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Abstract
This paper attempts to examine the impact of domestic macro-economic fundamentals on the stock market in the short-run and the long-run period taking major macro-economic variables.
It covers the monthly data for the period 2009 to 2018. The research methodology tools include Augmented Dickey-Fuller (ADF) test as well as Phillips-Perrson (PP) test for testing of stationarity, use of Granger Causality test for finding interdependency between variables in the short-run and Cointegration test in order to find the cointegration among major macro-economic variables in the short run. The results find that there is no short-run causality found between the share market indices and other macroeconomic variables in either direction except one way granger causality between BSE to Exports. The result of Johansen Cointegration test shows the existence of significant long-run association of Indian share markets with macro economic variables.