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Interrelationship Between Macroeconomic Fundamentals and Sector-Specific Stock Indices of the Indian Manufacturing Sector

In: Indian Manufacturing Sector in Post-Reform Period

Author

Listed:
  • Sumit Kumar Maji

    (The University of Burdwan)

  • Arindam Laha

    (The University of Burdwan)

  • Debasish Sur

    (The University of Burdwan)

Abstract

This chapter focuses on the dynamic relationship between the select manufacturing sector-specific stock market indices and the various macroeconomic factors. The long-run and short-run interrelation between the indices and the macroeconomic variables was accomplished using Auto Regressive Distributed Lag framework. The outcome of the study showed the existence of both short-run and long-run relationships. The effect of all the macroeconomic variables was not found to be statistically significant for all the sector-specific indices. However, economic policy uncertainty, foreign portfolio investment ratio and price factor emerged as the most sensitive macroeconomic variables affecting the selected sector-specific indices during the period under study.

Suggested Citation

  • Sumit Kumar Maji & Arindam Laha & Debasish Sur, 2022. "Interrelationship Between Macroeconomic Fundamentals and Sector-Specific Stock Indices of the Indian Manufacturing Sector," Springer Books, in: Indian Manufacturing Sector in Post-Reform Period, chapter 0, pages 109-132, Springer.
    • Handle: RePEc:spr:sprchp:978-981-19-2666-2_6
    DOI: 10.1007/978-981-19-2666-2_6
    as

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