Macroeconomic Variables and Security Prices in India during the Liberalized Period

247 Pages·2015·1.588 MB·English

by  Tarak Nath Sahu (auth.)

Macroeconomic Variables and Security Prices in
India during the Liberalized Period
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Macroeconomic Variables and
Security Prices in India during
the Liberalized Period
T N S
ARAK ATH AHU
MACROECONOMIC VARIABLES AND SECURITY PRICES IN INDIA DURING
THE LIBERALIZED PERIOD
Copyright © Tarak Nath Sahu, 2015.
Softcover reprint of the hardcover 1st edition 2015 978-1-137-49200-5
All rights reserved.
First published in 2015 by
PALGRAVE MACMILLAN®
in the United States— a division of St. Martin’s Press LLC,
175 Fifth Avenue, New York, NY 10010.
Where this book is distributed in the UK, Europe and the rest of the world,
this is by Palgrave Macmillan, a division of Macmillan Publishers Limited,
registered in England, company number 785998, of Houndmills,
Basingstoke, Hampshire RG21 6XS.
Palgrave Macmillan is the global academic imprint of the above companies
and has companies and representatives throughout the world.
Palgrave® and Macmillan® are registered trademarks in the United States,
the United Kingdom, Europe and other countries.
ISBN 978-1-349-69677-2 ISBN 978-1-137-49201-2 (eBook)
DOI 10.1057/9781137492012
Library of Congress Cataloging-in-Publication Data
Sahu, Tarak Nath, 1982–
Macroeconomic variables and security prices in India during the
liberalised period / Tarak Nath Sahu.
pages cm
Includes bibliographical references and index.

ISBN 978–1–137–49202–9 (ebook)—

1. Stocks—Prices—India. 2. Macroeconomics—Econometric models.
3. India—Economic policy. I. Title.
HG4636.S24 2015
332.63(cid:25)2220954—dc23 2014045416
A catalogue record of the book is available from the British Library.
Design by Newgen Knowledge Works (P) Ltd., Chennai, India.
First edition: May 2015
10 9 8 7 6 5 4 3 2 1
Contents
List of Figures vii
List of Tables ix
Preface xv
Acknowledgments xvii
List of Abbreviations xix
1 Introduction 1
2 The Indian Stock Market and the Macroeconomic
Environment—an Overview 11
3 Review of Related Literature 39
4 Research Design and Methodology 79
5 Analysis and Findings of the Study 97
6 Summary and Conclusion 207
Bibliography 215
Index 229
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Figures
5.1 Impulse Response of Sensex to One Standard Deviation
Shock in the Variables 188
5.2 Impulse Response of Nifty to One Standard Deviation
Shock in the Variables 189
5.3 Impulse Response of the Variables to One Standard
Deviation Shock in Sensex 192
5.4 Impulse Response of the Variables to One Standard
Deviation Shock in Nifty 193
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Tables
5.1 Descriptive Statistics 98
5.2 Descriptive Statistics 98
5.3 Results of Augmented Dickey-Fuller (ADF) Unit Root Test 100
5.4 Results of Phillips-Perron (PP) Unit Root Test 102
5.5 R esults of Kwiatkowski-Phillips-Schmidt-Shin (KPSS)
Unit Root Test 103
5.6 VAR Lag Order Selection Criteria for TBR 105
5.7 Results of Johansen Cointegration Test (Trace Statistics)
for TBR 105
5.8 Results of Johansen Cointegration Test (Maximum Eigen
Statistics) for TBR 106
5.9 Results of Vector Autoregression Estimation
(Sensex & TBR) 107
5.10 Results of Vector Autoregression Estimation
(Nifty & TBR) 107
5.11 VAR Granger Causality / Block Exogenety Wald
Test Results for TBR 108
5.12 VAR Lag Order Selection Criteria for CPI 109
5.13 Results of Johansen Cointegration Test
(Trace Statistics) for CPI 110
5.14 Results of Johansen Cointegration Test (Maximum
Eigen Statistics) for CPI 110
5.15 Results of Vector Error Correction Model (Sensex & CPI) 111
5.16 Results of Vector Error Correction Model (Nifty & CPI) 111
5.17 VEC Granger Causality / Block Exogenety Wald Test
Results for CPI 112
5.18 Results of Bivariate Regressions (Stock Indices & FII) 113
5.19 Results of Bivariate Regressions (FII & Stock Indices) 114
5.20 VAR Lag Order Selection Criteria for FII 115
5.21 Results of Vector Autoregression Estimation (Sensex & FII) 116
5.22 Results of Vector Autoregression Estimation (Nifty & FII) 116