The Role of Macroeconomic Variables on Stock Market Index in China and India

Seyed Mehdi Hosseini · Zamri Ahmad · Yew Wah Lai

150 citations0/0 files storedInternational Journal of Economics and Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Market Dynamics and Volatility Monetary Policy and Economic Impact Financial Markets and Investment Strategies

Abstract

This paper investigates the relationships between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India. The period covers in this study is between January 1999 to January 2009. Using the Augmented Dickey-Fuller unit root test, the underlying series are tested as non-stationary at the level but stationary in first difference. The use of Johansen-Juselius (1990) Multivariate Cointegration and Vector Error Correction Model technique, indicate that there are both long and short run linkages between macroeconomic variable and stock market index in each of these two countries.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 150 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 2001Bounds testing approaches to the analysis of level relationships 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems

Cited by

2014Exchange rate regimes and foreign exchange exposure: The case of emerging market firms 2014An Econometric Analysis of the Impact of Macroeconomic Fundamentals on Stock Market Returns in Ghana 2014Relationship of Stock Price and Monetary Variables of Asian Small Open Emerging Economy: Evidence from Thailand

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.