Impact of Macro Economic Variables on Indian Stock Market
by various micro and macroeconomic factors. The relation between the macroeconomic
factors of a countryand the stock market performance has always been a preferred area for
researchers. The strength of macroeconomic variables like IIP, exchange rate, infl ation, oil
price can be a reason for the movement in stock markets. This paper tries to analyze this
relationship. This study is conducted on the sample data of variables from April 2005 to
March 2019. The data has been collected from the offi cial websites of BSE India, AMFI,
MOSPI, RBI, Investing.com and infl ation.eu. The paper uses various statistical tools like
Augmented Dickey Fuller test to check the stationarity and Auto Regressive Distributed
Lag (ARDL) Model to assess the long-term and short-term relationships between variables.
The study has found that there is signifi cant long run relation between macroeconomic
variables and stock market returns.
Keywords: Sensex, IIP, FII, Infl ation, Exchange Rate, ADF, ARDL Model