692 501 Challenging Logical Reasoning Questions 3

A STUDY ON IMPACT OF MACRO-ECONOMIC
FACTORS ON INDIAN STOCK MARKET

WITH SPECIAL REFERENCE TO AUTOMOBILE SECTOR
C
Submitted for fulfillment of the requirement for the award of

Degree of
MASTER OF BUSINESS MANAGEMENT
Submitted By:
V. Hansini
Integrated MBA
Under the supervision of:

Prof. Sanjeev Bhatnagar
FACULTY OF SOCIAL SCIENCE
DAYALBAGH EDUCATIONAL INSTITUTE

(DEEMED UNIVERSITY)
DAYALBAGH, AGRA
(2017-2018)
A STUDY ON IMPACT OF MACRO-ECONOMIC FACTORS ON INDIAN STOCK MARKET
DECLARATION
I hereby declare that the Industrial Project entitled “A STUDY ON IMPACT OF

MACRO-ECONOMIC FACTORS ON INDIAN STOCK MARKET WITH SPECIAL
REFERENCE TO AUTOMOBILE SECTOR”, is my original piece of work carried out
under the guidance and supervision of Prof. Sanjeev Bhatnagar, Faculty of
Social Science, Dayalbagh Educational Institute (Deemed University),
Dayalbagh, Agra.
To the best of my knowledge, no part of this research work has been published
by any other Institution/University for any purpose whatsoever.
V.Hansini
Researcher
Faculty of Social Science
Dayalbagh Educational Institute
Dayalbagh, Agra
Dated 16th April 2018 at Agra

CERTIFICATE
This is to certify that the Industrial Project entitled A STUDY ON IMPACT OF

MACRO-ECONOMIC FACTORS ON INDIAN STOCK MARKET WITH SPECIAL
REFERENCE TO AUTOMOBILE SECTOR, submitted by Ms. V. Hansini to Faculty
of Social Science, Dayalbagh Educational Institute (Deemed University),
Dayalbagh, Agra, for the award of Degree of Master of Business
Management, has been completed within stipulated period in my guidance.
To the best of my knowledge and belief this work has not formed the basis for
the award of this or any other degree or similar title of this or any other
university. All references and various sources made use of in this research
project have been duly acknowledged and the thesis of accepted standard of
contents and presentation has been submitted for the consideration of the
award of the degree.
Prof. Sanjeev Bhatnagar

Professor
Faculty of Social Science
Dayalbagh Educational Institute,
Dayalbagh, Agra
ACKNOWLEDGEMENT
I hereby take the opportunity to express my gratitude towards those who have
made great contribution in completion of this project work. I would like to pay my
sincere regards and thanks to those who directed me at every step in this project
work.
I extend my thanks to my respectable guide Prof. Sanjeev Bhatnagar for his
guidance, constant supervision and encouragement. Without his support it can
never be possible and it is due to his personal interest and initiative that the project
work is successfully accomplished in the present form.
Last but not the least I am also thankful to each and every person who directly or
indirectly helped me and co-operated with me during my research work.
ABSTRACT
The purpose of this research is to investigate the relationship between Nifty Auto
index and macroeconomic variables, i.e., inflation rate, interest rate, exchange rate and
repo rate. The long term relationship between macroeconomic variables and stock market
returns has been analyzed by correlation analysis and multiple regression analysis. The study
reveals that all the macroeconomic factors are strongly associated with stock market returns
and there is strong positive association between Exchange Rate and nifty Auto Index whereas
strong negative correlation exists between nifty Auto Index and Inflation Rate, nifty Auto
Index and interest Rates and nifty Auto Index and Repo Rate. Multiple regression analysis
suggests that Inflation Rate, Exchange Rate and Interest Rate have significant impact on
whereas Repo rate does not have significant contribution to Nifty Auto at 5 percent level of
significance.
Table of Contents
Chapter No. Description Page No.
Chapter 1 Introduction & Research Framework 1-5
 Need of the Study
 Objective of the Study
 Research Methodology
Chapter 2 Review of Literature 6-17
 National Reviews
 International Reviews
Chapter 3 Analysis & Testing of Hypothesis 18-28
Chapter 4 Findings & Conclusion 29
Reference & Bibliography 30-31

