Do Macro Economic Variables and Nifty 50 Move Together?

Abstract

The stock market moves in contagion with many variables at macro level from the economy. The changing patterns and trends
in inflation, interest rates, exchange rates and related parameters for an economy may create an impact on the stock market
movements. In the present study, we have attempted to analyze that whether the macroeconomic variables (exchange rate, foreign
direct investment, foreign exchange reserves, index of industrial production and wholesale price index) move in line with National
Stock Exchange’s index (Nifty 50). Johansen Co-integration analysis along with Vector Auto Regression model has been used on a
monthly data from January 2009 to March 2018 to interpret the results. It ha s been found that there is no co-integration between
the variables in the long run.