Granger Causality between three-month short-term Interest Rates and NIFTY 50 Index

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Amar Rao
Amar Rao
1 Shoolini University

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GJMBR Volume 19 Issue C4

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This research paper study granger causality between three-month short-term interest rates and stock index prices represented by NIFTY 50 of National Stock Exchange. For the study, daily observations of prices were taken between the period of the year January 2002 to March 2019. Stationary of data was tested and confirmed by Augment Dickey-Fuller test. To determine causality between short term interest rates and stock index prices, Granger Causality test was used. Result analysis shows that there exists no causality relationship between three-month short term interest rates and stock index prices of NIFTY 50.

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.

Data Availability

Not applicable for this article.

Amar Rao. 2019. \u201cGranger Causality between three-month short-term Interest Rates and NIFTY 50 Index\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 19 (GJMBR Volume 19 Issue C4): .

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GJMBR Volume 19 Issue C4
Pg. 21- 23
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Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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GJMBR-C Classification: JEL Code: G10
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v1.2

Issue date

May 31, 2019

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English

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This research paper study granger causality between three-month short-term interest rates and stock index prices represented by NIFTY 50 of National Stock Exchange. For the study, daily observations of prices were taken between the period of the year January 2002 to March 2019. Stationary of data was tested and confirmed by Augment Dickey-Fuller test. To determine causality between short term interest rates and stock index prices, Granger Causality test was used. Result analysis shows that there exists no causality relationship between three-month short term interest rates and stock index prices of NIFTY 50.

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Granger Causality between three-month short-term Interest Rates and NIFTY 50 Index

Amar Rao
Amar Rao Shoolini University

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