Appendix: Questionnaire 32-34
CHAPTER 1
A STUDY ON IMPACT OF MACRO-ECONOMIC FACTORS
ON INDIAN STOCK MARKET WITH SPECIAL REFERENCE
TO AUTOMOBILE SECTOR
INTRODUCTION
The Indian stock market plays a pivotal role in the growth of Indian economy. Its every
moment puts an impact on the economic performance of the economy. The stock market is a
place at where investors, whether Indian or foreigner can invest or take the fund for capital
appreciation. Their decision to invest or withdraw the funds depends upon various
macroeconomic factors. This study is an attempt to analyse the impact of four major
economic factors (Interest Rate, Inflation Rate, Exchange Rate and Repo Rate) on Indian
stock market.
MACRO- ECONOMIC FACTORS
A brief description of selected macro-economic factors and their impact on stock market is as
follows.
 Interest rates: Lower interest rates can make shares more attractive for two reasons.
Lower interest rates help boost economic growth making firms more profitable. Also,
lower interest rates make shares relatively more attractive than saving money in a
bank or holding bonds. If bond yields fall, it may encourage investors to switch into
shares which give a relatively better dividend.
 Inflation Rate: The general escalation in the rate of average price which the
consumer spends on a basket of goods is termed as Inflation Rate. Inflation helps in
determining the pricing power of the consumer. The volatility in the inflation rate
is mostly governed by the liquidity conditions in the market. Higher the
Liquidity Higher the Inflation rate and vice versa. The liquidity in the market is
basically the flow of money in the markets. When we say liquidity conditions are
favourable in the market, the consumer has better purchasing opportunities. Thus it
has positive impact on stock market and better buying or investing opportunities
makes the stock market bullish.
However excessive high inflation can result in crash of stock market as the investor
has less money to invest and at the same time it may result in excessive selling
in the market.
 Exchange Rate: The exchange rate of Indian Rupee keeps fluctuating vis-a-vis other
currencies. When rupee hardens with respect of other currencies, it sets a
multidimensional chain reaction. It causes Indian goods to become expensive in
foreign markets. Companies drastically affected are the ones involved in overseas
operations.
Companies dependent on exports experience a fall in demand for their goods abroad.
Revenue from exports decline and the stock prices of such companies in the home
country fall. Importing companies, on the other hand, are benefitted by the hardening
of the rupee. They need to shell out lesser on imported goods which reduce the cost of
operations. It in turn increases their bottom-line along with raising their share prices.
Softening of rupee vis-a-vis, other currencies triggers entirely opposite effect. In this
the stock price of exporters rises whereas those of importers fall.
 Repo Rate: Repo rate is the rate at which the central bank of a country (Reserve Bank
of India in case of India) lends money to commercial banks in the event of any
shortfall of funds. . Repo and reverse repo rates form a part of the liquidity adjustment
facility. As the repo rate changes the stock prices are affected negatively.
NEED OF THE STUDY
A brief review of the selected literature on the sector of the present analysis shows
no consensus on the impact of macroeconomic variables on stock market. It can be
observed from the review of literature that findings of different studies vary. Different
findings in different studies might be due to different methodologies applied, different set of
variables used for the study and different time periods considered for the study etc.
Hence, the relationship between fundamental macroeconomic variables and stock market
needs fresh enquiry.
SIGNIFICANCE OF THE STUDY
The Stock market is an important component of the economic system of a country and plays a
pivotal role in the development of the industry and commerce of the area that eventually
affects the economic system of the country to a great extent. It is viewed as a very
important component of the financial sector of any economic system. Furthermore it
plays a vital role in the mobilization of capital in many of the emerging economies.
There are many factors which affect the stock market behaviour rapidly. The variation
due to the different factors reflects its impact on the economy also. So, in the above
context, there is a need to conduct present research to investigate the relationship between
stock market and macro economic factors.
OBJECTIVES OF THE STUDY
The main objectives of the study are:
 To study the Macro-economic factors affecting Stock Market.
 To analyse the impact of selected Macro-economic factors (Interest Rate,
Exchange Rate, Inflation Rate and Repo Rate) on Indian Stock Market.
 To suggest an action plan for sound investment decisions.
CONCEPTUAL FRAMEWORK
Inflation Exchange
Rate Rate
Interest Monetary
Rate Stock Policy
Market
Returns
The conceptual framework shows the relationship of independent variables with the
dependent variable. The inflation (measured as consumer price index) interest rate,
exchange rate and monetary policy (Rep Rate) are the independent variables and the
stock market return (Nifty Auto index ) is the dependent variable.
RESEARCH HYPOTHESIS
The following hypothesis has been tested during the study with reference to Objective 2:
Ho1- There is no significant impact of inflation rate on Indian stock market.
Ho2- There is no significant impact of exchange rate on Indian stock market.
Ho3- There is no significant impact of interest rate on Indian stock market.
Ho4- There is no significant impact of Repo rate on Indian stock market.
RESEARCH METHODOLOGY
Selection of Variables
For the purpose of conducting study four macro economic factors have been taken into
consideration. These are Interest Rate, Inflation Rate, Exchange Rate and Repo Rate. To
observe the impact on stock market indices, Nifty Auto has been chosen.
Data collection
For the purpose of the study both primary and secondary data have been collected. Primary
data has been collected through Questionnaire filled by the respondents and secondary data
has been collected through printed material of books and journals, stock market websites and
agency printed information. Data for all macroeconomic variables is collected from the
database of the Indian economy maintained by Reserve Bank of India. Nifty Auto data is
obtained from the NSE website.
Description of Data:
Name of Variables Symbol Used Proxy Used Source
Interest Rate IR Weighted Average https://www.rbi.org.in
Call Money Rates
Inflation IF Consumer Price https://www.rbi.org.in
Index (CPI)
Exchange Rate ER Rupees per unit of https://www.rbi.org.in
US $
Monetary Policy Repo Repo Rate https://www.rbi.org.in
Stock Indices Nifty Auto Nifty Auto Closing https://www.nseindia.com
Price
Population Sample
To study the impact of macro-economic factors on Indian Stock Market, respondents have
been selected from among the investors residing in Agra.
Sample Method
Convenient Random sampling has been done for the study among all the respondents.
Sample Size
For the purpose of collecting data though primary source questionnaire has been distributed
to 30 respondents.
Tools for Analysis

