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

Amar Rao

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

Amar Rao * §

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§ Shoolini University

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

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Abstract

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.

References

12 Cites in Article

Reference Format

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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.

How to Cite This Article

Amar Rao. 2019. "Granger Causality between three-month short-term Interest Rates and NIFTY 50 Index". Global Journal of Management and Business Research, 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

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

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Classification

GJMBR-C Classification JEL Code: G10

Submission ReceivedDecember 14, 2018
Peer Review Double Blind
Handling Editor
Accepted January 1, 2019
Published January 15, 2019

Version of record

v1.2

Issue date

May 31, 2019

Language

English

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Article Matrices

Total Score: 148

Country: India

Subject: Global Journal of Management and Business Research

Authors: Amar Rao (PhD/Dr. count: 0)

View Count (all-time): 281

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Publish Date: 2019 01, Tue

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