship be ween FIIs and he s ock
e u ns o Indian s ock indices om 2000 o 2013. Va ious s a is ical ools like Johansen’s coin eg a-
ion es , Vec o E o Co ec ion Model (VECM), and Impulse Response Func ions analysis we e applied
o unde s and he ela ionship, di ec ion, and pe sis ence be ween FIIs and s ock ma ke e u ns. The
esul s o he s udy con i med he signi ican , posi i e, and he long- un ela ionship be ween FIIs and
s ock ma ke e u ns. Fu he , he es esul s con i med he insigni ican impac o FIIs on s ock ma -
ke e u ns. In con as , he esul s s ongly sugges ed he chasing end o FIIs in he Indian s ock
ma ke .
Laichena and Obwogi (2015) in es iga ed he impac o mac oeconomic a iables, namely in e es
a es, cu ency exchange a es, g oss domes ic p oduc (GDP), and in la ion a es, on s ock e u ns in
Eas A ica. The s udy employed panel da a om h ee Eas A ican coun ies, namely Kenya, Uganda,
and Tanzania, spanning om 2005 o 2014. The esea ch disco e ed a signi ican ela ionship be ween
s ock e u ns in Eas A ica and he mac oeconomic a iables analyzed. The au ho s ecommended ha
policymake s in Eas A ica should ake measu es o enhance he egion’s mac oeconomic condi ions o
boos s ock e u ns.
Ramadan (2016) a emp ed o p o ide insigh in o he link be ween he sys em o s ock ading and
he mac oeconomic a iables in wo eme ging coun ies Egyp and Tunisia be ween Janua y 1998 and
Janua y 2014. Resul s indica ed ha in Egyp he e was a causal connec ion among ad e ising lis s,
CPIs, con e ing scale, money supply, and c edi cos s and sha e p ices. The same was ue o Tunisia
excep o he CPI, which had no causal link o he ma ke lis . Resul s also showed ha inancial ma -
ke s we e co ela ed wi h ou mac oeconomic sec o s in bo h na ions.
Riyan o e al. (2017) examined he impac o mac oeconomic ac o s on sec o wise Indonesian s ock
ma ke indices using weekly da a om 2005 o 2014. The esul s showed ha INF, XR, and IR ha e a
majo impac on he indices o Indonesia’s eme ging economic sec o s. The in e -in e es a e and he
indexes in each sec o excep o a ew sec o s we e pa ly signi ican ly nega i e. Also, in la ion g ow h
COGENT ECONOMICS & FINANCE 5
in pa had no majo e ec on any o he sec o s lis ed. On he o he hand, he ER had o a ce ain
deg ee a majo e ec .
Jamaludin e al. (2017) in es iga ed he mac oeconomic pa ame e s o SR ha we e inspec ed bo h
in con en ional and Islamic s ock in he h ee ASEAN coun ies. Weekly da a o he yea s 2005 o 2015
we e aken o analysis. The indings showed ha INF and XR a ec bo h SMs subs an ially. The p o i-
sion o money did no ha e a big e ec hough. The indings also showed ha in la iona y g ow h had
mo e nega i e e ec s on s ock ma ke e u ns.
Okoye e al. (2018) analyzed he ela ionship be ween mac oeconomic ac o s and ma ke capi aliza-
ion in eme ging economies. The indings showed ha he mac oeconomic ac o s a ec he ma ke
capi aliza ion in eme ging economies. The au ho s collec ed da a om 1988 o 2012 o he Nige ian
Bou se Index. The esul s also showed ha unemploymen a e, INF, IR, and loan a e had nega i e
e ec s on ma ke capi aliza ion bu no signi ican connec ion be ween hem was iden i ied.
Mohamed and Ahmed (2018) based on annual s ock e u n da a and qua e ly da a abou mac oeco-
nomic ac o s, examined he e ec o six mac oeconomic ac o s on Jo danian s ock ma ke e u ns om
1976 o 2016. The ARDL model was used o he analysis. I was ound ha indus ial p oduc ion has a
s a is ically signi ican e ec on he e u ns o sha es. Fu he mo e, he MS also impac ed Jo dan’s s ock
e u ns a o ably and subs an ially. The impo p ices had a nega i e bu impo an e ec on he e u ns
on Jo danian s ocks.
Demi (2019) examined some p ominen mac oeconomic ac o s o hei e ec on he Bo sa Is anbul-
100 (BIST-100) index. The esul s o he ou -mon hly ARDL-bound es showed ha he s ock ma ke
index was boos ed by economic g ow h, po olio in es men s, domes ic cu ency, and o eign di ec
in es men (FDI). while in e es a e (IR) and c ude oil p ices had a nega i e impac on he index.
Banda e al. (2019) inspec ed he ies be ween indus ial sha es and mac o aspec s, such as IR, eco-
nomic ou comes XR, INF, and he eme ging economies. They used da a be ween 1995 and 2017. The
esul s showed ha INF has had a signi ican and op imis ic e ec on s ock p ices. The ela ions be ween
IR and s ock p ices we e ound o be nega i e whe eas XR had a posi i e ela ionship wi h s ock p ices
and indus ial g ow h did no co ela e wi h s ock p ice.
Demi (2019) examined he impac o some majo mac oeconomic ac o s on he BIST-100 index. The
s ock ma ke index has isen, suppo ed by economic de elopmen , domes ic cu ency, o eign di ec
in es men , and po olio in es men s. The index was in luenced by p ices o c ude oil and IR.
Hypo heses: The ollowing hypo heses a e p oposed:
H_
0,1
:The mac o economic a iables a e no in eg a ed.
H_
0,2
:The e is a signi ican and posi i e long- e m ela ionship be ween disposable income, FII,
Economic g ow h (GDP), and NIFTY s ock e u ns.
H_
0,3
:The changes in he selec ed mac oeconomic a iables explain he signi ican a ia ion in he
NIFTY s ock p ices in sho un.