For the purpose of hypothesis testing following tools have been applied.
Graphic Tools: Line Graph and Bar Graph have been used for the presentation of the data.
Research Tools: Following research tools have been used for the analysis of the data:
 Percentage
 Standard Deviation
 Correlation and Multiple Regression analysis
 ANOVA
To investigate the impact of selected macroeconomic fundamentals on Nifty Auto, the
multiple regression technique has been applied. The regression model for predicting the Nifty
Auto returns is:
Y = a + β1 X1 + β2X2+ β3X3+ β4X4
Where,
Y= Nifty Auto
a= Intercept of Y which is constant
β1, β2, β3, β4andβ5 = Beta coefficients ofX1, X2, X3, X4 and X5 respectively
X1 = Consumer Price Index (Inflation)
X2 = Interest rate
X3= Exchange Rate
X4= Repo rate
Duration of study
For the purpose of analysis of data, a period of five years i.e., from Financial Year 2012- 13
to 2016- 17 have been taken into consideration.
CHAPTER 2
REVIEW OF LITERATURE
NATIONAL REVIEWS
Dr Romi Sainy (2016) analysed the perception of brokers regarding factors effecting
stock prices in India and thereby influencing their investment decisions. The result
suggested that economic environment, GDP and government policies, foreign trade and
investments, disclosure, seasonal effect, asymmetry of information and liberalization policies
of the government are major factors effecting stock prices. As growing economy and a
booming stock market has become extremely attractive for small investors. The findings of
the study can be a useful guide to understand factors contributing to stock market volatility.
Anish Buche (2016) conducted study to put light on the important factors which have
significant impact on the volatility of Indian Stock Market. It was found that there are lots of
factors which have direct as well as indirect impact on the economic growth of India. The
factors mostly include the macroeconomic indicators like GDP, Inflation, Government
Spending on the country, FII, FDI, currency, IIP etc
Mrs.B. Kishori and P. Dinesh Kumar (2016) conducted a study to find the factors influencing
the investment decision making in stock market. This paper identified the various factors
affecting investor’s decision making in stock market like Liquidity, Return on investment,
Safety, Management’s active involvement.
Gurloveleen K and Bhatia BS (2015) investigated the Impact of Macroeconomic Variables on
the functioning of Indian Stock Market. Study found that Foreign Institutional Investors and
Exchange Rate are significant factors of Stock Market. It has also been observed that these
variables have no relationship with closing prices of BSE 500 manufacturing firms.
Vanita Tripathi, Ritika Seth and Varun Bhandari (2015) conducted study on Foreign Direct
Investment and Macroeconomic Factors: Evidence from the Indian Economy. The results of
the study disclose that there is long-run causal relation between FDI and IIP; FDI and S&P
CNX 500 Equity, FDI and Trade Openness and FDI and WPI. FDI is caused more by its own
lagged values rather those of other macroeconomic factors.
Dr.Venkatraja.B (2014) analysed the impact of macroeconomic variables on stock market
performance in india. The study found that the combined influence of WPI, IIP, FII,
GP and REER on BSE Sensex is very strong. Any variation in the value of WPI, IIP, FII
and REER has strong positive influence on the BSE stock market performance. While, an
increase in gold price is found causing crash in stock market and vice versa. his leads
to the conclusion that inflation, inflow of foreign institutional investment, exchange
rate and gold price impact the Indian stock market performance significantly.
Dr. T. Muthukumara and Dr.V.K. Somasundaram (2014) conducted study to identify the nature
of relationship between interest rate and stock returns in India and to examine the causal nexus
between interest rate and stock returns in India. The study finds a Short run causality between Interest
rate and stock returns and reveals that there is no causality between Interest rate and stock returns.
The study implies that the Interest rate neither affects Stock returns nor a Stock return affects the
interest rate.
Anamika singh (2014) conducted study to measure the monetary policy rates influence on
selected economic indicators and to find the CRR impact on stock market volatility. The
study found that both the reserve ratios CRR and SLR are negatively correlated with market
indices but interest rate move in the same direction along with the market. Augmented
Dickey Fuller Test (ADF) has been applied on the NIFTY yearly averages along with the
CRR and SLR and data found to be stationary. Arch model shows that CRR influences
NIFTY volatility whenever the monetary policy announced by the RBI governor.
Rakesh Kumar (2013) analysed the effect of macroeconomic factors on indian stock market
performance. It has been established that industrial performance play significant role in
influencing the stock market. Though some impact of policy rates cannot be denied but it
does not seem sustainable. Market rely more on optimistic macroeconomic environment call
for state’s prudent efforts to maintain macro stability. Besides, stock market responds to
performance of the firm specific factors and unforeseen events in the economy.
Chandni Makan and Avneet Kaur Ahuja and Saakshi Chauhan (2012) conducted a Study on
the effect of macroeconomic variables on stock market: Indian perspective and analysed that
three out of seven variables are relatively more significant and likely to influence Indian
stock market. These factors are exchange rate, foreign institutional investment and call rate.
There is a positive relation between FII and Sensex, call rate and Sensex whereas exchange
rate and Sensex shows a negative relation. Call rate has been seen as affecting BSE in
almost all the sectors (except FMCG sector) and exchange rate and FII is affecting all
the sector. This simply concludes that in long term the Indian stock market is more driven by
domestic macroeconomic factors rather than global factors.
Samveg Patel (2012) investigated the effect of macroeconomic determinants on the
performance of the Indian Stock Market using monthly data over the period January 1991
to December 2011 for eight macroeconomic variables, namely, Interest Rate, Inflation,
Exchange Rate, Index of Industrial Production, Money Supply, Gold Price, Silver Price &
Oil Price, and two stock market indices namely Sensex and S&P CNX Nifty. Study
found the long run relationship between macroeconomic variables and stock market indices.
The study also revealed the causality run from exchange rate to stock market indices to IIP
and Oil Price.
Pooja Joshi (2011) studied the relationship between macroeconomic variables and stock
market development. The study reveals significant and positive influence of economic
growth, exchange rate and inflation on stock price movements in India. However, there
exists a negative and significant relationship between crude oil price and stock prices. The
results are consistent for both long run and short run.
Ankur Singhal and Vikram Bahure (2009) conducted study on weekend effect of stock
returns in the indian market. The study revealed that there is conclusive evidence of the
existence of weekend effect in India. One can conclude that the model explains 30% of the
abnormally low returns on Monday because of the weekend effect. Model also explains 28%
of the abnormally high returns on Friday compared to the rest of the week because of the
weekend effect
INTERNATIONAL REVIEWS
Waqar Khalid and Saifullah Khan (2017) investigated the effects of interest rates, exchange
rates and inflation rates on stock market performance of Pakistan by using annual time series
data covering the 1991-2017 periods. The empirical results revealed the fact that there was a
negative and significant impact of interest rate on the market index, whereas; the
exchange rate and the inflation rate have a positive impact on stock market volatility
in the long-run.
Mahmoud Ramadan Barakat, Sara H. Elgazzar1 & Khaled M. Hanafy (2015) conducted
study to shed light on the relationship between the stock market and macroeconomic factors
in two emerging economies (Egypt and Tunisia) for the period from January 1998 to
January 2014. Results indicated that there is a causal relationship in Egypt between market
index and consumer price index (CPI), exchange rate, money supply, and interest rate. The
same goes for Tunisia except for CPI, which had no causal relationship with the market
index. Results also revealed that the four macroeconomic are co-integrated with the stock
market in both countries.
Zaheer Alam and Kashif Rashid (2014) conducted a study to investigate the relationship
between Karachi stock market 100 index and macroeconomic variables, i.e., inflation,
industrial production, money supply, exchange rate and interest rate. The results show
that the co integrating relationship exists between stock prices and the macroeconomic
variables in Pakistani stock market. The consumer price index (CPI), money supply (MS),
exchange rates (ER) and interest rates (IR) proved to be negatively associated with the stock
returns (SR), while industrial production index (IPI) was found to be positively
associated with the stock returns. All the variables were significantly associated to stock
market returns except inflation. The findings suggest that in the long run, the Pakistani stock
market is reactive to macroeconomic indicators.
Steve Makatchaya (2014) examined the effect of selected macroeconomic variables on stock
market returns of the malawi stock exchange. Findings from the study confirmed that the
macroeconomic variables of interest rates and exchange rates have an impact on the market
returns of the MSE. Interest rates and exchange rates affected both the market mean
returns as well as the volatility of such returns on the MSE. The study also found that
the high average interest rates are indicative of high budget deficits which have a crowding
out effect on the private sector. The fiscal and monetary authorities should aim at
implementing effective debt management strategies aimed at lowering interest rates,
controlling inflation and stimulating private sector investment and Malawi‟s economic
growth.
Prof. Dr. Radhe S. Pradhan and Subash Daha (2014) examined the factors affecting the share
price of Nepalese commercial banks. Using data of 14 banks listed in NEPSE for the
period 2002/03-2013/14, the result shows that firm specific variables like earnings per
share, divided per share, price earnings ratio, book value per share, return on assets and size
are the major determining stock price in context of commercial banks in Nepal. Among the
variables, size is found to be the most important determining variable that affects the share
price. It means, larger the firm size, higher would be the stock price. Among the
macro economic variables such as gross domestic product, inflation and money supply, gross
domestic product is a major variable that affect the share price.
Charles Barnor (2014) examined the relationships between selected macroeconomic variables
and their effect on the stock market returns on the Ghana stock market during 2000-2013.
The findings revealed that interest rates and money supply had a significant negative effect
on stock market returns; however, exchange rates had a significant positive effect on
stock market returns. Moreover, inflation rate did not significantly affect stock market
returns in Ghana. The implications for positive social change include improved knowledge
about the effects of macroeconomic variables on stock returns that could guide policy makers
and household agents to improve investment decisions, thus increasing the net worth of these
economic agents.
Hamdan Ali (2014) conducted study to know the relationship between interest rate and stock
market and to know the effect of interest rate on stock market and its performance. There is a
negative moderate relation between stock market and interest rate. (Moderate because its
value is greater than 0.20 which is an indicator of moderate relation.) Regression analysis of
stock market index and interest rate of ten years on monthly basis identifies that the value of
R Square is 0.02 which means that two percent variation in stock market index is explained
by the interest rate.
Joseph Tagne Talla (2013) conducted study to investigate the impact of changes in selected
macroeconomic variables on stock prices of the Stockholm Stock Exchange
(OMXS30). Based on estimated regression coefficients and t-statistics, it was found that
inflation and currency depreciation have a significant negative influence on stock
prices. In addition, interest rate is negatively related to stock price change, but it is not
significant in the model. On the other hand, money supply is positively associated to stock
prices although not significant.
Paramin Khositkulporn (2013) analysed the factors affecting stock market volatility in
