Impact macroeconomic variables on sectoral stock indices

dc.contributor.advisor	Morris, Sebastian
dc.contributor.author	Rathie, Akash
dc.contributor.author	Bakshi, Varun
dc.date.accessioned	2016-08-19T11:06:49Z
dc.date.available	2016-08-19T11:06:49Z
dc.date.copyright	2002
dc.date.issued	2002
dc.identifier.uri	http://hdl.handle.net/11718/18391
dc.description.abstract	Abstract In this paper we analyses relationships among selected macroeconomic variables and the Indian stock market. By employing an adaptation of the arbitrage-pricing model ,we seek to determine the factors affecting a particular sector of the economy . Our results suggest that the same five factors influence each sector with a lag period of one month. The period we have considered is 1995 to 2001 as this is the time that economic reforms in the country have started to bear fruit and inflation has stabilised over this time .We investigate the degree of commonality in the various macroeconomic variables across the Indian market using deseasonalised period returns extracted using a principal components approach.	en_US
dc.language.iso	en	en_US
dc.publisher	Indian Institute of Management Ahmedabad	en_US
dc.relation.ispartofseries	SP;000923
dc.subject	Macroeconomic	en_US
dc.subject	Stock indices	en_US
dc.title	Impact macroeconomic variables on sectoral stock indices	en_US
dc.type	Student Project	en_US