[PDF][PDF] Stock prices and Macroeconomic indicators: Investigating a correlation in Indian context
D Rawat, S Patni, R Mehta - arXiv preprint arXiv:2112.08071, 2021 - academia.edu
D Rawat, S Patni, R Mehta
arXiv preprint arXiv:2112.08071, 2021•academia.eduThe objective of this paper is to find the existence of a relationship between stock market
prices and the fundamental macroeconomic indicators. We build a Vector Auto Regression
(VAR) model comprising of nine major macroeconomic indicators (interest rate, inflation,
exchange rate, money supply, gdp, fdi, trade-gdp ratio, oil prices, gold prices) and then try to
forecast them for next 5 years. Finally we calculate cross-correlation of these forecasted
values with the BSE Sensex closing price for each of those years. We find very high …
prices and the fundamental macroeconomic indicators. We build a Vector Auto Regression
(VAR) model comprising of nine major macroeconomic indicators (interest rate, inflation,
exchange rate, money supply, gdp, fdi, trade-gdp ratio, oil prices, gold prices) and then try to
forecast them for next 5 years. Finally we calculate cross-correlation of these forecasted
values with the BSE Sensex closing price for each of those years. We find very high …
Abstract
The objective of this paper is to find the existence of a relationship between stock market prices and the fundamental macroeconomic indicators. We build a Vector Auto Regression (VAR) model comprising of nine major macroeconomic indicators (interest rate, inflation, exchange rate, money supply, gdp, fdi, trade-gdp ratio, oil prices, gold prices) and then try to forecast them for next 5 years. Finally we calculate cross-correlation of these forecasted values with the BSE Sensex closing price for each of those years. We find very high correlation of the closing price with exchange rate and money supply of Indian economy.
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