Thailand and South-East Asia. The result from the factors affecting Thailand stock market
volatility show that the S&P 500 had a major influence on Thailand’s stock market, followed
by the BSI and oil price. The study results indicate that the movements of major stock
markets and political uncertainty have direct effects on stock market volatility. The effect of
movements of oil prices has an indirect effect on firm performance.
Robert D. Gay, Jr (2008) conducted study to investigate the time-series relationship between
stock market index prices and the macroeconomic variables of exchange rate and oil
price for Brazil, Russia, India, and China (BRIC). The study found no significant
relationship between respective exchange rate and oil price on the stock market index
prices of either BRIC country, this may be due to the influence other domestic and
international macroeconomic factors on stock market returns, warranting further research.
National Reviews
S.No. Year Author Study Findings
1. 2016 Dr Romi A Study Of The result suggests that economic environment, GDP and government policies, foreign trade
Sainy Factors Affecting and investments, disclosure, seasonal effect, asymmetry of information and liberalization
Stock Price policies of the government are major factors effecting stock prices. As growing economy and
Volatility: a booming stock market has become extremely attractive for small investors. The findings of
Perception Of the study can be a useful guide to understand factors contributing to stock market volatility.
Stock Brokers
2. 2016 Anish Factors Affecting There are lots of factors which have direct as well as indirect impact on the economic growth
Buche Volatility In of India. The factors mostly include the macroeconomic indicators like GDP, Inflation,
Indian Stock Government Spending on the country, FII, FDI, currency, IIP etc
Markets
3. 2016 Mrs.B. A Study on This paper identified the various factors affecting investor’s decision making in stock market
Kishori Factors like Liquidity, Return on investment, Safety, Management’s active involvement.
P. Influencing the
Dinesh
Kumar Investors’
Decision Making
in the Indian
Stock Market
4. 2015 Gurlovele An Impact of Study found that Foreign Institutional Investors and Exchange Rate are significant factors of
en K and Macroeconomic Stock Market. It has also been observed that these variables have no relationship with closing
Bhatia BS Variables on the prices of BSE 500 manufacturing firms.
functioning of
Indian Stock
Market: A Study
of Manufacturing
Firms of BSE 500
5. 2015 Vanita Foreign Direct The results of the study disclose that there is long-run causal relation between FDI and IIP;
Tripathi Investment and FDI and S&P CNX 500 Equity, FDI and Trade Openness and FDI and WPI. FDI is caused
Ritika Macroeconomic more by its own lagged values rather those of other macroeconomic factors.
Seth Factors: Evidence
Varun from the Indian
Bhandari Economy
6. 2014 Dr.Venkat Impact Of From the study it appears that the combined influence of WPI, IIP, FII, GP and REER
raja.B Macroeconomic on BSE Sensex is very strong. Any variation in the value of WPI, IIP, FII and REER has
Variables On strong positive influence on the BSE stock market performance. While, an increase in gold
Stock Market price is found causing crash in stock market and vice versa. his leads to the
Performance In conclusion that inflation, inflow of foreign institutional investment, exchange rate and
India: An gold price impact the Indian stock market performance significantly.
Empirical
Analysis
7. 2014 Dr. T. An analytical The study finds a Short run causality between Interest rate and stock returns and reveals that
Muthuku study of interest there is no causality between Interest rate and stock returns. The study implies that the Interest
mara rate and stock rate neither affects Stock returns nor a Stock return affects the interest rate.
returns in India
Dr.V.K.
Somasun
daram
8. 2014 Anamika A Study of Both the reserve ratios CRR and SLR are negatively correlated with market indices but interest
singh Monetary Policy rate move in the same direction along with the market. Augmented Dickey Fuller Test (ADF)
Impact on Stock has been applied on the NIFTY yearly averages along with the CRR and SLR and data found
to be stationary. Arch model shows that CRR influences NIFTY volatility whenever the
Market Returns
monetary policy announced by the RBI governor.
9. 2013 Rakesh The Effect of It has been established that industrial performance play significant role in influencing the stock
Kumar Macroeconomic market. Though some impact of policy rates cannot be denied but it does not seem sustainable.
Factors on Indian Market rely more on optimistic macroeconomic environment call for state’s prudent efforts to
Stock Market maintain macro stability. Besides, stock market responds to performance of the firm specific
Performance: A factors and unforeseen events in the economy.
Factor Analysis
Approach
10. 2012 Chandni A Study of the Study found that exchange rate, foreign institutional investment and call rate are
Makan Effect of significant factor and likely to influence Indian stock market.. There is a positive relation
and Macroeconomic between FII and Sensex, call rate and Sensex whereas exchange rate and Sensex shows a
Avneet Variables on negative relation. Call rate has been seen as affecting BSE in almost all the sectors
Kaur Stock Market: (except FMCG sector) and exchange rate and FII is affecting all the sector. This simply
Ahuja and Indian concludes that in long term the Indian stock market is more driven by domestic
Saakshi macroeconomic factors rather than global factors.
Perspective
Chauhan
11. 2012 Samveg The effect of Study found the long run relationship between macroeconomic variables and stock market
Patel Macroeconomic indices. The study also revealed the causality run from exchange rate to stock market indices
Determinants on to IIP and Oil Price.
the Performance
of the
Indian Stock
Market
12. 2011 Pooja Relationship The study reveals significant and positive influence of economic growth, exchange rate
Joshi between and inflation on stock price movements in India. However, there exists a negative and
Macroeconomic significant relationship between crude oil price and stock prices. The results are consistent
Variables and for both long run and short run.
Stock
Market
Development:
Evidences from
the Indian
Economy
13. 2009 Ankur Weekend Effect There is conclusive evidence of the existence of weekend effect in India. One can conclude
Singhal of Stock Returns that the model explains 30% of the abnormally low returns on Monday because of the
and in the Indian weekend effect. Model also explains 28% of the abnormally high returns on Friday compared
Vikram Market to the rest of the week because of the weekend effect
Bahure
International Reviews:
S.No. Year Author Study Key Findings
1. 2017 Waqar Effects of The empirical results revealed the fact that there was a negative and significant impact of
Khalid and Macroeconomic interest rate on the market index, whereas; the exchange rate and the inflation rate
Saifullah Variables on the have a positive impact on stock market volatility in the long-run.
Khan Stock
Market Volatility:
The Pakistan
Experience
2. 2015 Mahmoud Impact of Results indicated that there is a causal relationship in Egypt between market index and
Ramadan Macroeconomic consumer price index (CPI), exchange rate, money supply, and interest rate. The same goes
Barakat, Variables on for Tunisia except for CPI, which had no causal relationship with the market index. Results
Sara H. Stock Markets: also revealed that the four macroeconomic are co-integrated with the stock market in both
Elgazzar1 & Evidence from countries.
Khaled M. Emerging
Hanafy Markets
3. 2014 Zaheer Alam Time Series The results show that the co integrating relationship exists between stock prices and
and Kashif Analysis of the the macroeconomic variables in Pakistani stock market. The consumer price index (CPI),
Rashid Relationship money supply (MS), exchange rates (ER) and interest rates (IR) proved to be negatively
between associated with the stock returns (SR), while industrial production index (IPI) was found
Macroeconomic to be positively associated with the stock returns. All the variables were significantly
Factors and the associated to stock market returns except inflation. The findings suggest that in the long run,
Stock Market the Pakistani stock market is reactive to macroeconomic indicators.
Returns in
Pakistan
4. 2014 Steve The Effect Of Findings from the study confirmed that the macroeconomic variables of interest rates and
Makatchaya Selected exchange rates have an impact on the market returns of the MSE. Interest rates and
Macroeconomic exchange rates affected both the market mean returns as well as the volatility of such
Variables returns on the MSE. The study also found that the high average interest rates are indicative
On Stock Market of high budget deficits which have a crowding out effect on the private sector. The fiscal and
Returns Of The monetary authorities should aim at implementing effective debt management strategies
Malawi Stock aimed at lowering interest rates, controlling inflation and stimulating private sector
investment and Malawi’s economic growth
Exchange
5. 2014 Prof. Dr. Factors Affecting Using data of 14 banks listed in NEPSE for the period 2002/03-2013/14, the result
Radhe S. The Share Price: shows that firm specific variables like earnings per share, divided per share, price earnings
Pradhan and Evidence ratio, book value per share, return on assets and size are the major determining stock price in
Subash Daha From Nepalese context of commercial banks in Nepal. Among the variables, size is found to be the most
Commercial important determining variable that affects the share price. It means, larger the firm size,
Banks higher would be the stock price. Among the macro economic variables such as gross
domestic product, inflation and money supply, gross domestic product is a major variable
that affect the share price.
6. 2014 Charles The effect of The findings revealed that interest rates and money supply had a significant negative effect
Barnor Macroeconomic on stock market returns; however, exchange rates had a significant positive effect on
Variables on stock market returns. Moreover, inflation rate did not significantly affect stock market
Stock Market returns in Ghana. The implications for positive social change include improved knowledge
Returns in Ghana about the effects of macroeconomic variables on stock returns that could guide policy makers
(2000-2013) and household agents to improve investment decisions, thus increasing the net worth of these
economic agents.
7. 2014 Hamdan Impact of Interest1. There is a negative moderate relation between stock market and interest rate. (Moderate
Ali Rate on Stock because its value is greater than 0.20 which is an indicator of moderate relation.) Regression
Market; Evidence analysis of stock market index and interest rate of ten years on monthly basis identifies that
the value of R Square is 0.02 which means that two percent variation in stock market index
from Pakistani
is explained by the interest rate.
Market
8. 2013 Joseph Impact of Based on estimated regression coefficients and t-statistics, it was found that inflation
Tagne Talla Macroeconomic and currency depreciation have a significant negative influence on stock prices. In
Variables on the addition, interest rate is negatively related to stock price change, but it is not significant in the
Stock Market model. On the other hand, money supply is positively associated to stock prices although not
Prices of the significant.
Stockholm Stock
Exchange
(OMXS30)
9. 2013 Paramin The Factors The result from the factors affecting Thailand stock market volatility show that the S&P 500
Khositkulpor Affecting Stock had a major influence on Thailand’s stock market, followed by the BSI and oil price. The
n Market Volatility study results indicate that the movements of major stock markets and political uncertainty
and Contagion: have direct effects on stock market volatility. The effect of movements of oil prices have an
Thailand and indirect effect on firm performance.
South-East Asia
Evidence
10. 2008 Robert D. Effect Of The study found no significant relationship between respective exchange rate and oil price
Gay, Jr Macroeconomic on the stock market index prices of either BRIC country, this may be due to the
Variables influence other domestic and international macroeconomic factors on stock market
On Stock Market returns, warranting further research. Also, there was no significant relationship found
Returns between present and past stock market returns, suggesting the markets of Brazil, Russia,
India, and China exhibit the weak-form of market efficiency
For Four
Emerging
Economies:
Brazil, Russia,
India, And China
CHAPTER 3
ANALYSIS & TESTING OF HYPOTHESIS

