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Asymmetric relationship between macroeconomic uncertainty and stock market performance: a study of the Indian stock market

Author

Listed:
  • Prem Vaswani

    (National Institute of Technology Tiruchirappalli)

  • Padmaja M

    (National Institute of Technology Tiruchirappalli)

Abstract

This research attempts to scrutinize the asymmetric nexus of macroeconomic factors in determining the financial stock market performance using Index returns of BSE-SENSEX and NSE-NIFTY as proxies for stock market performance in India. The Non-linear ARDL (NARDL) results support unequivocally that the selected macroeconomic factors as inflation, exchange rates, broad money supply, call money rates, oil prices, gold prices, FII, and BTCR have an asymmetric nexus with the stock market performance. The study's empirical findings have significant consequences for policy in designing the asset allocation decisions by the investor, portfolio managers and policy makers in the circumstances of a sudden positive or negative shock in the stock market.

Suggested Citation

  • Prem Vaswani & Padmaja M, 2023. "Asymmetric relationship between macroeconomic uncertainty and stock market performance: a study of the Indian stock market," Economics Bulletin, AccessEcon, vol. 43(4), pages 1887-1895.
    • Handle: RePEc:ebl:ecbull:eb-23-00200
    as

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    More about this item

    Keywords

    Macroeconomics; Stock Market; Stock returns; Co-integration; Error correction; NARDL;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook

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