3. Resea ch me hodology
The p esen s udy uses a desc ip i e esea ch design o unde s and he in luence o mac oeconomic ac-
o s like disposable income (DI), Exchange Ra e, go e nmen policies (GP), In e es Ra e, and In la ion
Ra e on he Indian s ock ma ke (ISM) e iciency. A desc ip i e s udy s a egy hus se es o unde s and
he impac o he mac oeconomic ac o s lis ed abo e on s ock e u ns in he Indian Na ional S ock
Exchange (NSE).
3.1. Se ing o he s udy
Seconda y da a was compiled om a a ie y o websi es and da abases, including he Rese e Bank o
India, he Wo ld Bank, and he P owess da abase.
6 S. KESWANI ET AL.
3.2. Mac oeconomic a iables
The dependen a iable in his s udy is he s ock ma ke index, which ep esen s he alue o a pa icu-
la segmen o he s ock ma ke . This alue is de e mined by calcula ing he p ice o s ocks, usually by
aking a weigh ed a e age. In es o s and inancial manage s u ilize his ool o assess he ma ke and
e alua e he e u n on a speci ic in es men . Al e na i ely, he s ock ma ke index can also be de ined
as he o al alue ob ained by combining a ious s ocks o in es men ehicles wi h he unde lying asse
as o a pa icula da e. Since s ock indices encompass he en i e s ock ma ke , hey p o ide a measu e
o ma ke changes o e ime.
3.3. Da a collec ion
The s udy is based on seconda y da a analysis. The de ails o he a ious mac oeconomic a iables a e
gi en below in Table 1.
Table 1. De ails o da a sou ces o a iables unde s udy.
Va iable name De ini ion Da a sou ces Pe iod (mon hly da a)
Dependen a iable
NIFTY s ock e u ns The lis is weigh ed by ma ke
capi aliza ion and comp ises he op
50 s ocks ha a e mos ac i ely
aded on he na ional s ock
exchange.
NSE websi e Mon hly da a om Ap il 2009
o Ma ch 2019
Independen a iables
Economic g ow h (GDP) Economic g ow h e e s o he
inc ease in he p oduc ion o goods
and se ices in an economy o e
ime.
Websi e o he Wo ld
Bank
Mon hly da a om Ap il 2009
o Ma ch 2019
In la ion (CPI) The consume p ice index (CPI) is he
in la ion a e ha is mos
commonly acknowledged. Wi h a
high sco e, he index ange om 0
o 100 implies ele a ed in la ion.
Websi e o he RBI Mon hly da a om Ap il 2009
o Ma ch 2019
In e es a e (IR) The money ma ke a e se es as a
p oxy o in e es a es and is
ep esen ed by he mon hly
a e age o daily in e bank lending
a es (%).
P owess da abase Mon hly da a om Ap il 2009
o Ma ch 2019
ER The exchange a e used in his con ex
is he Indian upee’s alue agains
he US dolla .
P owess da abase Mon hly da a om Ap il 2009
o Ma ch 2019
Go e nmen policies (GP) Go e nmen policies e e o he ules
and egula ions es ablished by he
go e nmen o con ol o s imula e
he economic indica o s o a
coun y. One o hese policies
includes ax a e policies, which a e
conside ed as a pa o go e nmen
policies.
Websi e o he Income
Tax Depa men o
India
Mon hly da a om Ap il 2009
o Ma ch 2019
Disposable income (DI) Disposable income is he amoun o
money ha a pe son o household
has le o e a e paying axes and
essen ial expenses, such as en ,
mo gage, bills, and o he necessa y
li ing cos s. This money is a ailable
o spending o sa ing.
P owess da abase Mon hly da a om Ap il 2009
o Ma ch 2019
Fo eign ins i u ional in es o (FII) FII s ands o Fo eign Ins i u ional
In es o , which e e s o an
indi idual o o ganiza ion ha
in es s money in he inancial
ma ke s o a coun y o he han
hei own. FIIs ypically in es in
s ocks, bonds, and o he secu i ies
in he coun y’s ma ke whe e hey
wish o gain exposu e.
Websi e o NSE Mon hly da a om Ap il 2009
o Ma ch 2019
All alues we e con e ed in o log alues o make he eg ession ela ion mo e linea .
COGENT ECONOMICS & FINANCE 7
The esul s also sugges a subs an ial and a o able long- e m associa ion be ween disposable
income, FII, Economic g ow h (GDP), and NIFTY s ock e u ns. This indica es ha an inc ease in GDP, dis-
posable income, and FII may lead o a decline in he likelihood o NIFTY exhibi ing nega i e pe o m-
ance. Mo eo e , i has been obse ed ha go e nmen policies, in la ion, in e es a es, and ERs ha e a
nega i e long- e m co ela ion wi h s ock e u ns, sugges ing ha an upswing in ERs, go e nmen poli-
cies, in la ion, and in e es a es may esul in a educ ion in s ock ma ke ola ili y o NIFTY. Long- e m
luc ua ions in s ock e u ns may a ise due o changes in disposable income, in e es a es, go e nmen
policies, FII, in la ion, economic g ow h (GDP), and ER. The e o e, all hese ac o s can ha e a long e m
impac on Indian s ock p ices.
4.4. Summa y o esul s
4.4.1. Exchange a e
The indings o his esea ch we e con i med by he luc ua ions in exchange a es ha in luenced s ock-
ma ke ola ili y (Abdi e al. (2014), Ja ed and Fa ooq (2009), Olweny and Shipho (2011), and
Omo okunwa and Ikponmwosa (2014a)). The e ec o he o eign exchange a e on s ock p ices was
analyzed by Alagidede e al. (2011) and a clea ad e se link be ween s ock p ices and exchange a es
was ound. Huang and Yang (2000) examined he link be ween exchange a e and s ock ola ili y in
Sou h Ko ea’s da a spanning om 1997 o 2000. The s udy disco e ed a no able associa ion be ween
he exchange a e and s ock ola ili y.
