Vol 6, Issue 1, January - June 2019 | Pages: 1-15 | Research Paper
Published Online: June 03, 2019
Author Details
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The performance of the SENSEX and individual sector indices is a function of interplay of various macroeconomic factors impacting the economy at large. The objective of this study is to identify the relationship between various macroeconomic factors and SENSEX and the sector-specific indices and also examine the magnitude of impact. The sector-specific indices selected for study contribute more than ten percent to the SENSEX. The study has been conducted using vector autoregression after examining the stationarity of the selected variables for the period April 2010 to March 2018 using monthly data series. This will help the investors to understand the extent of the variability in the indices explained by the macroeconomic factors over time. The present study peered beneath the SENSEX to examine the effect of various macroeconomic on the index and on individual indices. The result of the analysis would help the investors to optimise returns based on understanding of the relation between macroeconomic factors and a specific industry.
Keywords
Correlation; Macroeconomic factors; SENSEX; Stationarity; Vector auto regression