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Publication: IIP Proceedings Year: 2022, Month: November Page No: 64-82, ISSN/ISBN: 978-93-95632-95-9, DOI/Link: https://www.rsquarel.org/assets/docupload/rsl202365309B6D854E3A5.pdf
A STUDY ON LONG RUN AND SHORT RUN ASSOCIATION BETWEEN DOMESTIC AND GLOBAL FACTORS WITH SELECT SECTORAL INDICES OF INDIAN STOCK MARKETS
Area/Stream: Management, Authors: V. V. L. Sameera Keywords: Global and Domestic Economic Factors, Sectoral Indices, Cointegration, Causality, Lag variable. Book Name /series: Futuristic Trends in Management, Volume 2, Book 7, Part 1, Chapter 7Publication: IIP Proceedings Year: 2022, Month: November Page No: 64-82, ISSN/ISBN: 978-93-95632-95-9, DOI/Link: https://www.rsquarel.org/assets/docupload/rsl202365309B6D854E3A5.pdf
Abstract:
The impact of global and domestic economic factors may not be same on all the sectoral indices, hence the present debate is made as an experiment to analyze the Long-term and short-term causality between select global and domestic economic factors with select sectoral indices of Indian stock market. Johansen co-integration test, VECM/VAR model, Wald test has been used to test the remote future and fleeting causality. The study concluded that, lag variables of respective index, NIFTY, IIP, NASDAQ and Petroleum rates posses long and short run association with Auto and Bank Index.
Cite this: V. V. L. Sameera,"A STUDY ON LONG RUN AND SHORT RUN ASSOCIATION BETWEEN DOMESTIC AND GLOBAL FACTORS WITH SELECT SECTORAL INDICES OF INDIAN STOCK MARKETS", Futuristic Trends in Management, Volume 2, Book 7, Part 1, Chapter 7, November, 2022, 64-82, 978-93-95632-95-9, https://www.rsquarel.org/assets/docupload/rsl202365309B6D854E3A5.pdf
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