The heo y o he ela ionship be ween s ock e u ns and exchange- a e is no accep ed by Mish a
(2004).
Empi ical esul s gene ally indica e ha in mos na ions, he e is no long- e m equilib ium be ween
s ock e u ns and exchange a es (Tabak, 2006). Choi e al. (2008) disco e ed he link be ween exchange
a e mo emen and s ock p ice ola ili y o be e y weak o no ela ionship.
4.4.2. In e es a e
Kadi e al. (2011), Mandimika and Chinza a (2012), Olweny and Shipho (2011), Omo okunwa and
Ikponmwosa (2014b), Wawe u e al. (2008), and Zaka ia and Shamsuddin (2012) ha e all con i med he
indings o his esea ch, which sugges ha changes in in e es a es a e nega i ely ela ed o s ock
ma ke e u ns and ola ili y.
Se e al explana ions ha e been pu o wa d by esea che s o explain he causal impac o in e es
a es on s ock ma ke ola ili y. Be nanke and Ku ne (2005) iden i ies wo easons why in e es a es
a ec s ock ma ke ola ili y. Fi s ly, in es o s use in e es a es as a discoun a e when aluing sha es,
and highe in e es a es dec ease he p esen alue o u u e di idends, leading o a d op in sha e p i-
ces. Secondly, highe in e es a es lead o in es o s selling sha es and in es ing in ixed-income ools,
which dec eases s ock demand and causes s ock p ices o d op. Teke and Alp (2014) a gue ha highe
in e es a es can also a ec household expendi u e and company e enues, ul ima ely leading o a
dec ease in s ock alue.
The p esen alue model explains how he ise o he long- e m in e es a e can be explained by
using he p e ailing ma ke in e es a e as a discoun a e when calcula ing he cu en alue o a sha e.
As he in e es a e inc eases, he capi al cos and educ ion a e also inc ease, leading o a dec ease in
he ac ual alue o u u e cash lows and a d op in s ock p ices. Acco ding o a bi age heo y, an
inc ease in he eal in e es a e leads o a lowe p esen alue o u u e cash lows, esul ing in a d op
in s ock p ices.
4.4.3. In la ion
The esea ch disco e ed ha he pe o mance o he Indian s ock ma ke is nega i ely connec ed o he
consume p ice index. Mu uku and Ki wa (2014) explo ed he dynamic connec ion o s ock p ices o ou
o hese mac oeconomic ac o s. The in es iga ion goes beyond he a gumen ha he s ock ma ke can
p o ec i sel om in la ion.
The esul s o he esea ch a e compa ible wi h Fama (1981), Mukhe jee and Naka (1995) as well as
Maysami and Koh (2000). The esul s show ha in la ion and s ock p ices a e nega i ely co ela ed. The
14 S. KESWANI ET AL.

nega i e connec ion could be caused by he educ ion o he alue o he money owing o in la ion and
he esul ing educ ion o he people’s pu chasing powe which esul s in an ad e se impac on he sa -
ing and in es men ac i i ies s ock exchange.
Bajo-Rubio e al. (2009) no ed he easons why in la ion has an ad e se e ec on equi y p ices and
nega i ely co ela ed wi h expec ed eal economic g ow h. Thus in es o s a e mo ing hei po olios o
eal asse s i an icipa ed in la ion a es become ex emely high.
Bu many s udied ound he e is no ela ionship be ween in la ion and s ock p ices in bo h case cases
sho e m and long e m.
4.5. VEC G ange causali y
H0, :The e a e changes in he selec ed mac oeconomic a iables ha explain he signi ican a ia ion in
he NIFTY s ock p ices in sho un.
Table 8 indica es ha a 5%, changes in he selec ed mac oeconomic a iables a e signi ican . This
means ha all selec ed mac oeconomic a iables explain he sho - e m a ia ion in he NIFTY s ock
p ices.
4.5.1. O e all ou come
The Chi-squa e esul o all a iables is 46.03422, wi h a p- alue o 0.0000, as shown in Table 8. This
means ha in he sho e m, all selec ed a iables explain he changes in s ock ma ke ola ili y as a
whole.
4.6. Va iance decomposi ion (VDC) analysis (NIFTY)
4.6.1. In e p e a ion
The a iance decomposi ion demons a es he con ibu ion o one a iable due o inno a ion shocks
caused by he o cing ac o s (Pesa an e al., 2001). The a iance decomposi ion shows how much one
a iable con ibu es o he o he a iables in au o eg ession. I de e mines how much o each a iable’s
u u e e o a iance can be explained by exogenous shocks o he o he a iables. The esul s o he
VDC a e shown in Table 9. Acco ding o empi ical e idence, i s own inno a i e shocks accoun o
83.70% o s ock p ice change. Economic g ow h (GDP) shock, in la ion, and FII shock all desc ibe s ock
Table 8. VEC G ange causali y.
Dependen a iable: NIFTY
Va iables Chi-sq d P ob G ange causali y o no
Disposable income 12.46 1 0.0004 Yes
Exchange a e 15.31 1 0.0001 Yes
FII 20.78 1 0.0000 Yes
In e es a e 4.25 1 0.0391 Yes
Economic g ow h (GDP) 6.95 1 0.0084 Yes
Go e nmen policies 6.21 1 0.0127 Yes
In la ion 6.18 1 0.0129 Yes
All 46.03 7 0.0000 Yes
Table 9. Va iance decomposi ion (VDC) analysis (NIFTY).