OBJECTIVE 1:
To analyse the first objective i.e., to study the Macro-economic factors affecting Stock Market,
data has been collected from primary sources i.e., questionnaire filled by investors of stock
market residing in Agra district and general perspective of investors is analysed through
graphs. Total 30 responses have been collected, analysed and summarised. The results are as
follows:
1. How long have you been in share market investment?
More than half of the respondents have more than 10 years of experience in stock market
followed by 24% of respondents having 3 to 5 years of experience and 19% having experience
of less than 3 years.
2. What type of investor are you?
22
From above it is evident that 43% respondents moderately aggressive investors willing to take
some risk and another 43% respondents consists of conservative investors willing to take only
minimal risk.
3. State the level of influence of the following factors in investment evaluation and
decision.
While investing in stock market an investor takes into account following factors as they
have direct influence on stock market returns.
General Information:
The responses show that credit rating is very important and Brokers advice is least important
while taking an investment decision on the basis of general information.
Company Management
The responses show that company history is very important and information about promoters is
least important while taking an investment decision on the basis of company management
information.
Current Project Details:
The responses show that Existing and future demand and future prospects are very important
and cost of the project is least important while taking an investment decision on the basis of
current project details.
Financial Information:
The responses show that market volume traded is very important and Book building methods
are less important while taking an investment decision on the basis of financial information.
4. How important is each of the following macroeconomic factors to you in your

