JEFMS Journal

ABSTRACT:

In this paper we studied the correlation between Nifty 50, the National Stock Exchange of India's (NSE) benchmark stock index and macroeconomic variables of Indian economy which may influence it. Our analysis uses monthly data from 1.1.2017 to 1.4.2023, published by various financial statistical platforms. We applied descriptive analysis to summarize or describe the attributes of our data set. To estimate the effect of our explanatory variables (inflation rate and interest rate) on the dependent variable (Nifty 50), we applied regression techniques. The results of this study discover that neither “Inflation rate” nor “Interest Rate” is found as a good regressor. Stock markets are essential in fostering capital formation, advancing economic progress and thus to the expansion and development of the economy, so is crucial to search for variables that influence the volatility of stock market and its development. Majority of past research go on to say that there is no universal agreement on the variables influencing the progression and fluctuations of stock market. Therefore, it is crucial to search for variables that have a big impact on its volatility.

KEYWORDS:

stock market volatility, NIFTY 50, macro-economic variables, inflation rate, interest rate, time series models.

REFERENCES:

1) Agrawal, S., & Rangasamy, S. (2019). ISSN (Print): 2319 -801X www.ijbmi.org || Volume 8 Issue 03 Series. 16–23.

2) Birau, R., Trivedi, J., & Spulbar, C. (2021). Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India,“. Ovidius” University Annals, Economic Sciences Series, 21(1), 691–696.

3) Charkravarty, S. (2005). Stock market and macroeconomic behavior in India. Institute of Economic Growth [Cited 20 May 2011]. Available from Internet: Http://Www. Iegindia. Org/Dispap/Dis106. Pdf.

4) Debasish, S. S. (2009). An empirical study on impact of index futures trading on spot market in India. KCA Journal of Business Management, 2(2).

5) Debasish, S. S., & Puri, T. N. (2010). AN EMPIRICAL STUDY ON EXPIRATION DAY EFFECTS IN STOCK INDEX FUTURES IN INDIAN STOCK MARKET. International Journal of Finance, 22(3).

6) EBSCOhost | 78123380 | Causal Nexus Between Stock Market Return and Selected Macroeconomic Variables in India: Evidence from the National Stock Exchange (NSE). (n.d.). Retrieved April 19, 2023, from https://web.s.ebscohost.com/abstract?direct=true&profile=ehost&scope=site&authtype=crawler&jrnl=0972916X&AN= 78123380&h=2l3Rvo8lXkquOPzBSnmdIszhGFESSqRhnd9855We3Kmg6pivV7r7NgNIWGfks2fZVhC%2b4GTD%2fuexo%2b 0KkSwevg%3d%3d&crl=c&resultNs=AdminWebAuth&resultLocal=ErrCrlNotAuth&crlhashurl=login.aspx%3fdirect%3dtru e%26profile%3dehost%26scope%3dsite%26authtype%3dcrawler%26jrnl%3d0972916X%26AN%3d78123380

7) Garg, K., & Kalra, R. (2018). Impact of macroeconomic factors on Indian stock market. Parikalpana: KIIT Journal of Management, 14(1), 134–145.

8) Giri, A. K., & Joshi, P. (2017). The impact of macroeconomic indicators on Indian stock prices: An empirical analysis. Studies in Business and Economics, 12(1), 61–78.

9) International Journal of Economics and Financial Issues » Submission » Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships. (n.d.). Retrieved April 19, 2023, from https://dergipark.org.tr/en/pub/ijefi/issue/32012/353794

10) Kaur, K. (2014). An Empirical Study of Inflation, Unemployment, Exchange Rate and Growth in India. Asian Journal of Multidisciplinary Studies, 2(10), 19–21. 11) Kaushal Bhatt, D., & Bhatt, K. (2022). Shareholders’ Value Creation: An Empirical Study Of Selected Indian It Companies

Listed On National Stock Exchange. Journal of Positive School Psychology, 8054–8063.

12) Khan, R., & Joy, M. (2023). Effect of Unemployment and Inflation on Capricious Behavior of Stock Exchange: Empirical Study of Saudi Stock Exchange TADAWUL. 6, 73–79.

13) Kumar, K. K., & Rajakamal, C. H. (2022). An Empirical Study: Impact of Market Value-Added on Stock Market Returns With Reference to National Stock Exchange, India. Telematique, 4143–4152.

14) Lakhani, M. (2013). Dynamics of Trading Volume and Stock Returns: An Empirical Study Based on CNX Nifty of National Stock Exchange of India. Available at SSRN 2510511.

15) Macroeconomic Variables on Stock Market Interactions: The Indian Experience - ProQuest. (n.d.). Retrieved April 19, 2023, from: https://www.proquest.com/openview/08a650ee203002c5f635d5b2ce4c652b/1?pq-origsite=gscholar&cbl=2030 322

16) Majumder, S. B., & Nag, R. N. (2018). Shock and volatility spillovers among equity sectors of the national stock exchange in India. Global Business Review, 19(1), 227–240.

17) Mandal, A. (2011). Empirical study of herd behavior: The national stock exchange, India. International Journal of Financial Management, 1(3), 1.

18) Mishra, A. K., & Tripathy, T. (2018). Price and trade size clustering: Evidence from the national stock exchange of India. The Quarterly Review of Economics and Finance, 68, 63–72.

19) Mukherjee, S., & Mukherjee, R. (n.d.). Trending Inflation Link with Unemployment Since 1960’s.

20) Naik, P. K., & Padhi, P. (2016). Investor sentiment, stock market returns and volatility: Evidence from National Stock Exchange of India. International Journal of Management Practice, 9(3), 213–237.

21) Nath Sahu, T., Bandopadhyay, K., & Mondal, D. (2014). An empirical study on the dynamic relationship between oil prices and Indian stock market. Managerial Finance, 40(2), 200–215.

22) Pande, A., & Vaidyanathan, R. (2007). Determinants of IPO underpricing in the National Stock Exchange of India. ICFAI

Journal of Applied Finance, Forthcoming.

23) Pandey, D. K., & Kumari, V. (2020). Effects of merger and acquisition announcements on stock returns: An empirical study of banks listed on NSE & NYSE. The Review of Finance and Banking, 12(1).

24) Patel, S. (2012). The effect of macroeconomic determinants on the performance of the Indian stock market.

25) Saluja, H. S. (2015). Efficiency and Co-Integration of S&P CNX Nifty and Sectorul Indices of Nutional Stock Exchange: An Empirical Study. Quality Management Practices for Global Excellence, 1, 78.

26) Sharma, G. D., & Mahendru, M. (2010). Impact of macro-economic variables on stock prices in India. Global Journal of Management and Business Research, 10(7).

27) Singh, R. (2013). Study of the Impact of Macro Economic Variable & Their Role as an Indicators for the S&P CNX Nifty (SSRN Scholarly Paper No. 2317445). https://doi.org/10.2139/ssrn.2317445

28) Singh, S., Tripathi, L. K., & Parashar, A. (2013). A Study of Impact of Macroeconomic Variables on Performance of Nifty (SSRN Scholarly Paper No. 2236589). https://doi.org/10.2139/ssrn.2236589

29) Sinha, J. K. (n.d.). Impact of Unemployment and Inflation on the Economic Growth of India.