Va iance decomposi ion o NIFTY
Pe iod S.E NIFTY Disposable income ER GDP Go policies In la ion In e es a e FII
1 0.06 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2 0.09 93.62 1.21 0.21 3.56 0.44 0.49 0.36 0.07
3 0.12 90.99 1.11 0.44 4.50 0.50 1.54 0.39 0.49
4 0.15 88.66 1.15 0.55 5.41 0.63 2.32 0.38 0.87
5 0.17 87.11 1.13 0.62 5.91 0.68 2.95 0.35 1.21
6 0.20 85.98 1.12 0.67 6.26 0.73 3.40 0.33 1.48
7 0.22 85.16 1.11 0.70 6.50 0.76 3.74 0.31 1.68
8 0.23 84.54 1.11 0.72 6.68 0.78 3.99 0.30 1.84
9 0.25 84.07 1.10 0.73 6.82 0.79 4.19 0.29 1.97
10 0.26 83.70 1.10 0.75 6.92 0.80 4.34 0.28 2.06
COGENT ECONOMICS & FINANCE 15
p ices by 6.93, 4.35, and 2.07%, espec i ely. All h ee can be used o o ecas s ock p ice mo emen .
The con ibu ion o o he a iables is negligible.
5. Findings
1. The indings a e use ul in unde s anding he p icing mechanism o he Indian s ock exchange. All
a iables a e s a iona y a he 1s di e ence and he esidues a e dis ibu ed no mally. Also, he e
a e no mul icollinea i y, he e oskedas ici y, o se ial co ela ion. I was disco e ed ha he model is
i and s able o unde s anding he Indian s ock ma ke .
2. The coin eg a ion esul s show a s ong long- e m ela ionship be ween he selec ed mac oeco-
nomic a iables and s ock p ice in he Indian s ock ma ke .
3. The e a e wo in eg a ing equa ions indica ing a linea long- e m ela ionship be ween he a iables,
and he es ima ed eg ession coe icien s can be ega ded as equilib ium alues.
4. The esul o VECM e ealed ha he long- e m link be ween DI, FII, GDP, and s ock e u ns in he
Indian s ock ma ke has been signi ican and posi i e, implying ha an inc ease in a ailable income,
GDP, and FII has e oded p ospec s o posi i e pe o mance on he Indian s ock ma ke . Changes in
disposable e enues, GDP, and FII may esul in some long- e m s ock e u n mo emen .
5. The e is a signi ican bu nega i e long- e m ela ionship be ween s ock e u ns and ER, IR, go e n-
men policies, and INF, implying ha i any o hese changes, s ock e u ns will be nega i ely
a ec ed in he long e m. As a esul , an inc ease in he ER, IR, go e nmen policies, and INF educes
s ock ma ke ola ili y in he case o he NIFTY.
6. G ange ’s causali y analysis was used o check he sho - e m causali y among he a iables and i
was disco e ed ha luc ua ions in DI, FII, go e nmen policies, INF, ER, GDP, and IR a e signi ican
a 5% le el. This implies ha in he sho e m, he a ia ion in s ock p ices in he Indian s ock ma -
ke is explained by hese a iables.
7. The VDC es was used o de e mine which a iable con ibu ed mos in p edic ing s ock p ices in
he Indian s ock ma ke . Acco ding o he VDC esul s, i s own inno a i e shocks accoun o
83.70% o s ock p ice change. FII, GDP, and INF shock desc ibe he s ock p ice by 6.93, 4.35, and
2.07%, espec i ely. GDP shock, in la ion shock, and FII can all be said o p edic s ock p ice mo e-
men . The con ibu ion o o he a iables is negligible.
6. Implica ions o he s udy
The indings o his s udy ha e bo h heo e ical and p ac ical implica ions. They indica e ha de alu-
a ion o domes ic cu ency inc eases expo s, imp o ing cash low, and spli ing he payo s o Indian
expo - ela ed companies, hus nega i ely a ec ing he ela ionship be ween eal and s ock ma ke
g ow h. This may also se e und manage s in ol ed in he global dis ibu ion o asse s o in es men
isks. The ad e se impac o ac ual e ec i e ERs on Indian s ock ma ke s showed ha he cu ency
would need o be con olled o ho oughly imp o e India’s s ock ma ke because o he elas ics o
impo s and expo s ha esul in s ock s abiliza ion.
Acco ding o he empi ical esul s, in la ion has a nega i e in luence on s ock p ices. The e o e, e ec -
i e policies should be de eloped o balance in la ion wi hin he coun y. The esea ch also shows ha
compe en au ho i ies should ake necessa y measu es o moni o in la ion and ul ima ely o con ol
unce ain y in he s ock ma ke . Financial egula o s and policy-make s should conside he impac s o
hese impo an mac oeconomic ac o s in he o mula ion o iscal and economic policies.
7. Conclusion
This s udy explo es he ela ionship be ween mac oeconomic ac o s and he Indian s ock ma ke o e a
10-yea pe iod (2009–2019). The esea ch examining he connec ion be ween NSE e u ns and a ious
mac oeconomic a iables, including disposable income, CPI in la ion, exchange a e, in e es a e, go -
e nmen policies, FII, and GDP. Va ious s a is ical es s a e applied o he da a, such as he ADF uni oo
es o check o s a iona y p ope ies, VECM es ing o coin eg a ion, and VECM G ange causali y o
16 S. KESWANI ET AL.
de e mine causali y. The s udy also assesses he s abili y o he a iables using es s like Ramsey,
CUSUM, and CUSUMQ.
The esul s indica e ha he e is no issue wi h mul icollinea i y, he e oskedas ici y, o se ial co el-
a ion. Co-in eg a ion esul s show a s ong and signi ican long- e m ela ionship be ween mac oeco-
nomic a iables and s ock p ices a NSE. Speci ically, disposable income, economic g ow h (GDP), FII,
and s ock e u ns a Ni y ha e a signi ican and posi i e long- e m ela ionship. Howe e , he e is a
signi ican bu nega i e long- e m ela ionship be ween s ock e u ns and exchange a es, in e es
a es, go e nmen policies, and in la ion. The VECM G ange causali y es sugges s ha changes in
disposable income, go e nmen policies, in la ion, exchange a e, GDP, FII, and in e es a e signi i-
can ly impac sho - e m a ia ions in Ni y s ock p ices. The VDC es shows ha GDP and in la ion
can o ecas changes in s ock p ices mo e e ec i ely han o he ac o s.
