Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE)

Nabila Nisha

doi:doi:10.11648/j.jim.20150405.14

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Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE)

Nabila Nisha

Published in Journal of Investment and Management (Volume 4, Issue 5)

Received: 22 July 2015 Accepted: 29 July 2015 Published: 11 August 2015

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Abstract

Numerous empirical studies have examined the relationship between macroeconomic variables and stock returns across different stock markets and time horizons by either outlining the influence of only domestic variables or a few global factors. The aim of this paper is to combine both global and domestic factors and extend this presumed relationship between stock returns and macroeconomic variables to the emerging market of India. Using time-series analysis, this paper employs Vector Autoregression (VAR) to determine the impact of macroeconomic variables on the stock returns of Bombay Stock Exchange (BSE). Findings of this paper indicate that a considerable impact of interest rate, gold price, exchange rate and money supply is observed for the stock returns of BSE. Additionally, a strong influence of the global macroeconomic factor of the world price index is also observed, which implies a gradual integration of BSE towards the global financial markets. Finally, the study highlights the managerial and policy implications, future research directions and limitations from the perspective of India.

Published in	Journal of Investment and Management (Volume 4, Issue 5)
DOI	10.11648/j.jim.20150405.14
Page(s)	162-170
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2015. Published by Science Publishing Group

Keywords

Stock Returns, Macroeconomic Variables, Vector Autoregression Model, Bombay Stock Exchange, India

References

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APA Style

Nabila Nisha. (2015). Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE). Journal of Investment and Management, 4(5), 162-170. https://doi.org/10.11648/j.jim.20150405.14

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ACS Style

Nabila Nisha. Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE). J. Invest. Manag. 2015, 4(5), 162-170. doi: 10.11648/j.jim.20150405.14

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AMA Style

Nabila Nisha. Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE). J Invest Manag. 2015;4(5):162-170. doi: 10.11648/j.jim.20150405.14

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@article{10.11648/j.jim.20150405.14,
  author = {Nabila Nisha},
  title = {Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE)},
  journal = {Journal of Investment and Management},
  volume = {4},
  number = {5},
  pages = {162-170},
  doi = {10.11648/j.jim.20150405.14},
  url = {https://doi.org/10.11648/j.jim.20150405.14},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jim.20150405.14},
  abstract = {Numerous empirical studies have examined the relationship between macroeconomic variables and stock returns across different stock markets and time horizons by either outlining the influence of only domestic variables or a few global factors. The aim of this paper is to combine both global and domestic factors and extend this presumed relationship between stock returns and macroeconomic variables to the emerging market of India. Using time-series analysis, this paper employs Vector Autoregression (VAR) to determine the impact of macroeconomic variables on the stock returns of Bombay Stock Exchange (BSE). Findings of this paper indicate that a considerable impact of interest rate, gold price, exchange rate and money supply is observed for the stock returns of BSE. Additionally, a strong influence of the global macroeconomic factor of the world price index is also observed, which implies a gradual integration of BSE towards the global financial markets. Finally, the study highlights the managerial and policy implications, future research directions and limitations from the perspective of India.},
 year = {2015}
}

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TY  - JOUR
T1  - Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE)
AU  - Nabila Nisha
Y1  - 2015/08/11
PY  - 2015
N1  - https://doi.org/10.11648/j.jim.20150405.14
DO  - 10.11648/j.jim.20150405.14
T2  - Journal of Investment and Management
JF  - Journal of Investment and Management
JO  - Journal of Investment and Management
SP  - 162
EP  - 170
PB  - Science Publishing Group
SN  - 2328-7721
UR  - https://doi.org/10.11648/j.jim.20150405.14
AB  - Numerous empirical studies have examined the relationship between macroeconomic variables and stock returns across different stock markets and time horizons by either outlining the influence of only domestic variables or a few global factors. The aim of this paper is to combine both global and domestic factors and extend this presumed relationship between stock returns and macroeconomic variables to the emerging market of India. Using time-series analysis, this paper employs Vector Autoregression (VAR) to determine the impact of macroeconomic variables on the stock returns of Bombay Stock Exchange (BSE). Findings of this paper indicate that a considerable impact of interest rate, gold price, exchange rate and money supply is observed for the stock returns of BSE. Additionally, a strong influence of the global macroeconomic factor of the world price index is also observed, which implies a gradual integration of BSE towards the global financial markets. Finally, the study highlights the managerial and policy implications, future research directions and limitations from the perspective of India.
VL  - 4
IS  - 5
ER  -

