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An Empirical Investigation into Causal Relationship between Gross Fixed Capital Formation and Stock Price in India
Current Issue
Volume 1, 2013
Issue 1 (December)
Pages: 1-8   |   Vol. 1, No. 1, December 2013   |   Follow on         
Paper in PDF Downloads: 42   Since Aug. 28, 2015 Views: 1400   Since Aug. 28, 2015
Authors
[1]
Sarbapriya Ray, Shyampur Siddheswari Mahavidyalaya, Dept. of Commerce, University of Calcutta, India.
Abstract
The causal connection among different macroeconomic variables and stock prices are crucial in the formulation of a country’s macroeconomic policy and has long been a debatable issue. This article examines the effect of gross fixed capita formation (GFCF) on stock prices (SP) as well as causal connection between gross fixed capital formation and stock prices. The cointegration test confirmed that gross fixed capital formation and stock prices are cointegrated indicating an existence of long run equilibrium relationship between the two as confirmed by the Johansen cointegration test results. The Granger causality test finally confirmed the presence of uni-directional causality which runs from stock price to gross fixed capital formation but not vice-versa.
Keywords
Stock Price, India, Gross Fixed Capital Formation, causality, Cointegration
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