8. Limi a ion and u he esea ch
The use o mon hly da a in his s udy may ha e missed sho - e m a ia ions in he ela ionship be ween
s ock p ices and mac oeconomic ac o s. High- equency da a, such as daily o weekly da a, a e needed
o esea ch o cap u e hese luc ua ions.
In conclusion, he need o a comp ehensi e analysis o he combined e ec o mul iple ac o s on
s ock p ices in bo h de eloped and eme ging ma ke economies limi s his esea ch on he ela ionship
be ween mac oeconomic ac o s and s ock p ices. Resea ch ha uses high- equency da a o cap u e
sho - e m luc ua ions in he ela ionship and akes in o accoun he e ec o s uc u al b eaks is also
needed.
Disclosu e s a emen
No po en ial con lic o in e es was epo ed by he au ho (s).
Abou he au ho s
D . Sa ika Keswani is an Assis an P o esso o ‘Finance and Accoun ing’a Symbiosis Cen e o
Managemen S udies, Nagpu , Maha ash a. She holds a Ph.D. in Finance om Symbiosis
In e na ional (Deemed) Uni e si y Pune. He esea ch in e es s a e in he a eas o ‘S ock Ma ke ’,
‘Beha io al Finance’, and ‘Mu ual Fund’. She has also p esen ed pape s a se e al in e na ional and
na ional le el p o essional con e ences. She has published mo e han 15 esea ch a icles in
epu ed jou nals and con e ences in he domain o Accoun ing, Finance, and Economics. She has
con ibu ed in idea concep ualiza ion, con ibu ed da a o analysis ools, and pe o med he
analysis.
D . Vee ma Pu i is an Assis an P o esso o ‘Finance and Accoun ing’a NMIMS Na i Mumbai,
Maha ash a. She holds a Ph.D. in Finance om The Business School, Uni e si y o Jammu, Jammu
& Kashmi . He esea ch in e es s a e in he a eas o ‘Co po a e Finance’,‘Co po a e Go e nance’,
and ‘Co po a e Disclosu es’. She has also p esen ed pape s and chai ed sessions a se e al in e -
na ional and na ional le el p o essional con e ences. She has con ibu ed in con ibu ed da a o
analysis ools, pe o med he analysis, and w o e he Li e a u e e iew.
D . Rimjhim Jha is Cu en ly wo king as an Assis an P o esso a Symbiosis Ins i u e o Business
Managemen , Nagpu (Symbiosis In e na ional Uni e si y, Pune). Published Resea ch pape s in a i-
ous jou nals o na ional and in e na ional epu e. Ph.D. in Human Resou ce Managemen om
Ami y Uni e si y Gwalio . He esea ch a ea is O ganiza ional De elopmen & Change, Con lic
Managemen , Nego ia ion, In e na ional Human Resou ce Managemen , Human Resou ce
Managemen , En ep eneu ship, E Comme ce. She has con ibu ed in da a collec ion.
COGENT ECONOMICS & FINANCE 17
ORCID
Sa ika Keswani h p://o cid.o g/0000-0002-2191-3103
Re e ences
Abbass, K., Sha i , A., Song, H., Ali, M. T., Khan, F., & Amin, N. (2022). Do geopoli ical oil p ice isk, global mac oeco-
nomic undamen als ela e Islamic and con en ional s ock ma ke ? Empi ical e idence om QARDL app oach.
Resou ces Policy,77, 102730. h ps://doi.o g/10.1016/j. esou pol.2022.102730
Abdi, D., Cade-Menun, B. J., Ziadi, N., & Pa en , L. 
E. (2014). Long- e m impac o illage p ac ices and phospho us
e iliza ion on soil phospho us o ms as de e mined by 31 P nuclea magne ic esonance spec oscopy. Jou nal o
En i onmen al Quali y,43(4), 1431–1441. h ps://doi.o g/10.2134/jeq2013.10.0424
Ahmed, S. (2008). Agg ega e economic a iables and s ock ma ke s in India. In e na ional Resea ch Jou nal o Finance
and Economics,14, 141–164.
Alagidede, P., Panagio idis, T., & Zhang, X. (2011). Causal ela ionship be ween s ock p ices and exchange a es. The
Jou nal o In e na ional T ade & Economic De elopmen ,20(1), 67–86. h ps://doi.o g/10.1080/09638199.2011.
538186
Al-Shubi i, F. N. (2010). Analysis he de e minan s o ma ke s ock p ice mo emen s: An empi ical s udy o Jo danian
comme cial banks. In e na ional Jou nal o Business and Managemen ,5(10), 137.
Al waij i, H. (2006). In luen ial ac o s in he Saudi s ock ma ke (Wo king pape , Fo um and he i s exhibi ion o he
Saudi s ock ma ke ). King Saud Uni e si y.
Anse , M. K., Khan, M. A., Zaman, K., Nassani, A. A., Aska , S. E., Ab o, M. M. Q., & Kabbani, A. (2021). Financial de el-
opmen du ing COVID-19 pandemic: The ole o co ona i us es ing and unc ional labs. Financial Inno a ion,7(1),
9. h ps://doi.o g/10.1186/s40854-021-00226-4
A oni, J. M. (2011). Fac o s in luencing s ock p ices o i ms lis ed in he Nai obi s ock exchange. In e na ional
Jou nal o Business and Social Science,2(20), 303–311.
A a i, M. I. J., & Ja ed, A. Y. (2013). In la ion, economic g ow h and go e nmen expendi u e o Pakis an: 1980–2010.
