Title: Indian stock market sensitivity to macroeconomic and non-macroeconomic factors: an industry-level analysis

Authors: Muhammadriyaj Faniband; Pravin Jadhav

Addresses: Institute of Infrastructure, Technology, Research and Management (IITRAM), Ahmedabad, 380026, India ' Institute of Infrastructure, Technology, Research and Management (IITRAM), Ahmedabad, 380026, India

Abstract: This paper examines the impact of macroeconomic factors and non-macroeconomic factors on the ten stock indices of the National Stock Exchange using the quantile regression methodology and the monthly dataset from April 2010 to May 2022. We find that the exchange rate has less influence on IT, infra, pharma, FMCG and realty stock returns. Further, all the sectors except energy are not sensitive to inflation. Moreover, financial services, infra, pharma, private banks and realty are the sectors where the impact of interest rates is not visible. The sectors that are not affected by geopolitical risk include auto, infra, IT, pharma, private and public sector banks. Furthermore, the financial services, infra, pharma, private bank sectors are affected by economic policy uncertainty. The volatility has a negative impact and the Nifty has a positive impact on all the sectors. Our results are useful for investors and portfolio managers to make informed investment decisions and manage their portfolio risk.

Keywords: macroeconomic; non-macroeconomic; stock returns; quantile regression; India.

DOI: 10.1504/IJMEF.2024.137547

International Journal of Monetary Economics and Finance, 2024 Vol.17 No.1, pp.49 - 73

Received: 09 Apr 2023
Accepted: 23 Aug 2023
Published online: 25 Mar 2024 *

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