The role of macroeconomic variables on stock market index in China and India

Mehdi Hosseini; Zamri  Ahmad; Yew Wah  Lai

doi:10.5539/ijef.v3n6p233

The role of macroeconomic variables on stock market index in China and India

Mehdi Hosseini, Zamri Ahmad, Yew Wah Lai

Universiti Sains Malaysia

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Abstract

This paper investigates the relationships between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India. The period covers in this study is between January 1999 to January 2009. Using the Augmented Dickey-Fuller unit root test, the underlying series are tested as non-stationary at the level but stationary in first difference. The use of Johansen-Juselius (1990) Multivariate Cointegration and Vector Error Correction Model technique, indicate that there are both long and short run linkages between macroeconomic variable and stock market index in each of these two countries

Original language	English
Pages (from-to)	233-243
Number of pages	11
Journal	International Journal of Economics and Finance
Volume	3
Issue number	6
DOIs	https://doi.org/10.5539/ijef.v3n6p233
Publication status	Published - 1 Nov 2011
Externally published	Yes

Bibliographical note

CC-BY This work is licensed under a Creative Commons Attribution 4.0 License.

Keywords

Crude oil price
money supply
Industrial production
Inflation rate
Stock market index

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10.5539/ijef.v3n6p233Licence: CC BY

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title = "The role of macroeconomic variables on stock market index in China and India",

abstract = "This paper investigates the relationships between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India. The period covers in this study is between January 1999 to January 2009. Using the Augmented Dickey-Fuller unit root test, the underlying series are tested as non-stationary at the level but stationary in first difference. The use of Johansen-Juselius (1990) Multivariate Cointegration and Vector Error Correction Model technique, indicate that there are both long and short run linkages between macroeconomic variable and stock market index in each of these two countries",

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AU - Ahmad, Zamri

AU - Lai, Yew Wah

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PY - 2011/11/1

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N2 - This paper investigates the relationships between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India. The period covers in this study is between January 1999 to January 2009. Using the Augmented Dickey-Fuller unit root test, the underlying series are tested as non-stationary at the level but stationary in first difference. The use of Johansen-Juselius (1990) Multivariate Cointegration and Vector Error Correction Model technique, indicate that there are both long and short run linkages between macroeconomic variable and stock market index in each of these two countries

AB - This paper investigates the relationships between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India. The period covers in this study is between January 1999 to January 2009. Using the Augmented Dickey-Fuller unit root test, the underlying series are tested as non-stationary at the level but stationary in first difference. The use of Johansen-Juselius (1990) Multivariate Cointegration and Vector Error Correction Model technique, indicate that there are both long and short run linkages between macroeconomic variable and stock market index in each of these two countries

KW - Crude oil price

KW - money supply

KW - Industrial production

KW - Inflation rate

KW - Stock market index

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DO - 10.5539/ijef.v3n6p233

M3 - Article

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SP - 233

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JO - International Journal of Economics and Finance

JF - International Journal of Economics and Finance

IS - 6

ER -

The role of macroeconomic variables on stock market index in China and India

Abstract

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Keywords

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