Granger Causality between three-month short-term Interest Rates and NIFTY 50 Index

Amar Rao

Authors

Amar Rao

Keywords:

lending rates, stock returns, interest rate, granger causality test, NSE, NIFTY, stationary, causal relationship

Abstract

This research paper study granger causality between three-month short-term interest rates and stock index prices represented by NIFTY 50 of National Stock Exchange. For the study, daily observations of prices were taken between the period of the year January 2002 to March 2019. Stationary of data was tested and confirmed by Augment Dickey-Fuller test. To determine causality between short term interest rates and stock index prices, Granger Causality test was used. Result analysis shows that there exists no causality relationship between three-month short term interest rates and stock index prices of NIFTY 50.

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How to Cite

Granger Causality between three-month short-term Interest Rates and NIFTY 50 Index. (2019). Global Journal of Management and Business Research, 19(C4), 21-23. https://journalofbusiness.org/index.php/GJMBR/article/view/2759

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