Examining the Relationship between Sectoral Stock Market Indices and Sectoral Gross Domestic Product: An Empirical Evidence from India

Pooja Joshi; akgiri bits

Authors

Pooja Joshi
akgiri bits

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 co-integration. 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. The results from long- run and short-run coefficient reveals that sectoral price indices are significantly influenced by changes in the respective sectoral GDP in the long-run, whereas, crude oil price is an important factor influencing the sectoral prices in the short-run. The granger causality test demonstrates a unidirectional short- run causality running from manufacturing sector GDP to aggregate stock price index of manufacturing sector. Further, the short-run causality running from electricity, gas and water supply sector GDP to respective sector stock price index. However, unidirectional short-run causality is absent in the service sector.

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Examining the Relationship between Sectoral Stock Market Indices and Sectoral Gross Domestic Product: An Empirical Evidence from India. (2015). Global Journal of Management and Business Research, 15(43), 15-26. https://journalofbusiness.org/index.php/GJMBR/article/view/

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Author Biography

Pooja Joshi

Pooja Joshi is a dedicated researcher in the field of economics and finance. She earned her PhD in the Department of Economics and Finance from the Birla Institute of Technology and Science, Pilani, India, in 2016. Her doctoral work laid the foundation for her ongoing exploration of the intricate relationships between financial markets and macroeconomic indicators. Currently, she serves as a Postdoctoral Researcher at the Innlandet Business School, Faculty of Economics and Social Sciences, at the University of Inland Norway, a position she has held since 2022. Her research interests include sectoral stock market indices, gross domestic product dynamics, and applied econometrics. Dr. Joshi has authored several publications, with a notable work examining the empirical link between sectoral stock market indices and sectoral GDP in India. She is an active member of IEEE Norway. With 11 published works, over 126 citations, an h-index of 5, and an i10-index of 2, her contributions are gaining recognition in the academic community.

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