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

Mehdi Hosseini, Zamri Ahmad, Yew Wah Lai

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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 languageEnglish
Pages (from-to)233-243
Number of pages11
JournalInternational Journal of Economics and Finance
Issue number6
Publication statusPublished - 1 Nov 2011
Externally publishedYes

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


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