Examining the Relationship between Sectoral Stock Market Indices and Sectoral Gross Domestic Product: An Empirical Evidence from India

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Pooja Joshi
Pooja Joshi
2
Prof. A.K. Giri
Prof. A.K. Giri
1 Birla Institiute of Science and Technology, Pilani

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This paper aims to examine the relationship between gross domestic product and Indian stock market from a sectoral perspective by using quarterly time series data from 2003:Q4 to 2014:Q4. Ng-Perron unit root test is utilized to check the order of integration of the variables. The long run relationship is examined by implementing the ARDL bounds testing approach to cointegration. VECM method is used to test the short and long run causality and variance decomposition is used to predict long run exogenous shocks of the variables. The results of the ARDL bounds test confirm the existence of a cointegrating relationship between sectoral GDP and sectoral stock price in India.

Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

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Not applicable for this article.

Pooja Joshi. 2015. \u201cExamining the Relationship between Sectoral Stock Market Indices and Sectoral Gross Domestic Product: An Empirical Evidence from India\u201d. Global Journal of Management and Business Research - B: Economic & Commerce GJMBR-B Volume 15 (GJMBR Volume 15 Issue B9): .

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GJMBR Volume 15 Issue B9
Pg. 15- 26
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Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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GJMBR-B Classification: JEL Code: C23, E44, Q43
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November 7, 2015

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English

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This paper aims to examine the relationship between gross domestic product and Indian stock market from a sectoral perspective by using quarterly time series data from 2003:Q4 to 2014:Q4. Ng-Perron unit root test is utilized to check the order of integration of the variables. The long run relationship is examined by implementing the ARDL bounds testing approach to cointegration. VECM method is used to test the short and long run causality and variance decomposition is used to predict long run exogenous shocks of the variables. The results of the ARDL bounds test confirm the existence of a cointegrating relationship between sectoral GDP and sectoral stock price in India.

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Examining the Relationship between Sectoral Stock Market Indices and Sectoral Gross Domestic Product: An Empirical Evidence from India

Pooja Joshi
Pooja Joshi Birla Institiute of Science and Technology, Pilani
Prof. A.K. Giri
Prof. A.K. Giri

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