探索宏观经济指标和印度股票市场部门指数之间的关系
Sanjay Singh Chauhan1, Pradeep Suri1, Bhekisipho Twala2
1Uttaranchal Institute of Management, Uttaranchal University, Dehradun, Uttarakhand, 248007, India.
F1000Research
|April 17, 2025
概括
宏观经济指标在短期和长期内显著影响各行各业的股票市场回报. 外国机构投资 (FII) 和工业生产指数 (IIP) 是大多数行业的关键长期驱动因素.
科学领域:
- 经济学 经济学 经济学
- 金融市场 金融市场
- 计量经济学 计量经济学
背景情况:
- 对于投资者,研究人员和政策制定者来说,了解宏观经济指标与股票市场回报之间的关系至关重要.
- 不同的经济部门对宏观经济变量变化的反应各不相同.
研究的目的:
- 分析关键宏观经济指标对部门股票市场回报的影响.
- 区分这些指标对各种股票市场部门的短期和长期影响.
主要方法:
- 这项研究采用了自回归分布式滞后 (ARDL) 模型.
- 国家证券交易所 (NSE) 部门回报的数据从2012年4月到2024年8月.
主要成果:
- 宏观经济指标显示,短期和长期对各部门的回报有着显著的,但差异化的影响.
- 长期决定因素包括外国机构投资 (FII),工业生产指数 (IIP),经济政策不确定性 (EPU),货币供应 (MS) 和批发价格指数 (WPI).
- 确定的短期驱动因素是FII,汇率 (ER) 和原油价格 (COP).
结论:
- FII,IIP,EPU,MS和WPI被确定为股票市场回报的主要长期决定因素.
- FII,ER和COP成为股票市场回报的重要短期决定因素.
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