Macroeconomic surprises and stock market responses in view of global linkage: A study of Indian stock market

In prior literature it was conjectured that the Indian stock market responses on domestic macroeconomic surprises are expected to be significantly influenced by global surprises. In this paper we empirically established that hypothesis. We used both the Event Analysis and VAR model. We found that gl...

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Bibliographic Details
Published in:Cogent economics & finance 2020, Vol.8 (1), p.1-28
Main Authors: Pal, Santanu, Garg, Ajay K
Format: Article
Language:English
Subjects:
Corporate finance
Decision making
event study
global linkages
global surprises
India
macroeconomic surprise
Macroeconomics
monetary policy surprise
Policy making
Securities markets
stock market response
VAR
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Summary:In prior literature it was conjectured that the Indian stock market responses on domestic macroeconomic surprises are expected to be significantly influenced by global surprises. In this paper we empirically established that hypothesis. We used both the Event Analysis and VAR model. We found that global surprises consistently dominate Indian stock market and the influence of domestic macroeconomic surprises on it is relatively less. The understanding of stock market dynamics against domestic macroeconomic surprises and global factors can provide assistance to the policy makers for augmenting policy effectiveness and the corporate finance professionals for enhancing decision making.
ISSN:2332-2039
2332-2039
DOI:10.1080/23322039.2020.1839171