decisions in investing or buying stocks?
The responses reveal that interest rates and inflation rate are very important and exchange rate
is less important in decisions of investing or buying stocks.
 Interest Rates: Interest rate is an important macroeconomic factor known to influence

investment in a country. There is a negative relationship between interest rate in a
country and FDI outflows from it. A higher interest rate in domestic market
discourages domestic investment.
 Inflation Rates: Inflation refers to the measures changes in the price level of a market
basket of consumer goods and services purchased by households. Inflation rate has
significant negative impact on stock price movements in India.
 Exchange Rates: Increase or decrease in the value of currency of host country leads to
fall or rise in the exchange rate respectively and thus makes its goods costlier or
cheaper for the foreign customers.
 Monetary Policy: Repo rate is just one of the many factors of monetary policy.
Generally a cut in Repo rate would make the market react positively. Because a cut in
repo rate will make banks cut their lending rates and common man will have more
money in hand to spend. This will spur up the demand and investors will invest in the
companies driving up the share price.
OBJECTIVE 2:
To analyse the impact of selected Macro-economic factors (Interest Rate, Exchange Rate,
Inflation Rate and Repo Rate) on Indian Stock Market various tools such as SD, Correlation,
and Multiple Regression have been applied.
Descriptive Statistics
Exchange Call Rate
Nifty Rate (US (Weighted
Auto Dollar) Average) CPI Repo Rate
Mean 6687.312 60.4847 7.283605 6.838953 7.231002

MAX 10458.65 68.7775 10.53 11.50527 8.5
Min 3670.8 50.5645 5.7 3.167063 6.25
Range 6787.85 18.213 4.83 8.338211 2.25
SD 2034.705 4.787147 0.923137 2.49266 0.636375
Skewness -0.04893 -0.42703 0.469351 0.130681 -0.4994
The above table shows that the average exchange rate of 60.4847 Rs. per US $ with a standard
deviation and skewness of 4.787147 and -0.42703 respectively and has a wide range of 18.213
Rs. per US $. Average Interest rate is 7.283605% with a standard deviation and skewness of
0.923137 and 0.469351 respectively and has a range of 4.83%. Average Inflation rate is
6.838953% with a standard deviation and skewness of 2.49266 and 0.130681 respectively and
has a range of 8.338211%. Average Repo rate is 7.231002% with a standard deviation and
skewness of 0.636375 and -0.4994 respectively and has a range of 2.25%. There is a highest
standard deviation of stock market returns which reflects significant variability in stock prices
of Nifty Auto and lowest standard deviation is of Repo rate.
Correlation Analysis
This study employs a correlation analysis to discover the association and direction of
the variables, mainly macroeconomic variables and stock market return.
Correlation Matrix
Exchange Call Rate
Rate (US (Weighted Repo
Nifty Auto Dollar) Average) CPI Rate
Nifty Auto 1
Exchange Rate (US
Dollar) 0.809924086 1
Call
Rate (Weighted Average) -0.693375308 -0.55442 1
CPI -0.933784626 -0.74678 0.682005 1
Repo Rate -0.665659473 -0.77477 0.735552 0.59811 1
Correlation matrix shows strong correlation between each macroeconomic variable and stock
market returns. Value of correlation between Exchange Rate and nifty Auto Index is
0.809924086 which indicates strong positive association between Exchange Rate and nifty
Auto Index. Strong negative correlation exists between nifty Auto Index and Inflation Rate i.e.,
-0.933784626 and negative correlation between nifty Auto Index and interest Rates i.e., -
0.693375308 and nifty Auto Index and Repo Rate i.e., -0.665659473.
Regression Analysis
Regression Statistics
Multiple R 0.950810727
R Square 0.904041038
Adjusted R Square 0.903723293
Standard Error 631.3382743
Observations 1213
Dependent Variable- Nifty Auto
Predictors: IR, IF, ER and Repo

