Analysing the presence of volatility clustering and impact of macro-economic variables on sustainability indices in India: using GARCH (1, 1) model and ARDL framework Online publication date: Fri, 14-Oct-2022
by Kanchan Sehrawat; Muskan Kaur; Madhu Vij
International Journal of Global Environmental Issues (IJGENVI), Vol. 21, No. 2/3/4, 2022
Abstract: Increasing environmental consciousness among various stakeholders of financial markets has led to the introduction of GREENEX and CARBONEX indices by Bombay Stock Exchange (BSE). This study is an attempt to analyse the impact of macro-economic variables, namely growth rate (GDP), inflation (WPI) and exchange rate (FOREX) on both the sustainability indices. The paper also attempts to find the presence of volatility clustering in the sustainability indices of India. The cointegration amongst the macro-economic variables and sustainability indices is tested through auto-regressive distributive lag (ARDL) Approach and significant results are achieved for both the indices. The volatility clustering for GREENEX and CARBONEX is tested through GARCH (1, 1) model and significant volatility clustering is established for both the indices. These significant relationships highlight that the macro-economic variables have a significant and crucial impact on sustainability of the Indian economy. Any measure taken to improve the growth rate, exchange rate, or inflation shall significantly facilitate sustainability in the Indian economy, further reducing the volatility in stock market and economy.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Global Environmental Issues (IJGENVI):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com