This study investigates the relationship between macroeconomic indicators and stock market volatility in India using time-series data from 2007 to 2023. The Augmented Dickey-Fuller (ADF) test confirmed the stationarity of stock returns, while the GARCH(1,1) model identified significant volatility clustering, indicating the persistence of market fluctuations. A Granger causality test was employed to assess the predictive relationship between GDP growth and stock returns, revealing no significant causality in either direction. These findings suggest that GDP growth alone is not a primary determinant of stock market volatility in India, highlighting the need to consider additional factors such as monetary policy, global market trends, and investor sentiment. The study contributes to the understanding of market dynamics in emerging economies by demonstrating the limitations of traditional macroeconomic indicators in explaining stock market fluctuations and advocating for a more comprehensive analytical framework incorporating behavioural and external economic influences.
Chandra Prakash Agrawal (Fri,) studied this question.