P ocedia Economics and Finance,5,58–67. h ps://doi.o g/10.1016/S2212-5671(13)00010-5
Awokuse, T. O. (2008). T ade openness and economic g ow h: Is g ow h expo -led o impo -led? Applied
Economics,40(2), 161–173. h ps://doi.o g/10.1080/00036840600749490
Bajo-Rubio, Ó., Díaz-Roldán, C., & Es e e, V. (2009). De ici sus ainabili y and in la ion in EMU: An analysis om he
Fiscal Theo y o he P ice Le el. Eu opean Jou nal o Poli ical Economy,25(4), 525–539. h ps://doi.o g/10.1016/j.
ejpoleco.2009.04.001
Banda, K., Hall, J. H., & P adhan, R. P. (2019). The impac o mac oeconomic a iables on indus ial sha es lis ed on
he Johannesbu g S ock Exchange. Mac oeconomics and Finance in Eme ging Ma ke Economies,12(3), 270–292.
h ps://doi.o g/10.1080/17520843.2019.1599034
Be nanke, B. S., & Ku ne , K. N. (2005). Wha explains he s ock ma ke ’s eac ion o Fede al Rese e policy? The
Jou nal o Finance,60(3), 1221–1257. h ps://doi.o g/10.1111/j.1540-6261.2005.00760.x
Bigla khani, R., Bey a i, J., & Se idbakh , E. (2023). The e ec o mac oeconomic indica o s on he inancial s ess
index in he membe s o he o ganiza ion o he pe oleum expo ing coun ies. In e na ional Jou nal o Finance &
Manage ial Accoun ing,8(29), 195–209.
Chak abo y, T. (2007). Fo eign ins i u ional in es men lows and Indian s ock ma ke e u ns–A cause and e ec
ela ionship s udy. Indian Accoun ing Re iew,11(1), 35–48.
Chang, P. C., Liu, C. H., Lin, J. L., Fan, C. Y., & Ng, C. S. (2009). A neu al ne wo k wi h a case based dynamic window
o s ock ading p edic ion. Expe Sys ems wi h Applica ions,36(3), 6889–6898. h ps://doi.o g/10.1016/j.eswa.
2008.08.077
Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic o ces and he s ock ma ke . Jou nal o Business,59, 383–403.
Choi, D. F. S., Fang, V., & Fu, T. Y. (2008). Vola ili y spillo e s be ween s ock ma ke e u ns and exchange a e
changes: The New Zealand case. In e na ional Jou nal o Mode n Economics,2(1), 64–83.
Chuang, I. Y., Lu, J. R., & Tswei, K. (2007). In e dependence o in e na ional equi y a iances: e idence om Eas
Asian ma ke s. Eme ging Ma ke s Re iew,8(4), 311–327. h ps://doi.o g/10.1016/j.emema .2007.08.001
Con ac o , F. J., Lahi i, S., Elango, B., & Kundu, S. K. (2014). Ins i u ional, cul u al and indus y ela ed de e minan s
o owne ship choices in eme ging ma ke FDI acquisi ions. In e na ional Business Re iew,23(5), 931–941. h ps://
doi.o g/10.1016/j.ibus e .2014.02.005
Cunningham, C. R. (2007). G ow h con ols, eal op ions, and land de elopmen . Re iew o Economics and S a is ics,
89(2), 343–358. h ps://doi.o g/10.1162/ es .89.2.343
Demi , C. (2019). Mac oeconomic de e minan s o s ock ma ke luc ua ions: The case o BIST-100. Economies,7(1), 8.
h ps://doi.o g/10.3390/economies7010008
Ende s, D., B eue , K., Raabe, G., Runsink, J., Teles, J. H., Melde , J., Ebel, K., & B ode, S. (1995). P epa a ion, s uc u e,
and eac i i y o 1,3,4-T iphenyl-4,5-dihyd o-1H-1,2,4- iazol-5-ylidene, a new s able ca bene. Angewand e Chemie
In e na ional Edi ion in English,34(9), 1021–1023. h ps://doi.o g/10.1002/anie.199510211
18 S. KESWANI ET AL.
Fabozzi, F. J., Foca di, S., Pon a, L., Ri oi e, M., & Mazza, D. (2022). The economic heo y o quali a i e g een g ow h.
S uc u al Change and Economic Dynamics,61, 242–254. h ps://doi.o g/10.1016/j.s ueco.2022.02.005
Fama, E. F. (1981). S ock e u ns, eal ac i i y, in la ion, and money. The Ame ican Economic Re iew,71(4), 545–565.
Fi ield, S. G., Powe , D. M., & Sinclai , C. D. (2002). Mac oeconomic ac o s and sha e e u ns: An analysis using
eme ging ma ke da a. In e na ional Jou nal o Finance & Economics,7(1), 51–62. h ps://doi.o g/10.1002/ij e.173
Goswami, G., & Jung, S. (1997). S ock ma ke and economic o ces: E idence om Ko ea. Re ie ed om www.bne .
o dham.edu/public/ inance/goswami/ko ea.pd
Gyam i Gyimah, A., Addai, B., & Asamoah, G. K. (2021). Mac oeconomic de e minan s o mu ual unds pe o mance
in Ghana. Cogen Economics & Finance,9(1), 1913876. h ps://doi.o g/10.1080/23322039.2021.1913876
Ho, S. Y., & Iyke, B. N. (2017). De e minan s o s ock ma ke de elopmen : A e iew o he li e a u e. S udies in
Economics and Finance,34(1), 143–164. h ps://doi.o g/10.1108/SEF-05-2016-0111
Hong, H., Bian, Z., & Lee, C. C. (2021). COVID-19 and ins abili y o s ock ma ke pe o mance: E idence om he US.
Financial Inno a ion,7(1), 12. h ps://doi.o g/10.1186/s40854-021-00229-1
Huang, B. N., & Yang, C. W. (2000). The impac o inancial libe aliza ion on s ock p ice ola ili y in eme ging ma -
ke s. Jou nal o Compa a i e Economics,28(2), 321–339. h ps://doi.o g/10.1006/jcec.2000.1651
Humpe, A., & Macmillan, P. (2009). Can mac oeconomic a iables explain long- e m s ock ma ke mo emen s? A
compa ison o he US and Japan. Applied Financial Economics,19(2), 111–119. h ps://doi.o g/10.1080/
09603100701748956
Huy, D. T. N., Da , P. M., & Anh, P. T. (2020). Building an econome ic model o selec ed ac o s’impac on s ock
p ice: A case s udy. Jou nal o Secu i y & Sus ainabili y Issues,9,77–93.
