Exploring the relationship between macroeconomic indicators and sectoral indices of Indian stock market [version 2; peer review: 2 approved]
Background of the study The influence of macroeconomic indicators makes it important to study the relationship between macroeconomic indicators and stock market return. On further analysis it can be observed that different sectors respond differently to change in the macroeconomic indicator that is...
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F1000 Research Ltd
2025-04-01
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| author | Farman Ali Neeraj Priyadarshi Pradeep Suri Sanjay Singh Chauhan Bhekisipho Twala |
| author_facet | Farman Ali Neeraj Priyadarshi Pradeep Suri Sanjay Singh Chauhan Bhekisipho Twala |
| author_sort | Farman Ali |
| collection | DOAJ |
| description | Background of the study The influence of macroeconomic indicators makes it important to study the relationship between macroeconomic indicators and stock market return. On further analysis it can be observed that different sectors respond differently to change in the macroeconomic indicator that is important for investors, researchers and policy makers. Methods The autoregressive distributed lag (ARDL) model is applied to study influence of macroeconomic indicators on sectoral return of NSE from April 2012 to August 2024. Results Findings of the study show that macroeconomic indicators influence sectoral return in the short run as well as long run and the influence is differential. The analysis of long run relationship shows that Foreign Institutional Investment (FII) significantly affects all the sectoral indices except IT. Index of industrial production (IIP) have significant relationship with Auto, IT, Media, Metal and Pharma. Money supply (MS) significantly affects Bank, FMCG and IT in the long run. Wholesale Price Index (WPI) has significant relationship with Auto, FMCG and Media in the long run. Economic Policy Uncertainty Index (EPU) affects Auto, FMCG and Pharma in the long run. Crude oil price (COP) has significant effect only on Media in the long run. Exchange rate (ER) does not have significant effect on any of the sectoral index. Conclusion In the long run FII, IIP, EPU, MS and WIP are major determinants of stock market return. In the short run FII, ER and COP are major determinants of stock market return. |
| format | Article |
| id | doaj-art-f2cd5629c39a47daa28dfecfa3dddf76 |
| institution | OA Journals |
| issn | 2046-1402 |
| language | English |
| publishDate | 2025-04-01 |
| publisher | F1000 Research Ltd |
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| spelling | doaj-art-f2cd5629c39a47daa28dfecfa3dddf762025-08-20T02:16:05ZengF1000 Research LtdF1000Research2046-14022025-04-011410.12688/f1000research.160668.2180078Exploring the relationship between macroeconomic indicators and sectoral indices of Indian stock market [version 2; peer review: 2 approved]Farman Ali0https://orcid.org/0000-0002-3364-2355Neeraj Priyadarshi1Pradeep Suri2Sanjay Singh Chauhan3https://orcid.org/0000-0003-2032-9471Bhekisipho Twala4https://orcid.org/0000-0002-3452-9581Uttaranchal Institute of Management, Uttaranchal University, Dehradun, Uttarakhand, 248007, IndiaDepartment of Electrical Engineering, JIS College of Engineering, Kolkata, West Bengal, 741235, IndiaUttaranchal Institute of Management, Uttaranchal University, Dehradun, Uttarakhand, 248007, IndiaUttaranchal Institute of Management, Uttaranchal University, Dehradun, Uttarakhand, 248007, IndiaDigital Transformation Portfolio, Tshwane University of Technology, Staatsartillerie Road, Pretoria West, Pretoria, 0183, South AfricaBackground of the study The influence of macroeconomic indicators makes it important to study the relationship between macroeconomic indicators and stock market return. On further analysis it can be observed that different sectors respond differently to change in the macroeconomic indicator that is important for investors, researchers and policy makers. Methods The autoregressive distributed lag (ARDL) model is applied to study influence of macroeconomic indicators on sectoral return of NSE from April 2012 to August 2024. Results Findings of the study show that macroeconomic indicators influence sectoral return in the short run as well as long run and the influence is differential. The analysis of long run relationship shows that Foreign Institutional Investment (FII) significantly affects all the sectoral indices except IT. Index of industrial production (IIP) have significant relationship with Auto, IT, Media, Metal and Pharma. Money supply (MS) significantly affects Bank, FMCG and IT in the long run. Wholesale Price Index (WPI) has significant relationship with Auto, FMCG and Media in the long run. Economic Policy Uncertainty Index (EPU) affects Auto, FMCG and Pharma in the long run. Crude oil price (COP) has significant effect only on Media in the long run. Exchange rate (ER) does not have significant effect on any of the sectoral index. Conclusion In the long run FII, IIP, EPU, MS and WIP are major determinants of stock market return. In the short run FII, ER and COP are major determinants of stock market return.https://f1000research.com/articles/14-180/v2 sectoral Indices Economic policy uncertainty ARDL National stock exchange eng |
| spellingShingle | Farman Ali Neeraj Priyadarshi Pradeep Suri Sanjay Singh Chauhan Bhekisipho Twala Exploring the relationship between macroeconomic indicators and sectoral indices of Indian stock market [version 2; peer review: 2 approved] F1000Research sectoral Indices Economic policy uncertainty ARDL National stock exchange eng |
| title | Exploring the relationship between macroeconomic indicators and sectoral indices of Indian stock market [version 2; peer review: 2 approved] |
| title_full | Exploring the relationship between macroeconomic indicators and sectoral indices of Indian stock market [version 2; peer review: 2 approved] |
| title_fullStr | Exploring the relationship between macroeconomic indicators and sectoral indices of Indian stock market [version 2; peer review: 2 approved] |
| title_full_unstemmed | Exploring the relationship between macroeconomic indicators and sectoral indices of Indian stock market [version 2; peer review: 2 approved] |
| title_short | Exploring the relationship between macroeconomic indicators and sectoral indices of Indian stock market [version 2; peer review: 2 approved] |
| title_sort | exploring the relationship between macroeconomic indicators and sectoral indices of indian stock market version 2 peer review 2 approved |
| topic | sectoral Indices Economic policy uncertainty ARDL National stock exchange eng |
| url | https://f1000research.com/articles/14-180/v2 |
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