Examining the Relationship between Sectoral Stock Market Indices and Sectoral Gross Domestic Product: An Empirical Evidence from India
Keywords:
sectoral indices, sectoral share in GDP, oil price, ARDL, VECM, VDC, india
Abstract
This paper aims to examine the relationship between gross domestic product and Indian stock market from a sectoral perspective by using quarterly time series data from 2003:Q4 to 2014:Q4. Ng-Perron unit root test is utilized to check the order of integration of the variables. The long run relationship is examined by implementing the ARDL bounds testing approach to cointegration. VECM method is used to test the short and long run causality and variance decomposition is used to predict long run exogenous shocks of the variables. The results of the ARDL bounds test confirm the existence of a cointegrating relationship between sectoral GDP and sectoral stock price in India.
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2015-09-28
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