Huy, D. T. N., Loan, B. T. T., & Pham, T. A. (2020). Impac o selec ed ac o s on s ock p ice: A case s udy o
Vie combank in Vie nam. En ep eneu ship and Sus ainabili y Issues,7(4), 2715–2730. h ps://doi.o g/10.9770/jesi.
2020.7.4(10)
Huy, D. T. N., Nhan, V. K., Bich, N. T. N., Hong, N. T. P., Chung, N. T., & Huy, P. Q. (2021). Impac s o in e nal and
ex e nal mac oeconomic ac o s on i m s ock p ice in an expansion econome ic model—A case in Vie nam eal
es a e indus y. Da a Science o Financial Econome ics,898, 189–205.
Jamaludin, N., Ismail, S., & Ab Mana , S. (2017). Mac oeconomic a iables and s ock ma ke e u ns: Panel analysis
om selec ed ASEAN coun ies. In e na ional Jou nal o Economics and Financial Issues,7(1), 37–45.
Ja ed, Z., & Fa ooq, M. (2009). Economic g ow h and exchange a e ola ili y in he case o Pakis an. Pakis an
Jou nal o Li e and Social Sciences,7(2), 112–118.
Joshi, P., & Gi i, A. K. (2015). Fiscal de ici s and s ock p ices in India: Empi ical e idence. In e na ional Jou nal o
Financial S udies,3(3), 393–410. h ps://doi.o g/10.3390/ij s3030393
Kadi , H. A., Rahmani, N., & Masinaei, R. (2011). Impac s o se ice quali y on cus ome sa is ac ion: S udy o online
banking and ATM se ices in Malaysia. In e na ional Jou nal o T ade, Economics and Finance,2(1), 1–9. h ps://doi.
o g/10.7763/IJTEF.2011.V2.71
Keswani, S., & Wadhwa, B. (2017). E ec o mac oeconomic a iables on s ock ma ke : A concep ual s udy.
In e na ional Jou nal o Managemen , IT & Enginee ing,7(10), 85–106.
Keswani, S., & Wadhwa, B. (2019a). An empi ical analysis on associa ion be ween selec ed mac oeconomic a iables
and s ock ma ke in he con ex o BSE. The Indian Economic Jou nal,66(1–2), 170–189. h ps://doi.o g/10.1177/
0019466219876492
Keswani, S., & Wadhwa, B. (2019b). E alua ing he impac o mac oeconomic a iable on Indian s ock ma ke .
In e na ional Jou nal o Enginee ing and Ad anced Technology,8(6), 4427–4434. h ps://doi.o g/10.35940/ijea .
F8972.088619
Ki ui, E., Wawi e, N. H., & Onono, P. O. (2014). Mac oeconomic a iables, ola ili y and s ock ma ke e u ns: A case
o Nai obi secu i ies exchange, Kenya. In e na ional Jou nal o Economics and Finance,6(8), 214–228. h ps://doi.
o g/10.5539/ije . 6n8p214
Kou soyiannis, D., & Fou oula-Geo giou, E. (1993). A scaling model o a s o m hye og aph. Wa e Resou ces Resea ch,
29(7), 2345–2361. h ps://doi.o g/10.1029/93WR00395
Ku y, G. (2010). The ela ionship be ween ERs and s ock p ices: The case o Mexico. No h Ame ican Jou nal o
Finance & Banking Resea ch,4(4), 1–12.
Laichena, K. E., & Obwogi, T. N. (2015). E ec s o mac oeconomic a iables on s ock e u ns in he Eas A ican com-
muni y s ock exchange ma ke . In e na ional Jou nal o Educa ion and Resea ch,3(10), 305–320.
Magbond
e, G. K., & Kon 
e, M. A. (2022). De eloping coun ies’economic undamen als and FDI in lows: The mode -
a ing ole o ins i u ions. Cogen Economics & Finance,10(1), 2028976. h ps://doi.o g/10.1080/23322039.2022.
2028976
Mandimika, N. Z., & Chinza a, Z. (2012). Risk– e u n ade- o and beha iou o ola ili y on he Sou h A ican s ock
ma ke : E idence om bo h agg ega e and disagg ega e da a. Sou h A ican Jou nal o Economics,80(3), 345–366.
h ps://doi.o g/10.1111/j.1813-6982.2012.01328.x
Maysami, R. C., & Koh, T. S. (2000). A ec o e o co ec ion model o he Singapo e s ock ma ke . In e na ional
Re iew o Economics & Finance,9(1), 79–96. h ps://doi.o g/10.1016/S1059-0560(99)00042-8
Mish a, A. K. (2004). S ock ma ke and o eign exchange ma ke in India: A e hey ela ed? Sou h Asia Economic
Jou nal,5(2), 209–232. h ps://doi.o g/10.1177/139156140400500202
COGENT ECONOMICS & FINANCE 19

Mlambo, C., Ma edza, A., & Sibanda, K. (2013). E ec s o ER ola ili y on he s ock ma ke : A case s udy o Sou h
A ica. Medi e anean Jou nal o Social Sciences,4(14), 561. h ps://doi.o g/10.5901/mjss.2013. 4n14p561
Mohamed, I. A., & Ahmed, S. (2018). The e ec s o mac oeconomic a iables on s ock e u ns in he Jo danian s ock
ma ke . Global Jou nal o Managemen and Business,5(2), 087–093.
Mukhe jee, T. K., & Naka, A. (1995). Dynamic ela ions be ween mac oeconomic a iables and he Japanese s ock
ma ke : An applica ion o a ec o e o co ec ion model. Jou nal o Financial Resea ch,18(2), 223–237. h ps://
doi.o g/10.1111/j.1475-6803.1995. b00563.x
Mu uku, C., & Ki wa, L. N. (2014). Mac oeconomic a iables and he Kenyan equi y ma ke : A ime se ies analysis.
