TITLE:
Strategic Risk Factors for Indian Stock Markets
AUTHORS:
Aman Srivastava, Prashant Gupta, Rakesh Gupta
KEYWORDS:
Systematic Risk Factors, Stock Market, Security Return, Macroeconomic Factors
JOURNAL NAME:
Theoretical Economics Letters,
Vol.7 No.6,
September
30,
2017
ABSTRACT: The present study intends to find out the strategic
risk factors and their influence on the Indian capital market (stock market) by
using monthly time series data from April 1999 to March 2015. It used factor
analysis, lag length analysis, break point test, unit root test and Johansen
conintegration analysis. Results show that global financial markets,
price-earnings ratio, inflation, industrial production, forex rate and dividend
yield have significant impact on Indian stock markets. The short run analysis
suggests that Indian stock prices are adjusted monthly by its previous month
levels as well as previous month’s global stock markets and consumer price
index (inflation) in short run (monthly) basis. The study concludes that in
long run global financial markets, price-earnings ratio, inflation, industrial
production, forex rate and dividend yield acts as source of systematic risk
factor for Indian stock markets while in short run previous levels of stock
market and inflation acts as systematic risk factor for Indian stock markets.