Cointegrating Relation Between Stock Prices and Select Macroeconomic Variables in India - An Econometric Analysis

Abstract

Financial integration world over has changed the flow of investments and returns. Several studies world over indicate that range of financial and macroeconomic valuables have had a role in predicting stock market returns. This study explores internal financial integration among different segments of the lndian Financial sector using time series modeling. In the study, weekly data has been used from October, 2005 to October, 2009 for the selected variables representing different segments of financial system in India.