An Empirical Study on the Stock Market Performance and other Asset Classes in India

Authors

  • Shelly Agarwal Research scholar, Christ (Deemed to be) University, Bangalore, India.
  • Mareena Mathew Assistant Professor, Christ (Deemed to be) University, Bangalore, India.

Keywords:

Asset classes, G-sec Yield, BSE SENSEX, Brent oil, Gold, NASDAQ

Abstract

There lies a strong relationship between the real economy performance and the stock market performance. This is due to the presence of asset classes in India in addition to external factors. This study analyses the Indian stock market performance and the Indian asset classes and international stock market variables. It tries to find the causal relationship between a sample of asset classes performance and the Indian stock market performance. To compute stock market performance BSE Sensex is used. For this study, daily BSE data from Jan,2008 to Dec,2018 is used. BSE Sensex is taken as the dependent variable. Data on yield on ten year G-sec Indian bonds, Gold, rupee exchange rates with US dollar, Brent oil and NASDAQ are the independent variables.

The presence of a significant linkage is found between the returns of Indian stock market BSE SENSEX and the other five independent variables including the US stock market NASDAQ. Multiple linear regression has been conducted for the study to find the significant relationship between the dependent and independent variables. Results shows that there lies a significant relationship in between the dependent and the independent variables. Stationarity test has also been conducted to test the predictability and the subsequent presence of bubble in the time series. The study suggests that the Indian stock market BSE SENSEX is driven not only by the asset classes such as exchange rate, gold prices, oil price movement, 10-year bond yield, but also by NASDAQ. Change in the US stock market drives the volatility of the Indian stock market. This impacts the other macro aspects of the economy.

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Published

22-09-2021

How to Cite

Shelly Agarwal, & Mareena Mathew. (2021). An Empirical Study on the Stock Market Performance and other Asset Classes in India. International Journal of Management Studies (IJMS), 6(2(1), 29–37. Retrieved from https://researchersworld.com/index.php/ijms/article/view/1084

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