Title: The macroeconomic determinants of Nifty - a quantitative approach based on causal factoring

Authors: R. Subathra; A. Kachi Mohideen

Addresses: Department of Statistics, Government Arts College (Autonomous), Salem-636 007, Tamil Nadu State, India ' PG and Research Department of Statistics, Periyar E.V.R. College (Autonomous), Trichy – 620 023, Tamil Nadu State, India

Abstract: Stock market investment is emerging as a popular choice of many people in India. The investors have realised that, in spite of the high risks, an intelligent investment in stocks will bring big returns. The movement in the stock market indices is influenced by micro economic, macro economic, social and political factors. Understanding the influence of these factors on the stock market indices is complicated due to many reasons. The foremost reason is that the factors are too many in number. The next significant reason is the non-availability of the database regarding the political and social factors. Here, the researcher has made an attempt to study the influence of selected macro economic variables on the Nifty level. The study employs regression analysis methods to study the presence of relationship, factor analysis to extract the factors and the simplex method to find the levels of the macro economic variables which lead to an optimum level of Nifty.

Keywords: multiple regression analysis; multicollinearity; factor analysis; principal component analysis; PCA; linear programming; simplex method; correlation matrix; sphericity test; Nifty; macroeconomic determinants; stock market investment; India.

DOI: 10.1504/IJEBR.2015.071844

International Journal of Economics and Business Research, 2015 Vol.10 No.3, pp.247 - 257

Received: 23 Apr 2015
Accepted: 26 May 2015
Published online: 19 Sep 2015 *

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