Business and Economic Resea ch,5(1), 1. h ps://doi.o g/10.5296/be . 5i1.6733
Na ayan, P. K., Na ayan, S., & Singh, H. (2014). The de e minan s o s ock p ices: New e idence om he Indian bank-
ing sec o . Eme ging Ma ke s Finance and T ade,50(2), 5–15. h ps://doi.o g/10.2753/REE1540-496X500201
Okoye, P. U., Mbakwe, C. C., & Igbo, E. N. (2018). Modeling he cons uc ion sec o and oil p ices owa d he
g ow h o he Nige ian economy: An econome ic app oach. Economies,6(1), 16. h ps://doi.o g/10.3390/
economies6010016
Olweny, T. O., & Kimani, D. (2011). S ock ma ke pe o mance and economic g ow h: Empi ical e idence om Kenya
using causali y es app oach. Ad ances in Managemen and Applied Economics,1(3), 177.
Olweny, T., & Omondi, K. (2011). The e ec o mac o-economic ac o s on s ock e u n ola ili y in he Nai obi s ock
exchange, Kenya. Economics and Finance Re iew,1(10), 34–48.
Olweny, T., & Shipho, T. M. (2011). E ec s o banking sec o al ac o s on he p o i abili y o comme cial banks in
Kenya. Economics and Finance Re iew,1(5), 1–30.
Omo okunwa, O. G., & Ikponmwosa, N. (2014a). Exchange a e ola ili y and o eign p i a e in es men in Nige ia.
Asian Jou nal o Business Managemen ,6(4), 146–154. h ps://doi.o g/10.19026/ajbm.6.5157
Omo okunwa, O. G., & Ikponmwosa, N. (2014b). Mac oeconomic a iables and s ock p ice ola ili y in Nige ia. Annals
o he Uni e si y o Pe os¸ani. Economics,14, 259–268.
Pal, P. (2005). Vola ili y in he s ock ma ke in India and Fo eign ins i u ional in es o s: A s udy o he pos -elec ion
c ash. Economic and Poli ical Weekly,40(8), 765–772.
Pa el, S. (2012). The e ec o mac oeconomic de e minan s on he pe o mance o he Indian s ock ma ke . NMIMS
Managemen Re iew,22,1
–11.
Paul, J., & Beni o, G. R. (2018). A e iew o esea ch on ou wa d o eign di ec in es men om eme ging coun ies,
including China: Wha do we know, how do we know and whe e should we be heading? Asia Paci ic Business
Re iew,24(1), 90–115. h ps://doi.o g/10.1080/13602381.2017.1357316
Pesa an, M. H., Shin, Y., & Smi h, R. J. (2001). Bounds es ing app oaches o he analysis o le el ela ionships.
Jou nal o Applied Econome ics,16(3), 289–326. h ps://doi.o g/10.1002/jae.616
Ramadan, I. Z. (2016). EVA and he impac o he mac oeconomic a iables: E idence om he Jo danian manu ac-
u ing companies. Asian Jou nal o Finance Accoun ing,8(1), 13–22.
Riaz, F., Pa een, S., & Khan, A. A. (2022). Fiscal consolida ion and, cu en -accoun dynamics in Sou h-Asian coun-
ies. Jou nal o Con empo a y Mac oeconomic Issues,3(2), 13–29.
Riyan o, S., Su isno, A., & Ali, H. (2017). The impac o wo king mo i a ion and wo king en i onmen on employees
pe o mance in Indonesia s ock exchange. In e na ional Re iew o Managemen and Ma ke ing,7(3), 342–348.
Sahu, T. N., & Bandopadhyay, D. (2013). An empi ical s udy on he dynamic ela ionship be ween o eign ins i u-
ional in es men s and Indian s ock ma ke . Vidyasaga Uni e si y Jou nal o Economics,XVII,47–62.
S ini asan, P. (2012). De e minan s o equi y sha e p ices in India: A panel da a app oach. The Romanian Economic
Jou nal,46(6), 205–228.
S ock, J. H., & Wa son, M. W. (2006). Fo ecas ing wi h many p edic o s. In Handbook o economic o ecas ing (Vol. 1,
pp. 515–554). Else ie . h ps://doi.o g/10.1016/S1574-0706(05)01010-4
Tabak, B. M. (2006). The dynamic ela ionship be ween s ock p ices and exchange a es: E idence o B azil.
In e na ional Jou nal o Theo e ical and Applied Finance,9(8), 1377–1396. h ps://doi.o g/10.1142/S021902490
6003974
Teke , D. L., & Alp, E. A. (2014). G ange causali y ela ion be ween in e es a es and s ock ma ke s: E idence om
eme ging ma ke s. Eu opean Jou nal o Business and Social Sciences,2(10), 63–73.
T i edi, P., & Behe a, S. R. (2012). Mac oeconomic undamen als as de e minan s o equi y p ices: An empi ical ana-
lysis o India. IUP Jou nal o Applied Finance,18(3), 5–30.
Wawe u, N. M., Munyoki, E., & Uliana, E. (2008). The e ec s o beha io al ac o s in in es men decision-making: A
su ey o ins i u ional in es o s ope a ing a he Nai obi S ock Exchange. In e na ional Jou nal o Business and
Eme ging Ma ke s,1(1), 24–41. h ps://doi.o g/10.1504/IJBEM.2008.019243
Yu, L., Chen, H., Wang, S., & Lai, K. K. (2008). E ol ing leas squa es suppo ec o machines o s ock ma ke end
mining. IEEE T ansac ions on E olu iona y Compu a ion,13(1), 87–102.
Zaka ia, Z., & Shamsuddin, S. (2012). Rela ionship be ween s ock u u es index and cash p ices index: Empi ical e i-
dence based on Malaysia da a. Jou nal o Business S udies Qua e ly,4(2), 103–112.
20 S. KESWANI ET AL.