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Title: :  A Study on Causality and Long Run Association between BSE Indices and Macroeconomic Indicators
PaperId: :  7017
Published in:   International Journal Of Advance Research And Innovative Ideas In Education
Publisher:   IJARIIE
e-ISSN:   2395-4396
Volume/Issue:    Volume 3 Issue 6 2017
DUI:    16.0415/IJARIIE-7017
Licence: :   IJARIIE is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Author NameAuthor Institute
Dr. P. ARUN PRAKASHBANNARI AMMAN INSTITUTE OF TECHNOLOGY, Sathyamangalam
Ms. V. SINDHUSRI KRISHNA ADITHYA COLLEGE OF ARTS AND SCIENCE , COIMBATORE

Abstract

Finance
Stock Market, Causality, Long Run Association, Multiple Correlation and Bivariate Cointegration
This empirical study investigates the relationship between BSE indices and macroeconomic determinants for the period 2004-2005 to 2015-2016. The study aims to find the causality and long run association between BSE indices and macroeconomic factors with the help of econometrics tools such as Unit Root Test Analysis, Johanson Cointegration Test, and Granger Casualty Test. The bivariate cointegration (Johanson Cointegration Test) results revealed the long term relationship between BSE Indices (comprising BSE Sensex, BSE 100, BSE 200, BSE 500 and BSE All Cap) and macroeconomic factors during the study period. It is found that all the macroeconomic variables are cointegrated with BSE Indices and exogenous variables such as Cash Reserve Ratio (CRR), Gross Domestic Formation (GCF) and Index of Industrial Production (IIP) granger caused BSE Indices of Bombay Stock Exchange in bi-directional mode. It is also observed from the results that exogenous variables such as Gross Domestic Product (GDP), Inflation, Rate (IR), Gross Domestic Savings (GDS), and statutory liquidity ratio (SLR) granger caused with BSE Indices in uni-directional mode.

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IJARIIE Dr. P. ARUN PRAKASH, and Ms. V. SINDHU. "A Study on Causality and Long Run Association between BSE Indices and Macroeconomic Indicators" International Journal Of Advance Research And Innovative Ideas In Education Volume 3 Issue 6 2017 Page 765-773
MLA Dr. P. ARUN PRAKASH, and Ms. V. SINDHU. "A Study on Causality and Long Run Association between BSE Indices and Macroeconomic Indicators." International Journal Of Advance Research And Innovative Ideas In Education 3.6(2017) : 765-773.
APA Dr. P. ARUN PRAKASH, & Ms. V. SINDHU. (2017). A Study on Causality and Long Run Association between BSE Indices and Macroeconomic Indicators. International Journal Of Advance Research And Innovative Ideas In Education, 3(6), 765-773.
Chicago Dr. P. ARUN PRAKASH, and Ms. V. SINDHU. "A Study on Causality and Long Run Association between BSE Indices and Macroeconomic Indicators." International Journal Of Advance Research And Innovative Ideas In Education 3, no. 6 (2017) : 765-773.
Oxford Dr. P. ARUN PRAKASH, and Ms. V. SINDHU. 'A Study on Causality and Long Run Association between BSE Indices and Macroeconomic Indicators', International Journal Of Advance Research And Innovative Ideas In Education, vol. 3, no. 6, 2017, p. 765-773. Available from IJARIIE, http://ijariie.com/AdminUploadPdf/A_Study_on_Causality_and_Long_Run_Association_between_BSE_Indices_and_Macroeconomic_Indicators_ijariie7017.pdf (Accessed : ).
Harvard Dr. P. ARUN PRAKASH, and Ms. V. SINDHU. (2017) 'A Study on Causality and Long Run Association between BSE Indices and Macroeconomic Indicators', International Journal Of Advance Research And Innovative Ideas In Education, 3(6), pp. 765-773IJARIIE [Online]. Available at: http://ijariie.com/AdminUploadPdf/A_Study_on_Causality_and_Long_Run_Association_between_BSE_Indices_and_Macroeconomic_Indicators_ijariie7017.pdf (Accessed : )
IEEE Dr. P. ARUN PRAKASH, and Ms. V. SINDHU, "A Study on Causality and Long Run Association between BSE Indices and Macroeconomic Indicators," International Journal Of Advance Research And Innovative Ideas In Education, vol. 3, no. 6, pp. 765-773, Nov-Dec 2017. [Online]. Available: http://ijariie.com/AdminUploadPdf/A_Study_on_Causality_and_Long_Run_Association_between_BSE_Indices_and_Macroeconomic_Indicators_ijariie7017.pdf [Accessed : ].
Turabian Dr. P. ARUN PRAKASH, and Ms. V. SINDHU. "A Study on Causality and Long Run Association between BSE Indices and Macroeconomic Indicators." International Journal Of Advance Research And Innovative Ideas In Education [Online]. volume 3 number 6 ().
Vancouver Dr. P. ARUN PRAKASH, and Ms. V. SINDHU. A Study on Causality and Long Run Association between BSE Indices and Macroeconomic Indicators. International Journal Of Advance Research And Innovative Ideas In Education [Internet]. 2017 [Cited : ]; 3(6) : 765-773. Available from: http://ijariie.com/AdminUploadPdf/A_Study_on_Causality_and_Long_Run_Association_between_BSE_Indices_and_Macroeconomic_Indicators_ijariie7017.pdf
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