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Author Information

Nabila Nisha

Department of Accounting and Finance, North South University, Dhaka, Bangladesh

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APA Style

Nabila Nisha. (2015). Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE). Journal of Investment and Management, 4(5), 162-170. https://doi.org/10.11648/j.jim.20150405.14

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ACS Style

Nabila Nisha. Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE). J. Invest. Manag. 2015, 4(5), 162-170. doi: 10.11648/j.jim.20150405.14

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AMA Style

Nabila Nisha. Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE). J Invest Manag. 2015;4(5):162-170. doi: 10.11648/j.jim.20150405.14

Copy | Download

@article{10.11648/j.jim.20150405.14,
  author = {Nabila Nisha},
  title = {Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE)},
  journal = {Journal of Investment and Management},
  volume = {4},
  number = {5},
  pages = {162-170},
  doi = {10.11648/j.jim.20150405.14},
  url = {https://doi.org/10.11648/j.jim.20150405.14},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jim.20150405.14},
  abstract = {Numerous empirical studies have examined the relationship between macroeconomic variables and stock returns across different stock markets and time horizons by either outlining the influence of only domestic variables or a few global factors. The aim of this paper is to combine both global and domestic factors and extend this presumed relationship between stock returns and macroeconomic variables to the emerging market of India. Using time-series analysis, this paper employs Vector Autoregression (VAR) to determine the impact of macroeconomic variables on the stock returns of Bombay Stock Exchange (BSE). Findings of this paper indicate that a considerable impact of interest rate, gold price, exchange rate and money supply is observed for the stock returns of BSE. Additionally, a strong influence of the global macroeconomic factor of the world price index is also observed, which implies a gradual integration of BSE towards the global financial markets. Finally, the study highlights the managerial and policy implications, future research directions and limitations from the perspective of India.},
 year = {2015}
}

Copy | Download

TY  - JOUR
T1  - Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE)
AU  - Nabila Nisha
Y1  - 2015/08/11
PY  - 2015
N1  - https://doi.org/10.11648/j.jim.20150405.14
DO  - 10.11648/j.jim.20150405.14
T2  - Journal of Investment and Management
JF  - Journal of Investment and Management
JO  - Journal of Investment and Management
SP  - 162
EP  - 170
PB  - Science Publishing Group
SN  - 2328-7721
UR  - https://doi.org/10.11648/j.jim.20150405.14
AB  - Numerous empirical studies have examined the relationship between macroeconomic variables and stock returns across different stock markets and time horizons by either outlining the influence of only domestic variables or a few global factors. The aim of this paper is to combine both global and domestic factors and extend this presumed relationship between stock returns and macroeconomic variables to the emerging market of India. Using time-series analysis, this paper employs Vector Autoregression (VAR) to determine the impact of macroeconomic variables on the stock returns of Bombay Stock Exchange (BSE). Findings of this paper indicate that a considerable impact of interest rate, gold price, exchange rate and money supply is observed for the stock returns of BSE. Additionally, a strong influence of the global macroeconomic factor of the world price index is also observed, which implies a gradual integration of BSE towards the global financial markets. Finally, the study highlights the managerial and policy implications, future research directions and limitations from the perspective of India.
VL  - 4
IS  - 5
ER  -

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