Efficient Model Selection for Nifty Index and Impact of Money Supply, Gold and Exchange Rate on S&P Nifty 50

Vishweswarsastry V.N, Binoy Mathew, Aisha Banu

Abstract

The economic importance of stock market results from marketability which is increased or increasing resulting from quotation of shares from a stock exchange. Stock Indices attracts most of the investors and volatile to market conditions which affects the return of the investors. The primary objective of the paper is to study the effect of macroeconomic factors on NIFTY secondly to analyse and check the stationarity among various economic indicators and Nifty and thirdly to judge the best model for estimating the nifty. The methodology applied for the study is analytical and an econometric tool like ADF test, ARDL, Pairwise granger causality test and VAR is applied for regressing the index. The Variables was stationary at first order of difference for the nifty to regress for future period which aids investors in decision making.

Keywords

NIFTY 50, ADF, ARDL, VAR, Stationarity, Granger causality test, Differencing

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