To Study the Impact of Macroeconomics Determinants on NSE Index
Kunj Pareshbhai Balar and Nisarg Shah
This study investigates the impact of macroeconomic determinants on NSE- index (Nifty 50). The determinants used are Gross Domestic Product, Foreign Direct Investment, Money Supply (M3), Exchange Rate, Trade Balance and Crude Oil Prices. Data’s collected was for a duration of 10 years from January 2007 to December 2016. Using ADF unit root test data series were tested for stationarity and all series were find stationary at level itself. Correlation matrix is used to find the relationship between the macroeconomic determinants and the Nifty 50 as well as among the determinants itself. And a moderate correlation is found between the macroeconomic determinants and the Nifty 50 out of which exchange rate showed a negative relationship whereas other determinants showed a positive relationship. Multiple regressions analysis is used to find the effect of macroeconomic determinants on the Nifty 50. It is found that Gross Domestic Product, Crude Oil and Exchange Rate show a significant effect on Nifty 50 whereas Foreign Direct Investment, Trade Balance and Money supply (M3) showed a non-significant effect on the Nifty 50. Granger Causality test reveals that there exist neither bidirectional nor uni-directional relationships with the Nifty 50. The use of Johansen Cointegration test indicates that all macroeconomic determinants have a long run relationship with Nifty 50 which implies that the data of determinants and Nifty 50 are co-integrated.