BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Upadhyaya Kamal P. (University of New Haven West Haven, USA), Nag Raja (New York Institute of Technology, USA), Mixon Jr. Franklin G. (Columbus State University, USA)
Stock Market Prices and the Macroeconomics of Emerging Economies : the Case of India
Dynamic Econometric Models, 2018, vol. 18, s. 35-47, tab., bibliogr. 28 poz.
Słowa kluczowe
Przyczynowość, Dynamika gospodarki, Wzrost gospodarczy, Dane panelowe
Causality, Economy dynamics, Economic growth, Panel data
Klasyfikacja JEL: E00, E44
This paper investigates the relationship between stock market capitalization (stock prices) and selected macroeconomic variables in India. The empirical results suggest that, in the long run, output growth and exchange rate are positively related to stock prices, while money supply exhibits a negative relationship to stock market capitalization. In the short run most of the variation in the stock market is captured by its own innovation, although the exchange rate, the price level and the interest rate seem to have some effect on the short-run stock capitalization. (original abstract)
Dostępne w
Biblioteka Szkoły Głównej Handlowej w Warszawie
Pełny tekst
  1. Abugri, B. A. (2008), Empirical Relationship between Macroeconomic Volatility and Stock Returns: Evidence from Latin American Markets, International Review of Financial Analysis, 17, 396-410, DOI:
  2. Al-Tamimi, H. A., Alwan, A. A. and Rahman, A. A. (2011), Factors Affecting Stock Prices in the UAE Financial Markets, Journal of Transnational Management, 16, 3-19, DOI:
  3. Andreou, E., Ghysels, E. and Kourtellos, A. (2013), Should Macroeconomic Forecasters useDaily Financial Data and How? Journal of Business and Economic Statistics, 31, 240-251, DOI:
  4. Castle, J. L. and Hendry, D. F. (2010), A Low-Dimension Portmanteau Test for Non-Linearity, Journal of Econometrics, 158, 231-245, DOI:
  5. Chen, N. F. Roll, R. and Ross, S. A. (1986), Economic Forces and the Stock Market, Jour-nal of Business, 59, 383-403, DOI:
  6. DeFina, R. H. (1991), Does Inflation Depress the Stock Market? Federal Reserve Bank of Philadelphia Business Review, 17, 3-12, DOI:
  7. Dhakal, D., Kandil, M. and Sharma, S. C. (1993), Causality between the Money Supply and Share Prices: A VAR Investigation, Quarterly Journal of Business and Eco-nomics, 32, 52-74, DOI:
  8. Fama, E. F. (1981), Stock Returns, Real Activity, Inflation and Money, American Economic Review, 71, 545-565, DOI:
  9. Fama, E. F., and Schwert, G. W. (1977), Human Capital and Capital Market Equilibrium, Journal of Financial Economics, 4, 95-125, DOI:
  10. Fama, E. F. (1990), Stock Returns, Expected Returns, and Real Activity, Journal of Fi-nance, 45, 1089-1108, DOI:
  11. Geise, A. and Piłatowska, M. (2016), Asymmetries in the Relationship between Economic Activity and Oil Prices in the Selected EU Countries, Dynamic Econometric Models 16, 65-86, DOI:
  12. Geske, R. and Roll, R. (1983), The Fiscal and Monetary Linkage between Stock Returns and Inflation, Journal of Finance, 38, 1-33, DOI:
  13. Huang, R. D. and Kracaw, W. A. (1984), Stock Market Returns and Real Activity: A Note, Journal of Finance, 39, 267-273, DOI:
  14. Humpe, A. and Macmillan, P. (2009), Can Macroeconomic Variables Explain Long-Term Stock Market Movements? A Comparison of the US and Japan, Applied Financial Economics, 19, 111-119, DOI:
  15. Johansen, S. (1988), Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, 12, 231-254, DOI:
  16. Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, 59,1551-1580, DOI:
  17. Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 169-210, DOI:
  18. Kwon, C. S., Shin, T. S. and Bacon, F. W. (1997), The Effect of Macroeconomic Variables on Stock Market Returns in Developing Markets, Multinational Business Review, 5, 63-73, DOI:
  19. Maysami, R. C. and Koh, T. S. (2000), A Vector Error Correction Model for the Singapore Stock Market, International Review of Economics and Finance, 9, 79-96, DOI:
  20. Mukherjee, T. K. and Naka, A. (1995), Dynamic Relations between Macroeconomic Variables and the Japanese Stock Market: An Application of a Vector error Correction Model, Journal of Financial Research, 18, 223-237, DOI:
  21. Naka, A. and Tufte, D. (1997), Examining Impulse Response Functions in Cointegrated Systems, Applied Economics, 29, 1593-1603, DOI:
  22. Perron, P. (1988), Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach, Journal of Economic Dynamics and Control, 12, 297-332, DOI:
  23. Phillips, P. C. B. and Perron, P. (1988), Testing for a Unit Root in Time Series Regression, Biometrika, 75, 335-346, DOI:
  24. Piłatowska, M., Włodarczyk, A., Zawada, M. (2014), The Environmental Kuznets Curve in Poland - Evidence from Threshold Cointegration Analysis, Dynamic Econometric Models, 14, 51-70, DOI:
  25. Said E., and Dickey, D. A. (1984), Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order, Biometrika, 71, 599-607, DOI:
  26. Shleifer, A. and Vishny, R. W. (1997), A Survey of Corporate Governance, Journal of Finance, 52, 737-783, DOI:
  27. Syczewska, E. M. (2014), The EURPLN, DAX and WIG20: The Granger Causality Tests Before and During the Crisis, Dynamic Econometric Models, 14, 93-104, DOI:
  28. Wongbangpo, P. and Sharma, S. C. (2002), Stock Market and Macroeconomic Fundamental Dynamic Interaction: ASEAN-5 Countries, Journal of Asian Economics, 13, 27-51, DOI:
Cytowane przez
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu