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"The stock market is filled with individuals who know the price of everything, but the value of nothing." - Phillip Arthur Fisher
(Author Common Stock and Uncommon Profit )
Objectives
The study aims to find the relationship between Gross Domestic
Research Design
Nature of the Study Analytical Vector Auto Regression Model - Significance Level between variables Collection of Data
Methodology
Data about 3 Macro Variables were collected for the period of 19972011. The study was conducted on BSE SENSEX. The Model represents SENSEX Returns, Percentage change in the GDP Growth Rate, change in Inflation Rate, and Percentage change in Interest Rate.
Two-Year lags for Inflation Rate & Interest Rate, One-Year lags for
GDP Growth Rate, as determined from the auto-correlation functions.
Vector Auto Regressive (VAR) Model to test for the impact of the
Macro Economic Variables on Sensex Returns. The unrestricted VAR model is given as follows:
St = +
1j.GDPt-j+
2jWPIt-j+
3j IRt-j+t
The F-Test of the VAR output was performed to determine the significance of the impact of each macroeconomic variable on SENSEX Returns.
Unstandardized Coefficients 1 Model (Constant) GDP growth DIFF(Inflation,1) DIFF(InterestRate,1) B .651 2.707 -.943 11.690 Std. Error 45.824 6.020 3.520 8.167
Standardized Coefficients Beta .142 -.081 .453 t .014 .450 -.268 1.431 Sig. .989 .664 .795 .186
Conclusion
Shallow Men believe in Luck, Wise & Strong Men in Cause & Effect