It can be seen from the above table, the r2 =0.90404. It implies that the macroeconomic
variables account for 90.4 percent variation in the Nifty Auto Index. However, in a multiple
regression model adjusted r2 is the more reliable explanator of dependent variable than r
square. In the model, adjusted r square is 0.9037 which endorses that 90.37 percent of the
variation in NSE Nifty Auto is explained by the four macroeconomic variables, viz.
Interest Rate, Inflation Rate, exchange rate and Repo Rate. It could be interpreted that 9.63
percent change in Nfty Auto is caused by the factors outside the model. Thus, Nifty Auto is
highly sensitive to the variations in Interest Rate, Inflation Rate, exchange rate and Repo Rate.
ANOVA
df SS MS F Significance F
Regression 4 4536216523 1.13E+09 2845.179 0
Residual 1208 481494324.1 398588
Total 1212 5017710847
Predictors: IR, IF, ER and Repo
A good regression model generates high level of F value and very low level of F-significance
value. In line with the thumb rule, the F-value is very high (2845.179) and its significance
value is the lowest (0.000) at 5 percent level of significance. This signals the goodness of fit of
the model.
Coefficients Standard Error t Stat P-value
Intercept 5750.504373 766.0010934 7.507175 1.17E-13
Exchange Rate (US Dollar) 103.7220518 7.75607532 13.37301 3.87E-38
Call Rate (Weighted Average) -179.3671963 34.57651014 -5.18754 2.5E-07
CPI -567.7072845 13.13012829 -43.237 1.5E-247
Repo Rate -5.013990863 57.90933673 -0.08658 0.931017
Regression model is as follows:

Nifty Auto = (103.72) ER + (-179.367) IR + (-567.707) IF + (-5.014) Repo + 5750.50
These coefficients indicate the direction of relationship between independent and dependent
variables. These coefficients also tell us to what degree each predictor affects the outcome
when the effects of all other predictors are held constant. Among the four independent
macroeconomic variables Exchange Rat, Interest Rate and Inflation Rate appears to have very
high influence on Nifty Auto. There is positive relationship between ER and Nifty Auto. As
the Exchange Rate increases by 1 unit, the Nifty auto increases by 103.72 units in the same
direction. India being import dominant country, appreciation of rupee against foreign
currencies reduces the import bill which in turn causes higher cash flows, more profit and
better stock price of the domestic firms.
Interest rate, inflation rate and repo rate has negative influence on stock market returns. As the
interest rate increases by 1 unit, the Nifty auto decreases by -179.367 units or vice versa and if
there is increase in Repo Rate by 1 unit, Nifty Auto decreases by 5.014 units. It is also
observed from the results that Nifty Auto decreases by -567.71 units for 1 unit increase in the
inflow of CPI.
Testing of Hypotheses
Hypothesis is tested through multiple regression analysis. It can be seen that p values of t-
statistic of coefficient of IF, ER and IR are very close to zero and are less than 0.05. This
implies that IF, ER and IR have significant impact on Nifty Auto at 5 per cent level of
significance. This leads to the rejection of the null hypotheses H1, H2, and H3 - which say that
ER, IF and IR do not have significant impact on Nifty Auto. However, p value of Repo Rate is
0.931017 i.e., more than 0.05 therefore Repo rate does not have significant contribution to
Nifty Auto at 5 percent level of significance. Hence, the null hypothesis H4 i.e., There is no
significant impact of Repo rate on Indian stock market is accepted.
OBJECTIVE 3:
The last objective is to suggest an action plan for sound investment decisions. Every investor
while taking a decision to invest or buy shares should first analyse each macroeconomic factor
i.e., interest rate, inflation rate, exchange rate and repo rate etc. to forecast variation in stock
prices and to maximise stock market returns. The fluctuations in interest rate, inflation rate,
repo rate and exchange rates can also be used as signals to determine the appropriate time
to either enter or exit the stock market. Apart from macroeconomic factors investor should also
consider general information about the company, company project details and financial
information to take a sound investment decision.
CHAPTER 4
FINDINGS AND CONCLUSION
Findings: The study investigates the impact of macroeconomic factors on stock market
returns of Nifty auto. Both primary as well as secondary data are collected. Primary data has
been used to analyse the perception of investors and the secondary data has been used to test
the hypothesis through Correlation and Multiple Regression. The study reveals that all the
macroeconomic factors are strongly associated with stock market returns. It indicates strong
positive association between Exchange Rate and nifty Auto Index whereas strong negative
correlation exists between nifty Auto Index and Inflation Rate, nifty Auto Index and interest
Rates and nifty Auto Index and Repo Rate. Multiple regression analysis suggests that Inflation
Rate, Exchange Rate and Interest Rate have significant impact on Nifty whereas Repo rate
does not have significant contribution to Nifty Auto at 5 percent level of significance.
Conclusion: These findings led to the conclusion that all macroeconomic factors i.e.,
interest rate, inflation rate, repo rate and exchange rate affect the market returns of Nifty
auto index of NSE hence to be considered while taking an investment decision.
Limitations and Scope for Further Research
 The current study is limited to a time period of five years i.e., April 2012 to
March 2017. The research period might be extended for further research.
 This study is confined to the four macroeconomic variables used in the analysis
and their effect on stock market returns is analysed through Nifty Auto Index. More
indices and variables can be selected to do further research and the impact of variables
on different sectors can be compared.
 The results are drawn on the basis of Correlation and Multiple Regression. Te different
statistical tools can be used to do the same study.
References
1. Anamika Singh, A Study of Monetary Policy Impact on Stock Market Returns, IRJA-
Indian Research Journal, Volume: 1, Series: 5. ISSN: 2347-7695, October, 2014.
2. Anish Buche (2016), Factors Affecting Volatility In Indian Stock Markets,
International Journal of Financial Management (IJFM) ISSN(P): 2319-491X; ISSN(E):
2319-4928 Vol. 5, Issue 3, Apr - May 2016, 1-8
3. Ankur Singhal and Vikram Bahure, Weekend Effect of Stock Returns in the Indian
Market, Great Lakes Herald, Vol 3, No 1, pp: 12-22, March 2009.
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Decision Making in Stock Market with Special Reference to Indian Stock Market,
International Journal of Management and Commerce Innovations, ISSN 2348-7585
(Online), Vol. 4, Issue 1, pp: 39-43, April -September 2016.
5. Chandni Makan and Avneet Kaur Ahuja and Saakshi Chauhan (2012), A Study of the
Effect of Macroeconomic Variables on Stock Market: Indian Perspective, MPRA Paper
No. 43313
6. Charles Barnor (2014), The effect of Macroeconomic Variables on Stock Market
Returns in Ghana (2000-2013), Walden Dissertations and Doctoral StudiesCollection
7. Gurloveleen K and Bhatia BS (2015), An Impact of Macroeconomic Variables on the
functioning of Indian Stock Market: A Study of Manufacturing Firms of BSE 500,
Journal of Stock & Forex Trading
8. Hamdan Ali, Impact of Interest Rate on Stock Market; Evidence from Pakistani
Market, IOSR Journal of Business and Management (IOSR-JBM) e-ISSN: 2278-487X,
p-ISSN: 2319-7668. Volume 16, Issue 1. Ver. VII, pp: 64-69, February 2014.
9. Joseph Tagne Talla (2013), Impact of Macroeconomic Variables on the Stock Market
Prices of the Stockholm Stock Exchange (OMXS30), Jönköping Interna Tional
Business School
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Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets,
International Journal of Economics and Finance; Vol. 8, No. 1; 2016
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Contagion: Thailand and South-East Asia Evidence
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Development: Evidences from the Indian Economy
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Evidence From Nepalese Commercial Banks
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Performance: A Factor Analysis Approach, IOSR Journal of Economics and Finance
(IOSR-JEF) e-ISSN: 2321-5933, p-ISSN: 2321-5925. Volume 1, Issue 3 (Sep. – Oct.
2013), PP 14-21
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Returns For Four Emerging Economies: Brazil, Russia, India, And China,
International Business & Economics Research Journal – March 2008
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Stock Brokers, Intercontinental Journal Of Finance Research Review, VOLUME 4,
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Market Returns Of The Malawi Stock Exchange
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APPENDIX:
FORMAT OF QUESTIONNAIRE
Dear respondent,
Greetings
I am V.Hansini, a student of Integrated MBA at Faculty of Social Science, Dayalbagh Educational
Institute, working under the supervision of Prof. Sanjeev Bhatnagar. As part of my research, a survey is
being conducted to understand the impact of Macro-economic factors on Indian stock market with
special reference to automobile sector.
I will be highly obliged if you could take part in the survey by providing responses that reflect your
practical experience of investing in the Indian stock market, uninfluenced by the theoretical aspect or
ideal framework.
The responses will be kept strictly confidential and no part of this survey will be used for any purpose
other than academic research.
Thank you for your cooperation.
Regards,
V.Hansini
1) Name ____________________
2) Age
a. 15 – 30 years
b. 31-60 years
c. above 60 years
3) Sex
a. Male
b. Female
4) Occupation
a. Service
b. Professional
c. Business
d. Others, specify ___________________
5) How long have you been in share market investment?
a. Less than 3 years
b. 3 to 5 years
c. 6 to 10 years
d. More than 10 years
6) What type of investor are you?

