What question did this study set out to answer?

The aim is to explore the dynamic relationships between macroeconomic variables and stock market performance in India.

June 29, 2026BRICS Journal of EconomicsOpen Access

Dynamic Linkages among Several Macro Economic Variables and Stock Market Returns: An Econometric Investigation using Indian Data

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The aim is to explore the dynamic relationships between macroeconomic variables and stock market performance in India.
Analyzed 420 monthly observations using GARCH models to assess stock return volatility.
Conducted Granger causality and Johansen cointegration tests on macroeconomic factors like CPI, EXRATE, FDI, and GDP.
Employed impulse response functions and error correction estimates for model robustness.
Inflation and exchange rate positively affect stock returns, while FDI and GDP show negative associations.
GARCH (1,1) model confirms volatility persistence with significant ARCH and GARCH coefficients.
Long-term unidirectional influences of FDI, exchange rate, and GDP on stock returns were established.

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Implication

This econometric investigation finds significant impacts of macroeconomic factors on stock returns in India, suggesting market sensitivity to economic conditions.

Cite This Study

Firdous et al. (2026) studied this question.

synapsesocial.com/papers/6a420ab2f91bb43ea9191e25 https://doi.org/10.3897/brics-econ.7.e172961

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Implication

This econometric investigation finds significant impacts of macroeconomic factors on stock returns in India, suggesting market sensitivity to economic conditions.

Dynamic Linkages among Several Macro Economic Variables and Stock Market Returns: An Econometric Investigation using Indian Data

Key Points

Discussion

Implication

Cite This Study

Dynamic Linkages among Several Macro Economic Variables and Stock Market Returns: An Econometric Investigation using Indian Data

Key Points

Discussion

Implication

Cite This Study

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