a. Aggressive investor willing to take more risk
b. Moderately aggressive investor willing to take some risk
c. Moderately conservative investor willing to take less risk
d. Conservative investor willing to take only minimal risk
7) State the level of influence of the following factors in investment evaluation and decision.
S. No. Investment Factors Level of importance
Not Slightly Somewhat Imp Very
Imp Imp Imp Imp
1. General Information
a. Stock Exchange information
b. Risk factors
c. Credit rating
d. Brokers advice/ media effect
2. Company Management
a. Company history
b. About promoters
c. Company policies
d. Companies under the same
management
3. Prospectus details
a. Authorized and Paid up
capital
b. Size of present issue
c. Objectives of present issue
d. Terms of issue
4. Current Project Details
a. Cost of the project
b. Product strength
c. Existing and Future demand
d. Future prospects
5. Financial Information
a. EPS/PE Ratio
b. Dividend policy
c. Book building methods
d. Market volume traded
8) How important is each of the following macroeconomic factors in your decisions in investing
or buying stocks?
S. Macro-economic Factors Level of importance
No. Not Imp Slightly Somewhat Imp Very
Imp Imp Imp
a. Interest Rates
b. Inflation Rates
c. Exchange Rate
d. Money Supply Policy

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A STUDY ON IMPACT OF MACRO-ECONOMIC

FACTORS ON INDIAN STOCK MARKET

Submitted for fulfillment of the requirement for the award of

Under the supervision of:

DAYALBAGH EDUCATIONAL INSTITUTE

I hereby declare that the Industrial Project entitled “A STUDY ON IMPACT OF

Dated 16th April 2018 at Agra

This is to certify that the Industrial Project entitled A STUDY ON IMPACT OF

Prof. Sanjeev Bhatnagar

Faculty of Social Science

Dayalbagh Educational Institute,

Chapter No. Description Page No.

Chapter 1 Introduction & Research Framework 1-5

 Need of the Study

 Objective of the Study

Chapter 2 Review of Literature 6-17

Chapter 3 Analysis & Testing of Hypothesis 18-28

Chapter 4 Findings & Conclusion 29

Reference & Bibliography 30-31

Tools for Analysis

ANALYSIS & TESTING OF HYPOTHESIS

1. How long have you been in share market investment?

Current Project Details:

4. How important is each of the following macroeconomic factors to you in your

 Interest Rates: Interest rate is an important macroeconomic factor known to influence

Mean 6687.312 60.4847 7.283605 6.838953 7.231002

Predictors: IR, IF, ER and Repo

Regression model is as follows:

6) What type of investor are you?

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