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Asian Journal of Management
Year : 2018, Volume : 9, Issue : 1
First page : ( 440) Last page : ( 444)
Print ISSN : 0976-495X. Online ISSN : 2321-5763.
Article DOI : 10.5958/2321-5763.2018.00068.9

Influence of Macroeconomic Variables on Stock Market Volatility: A study on Nifty

Dr. Majumdar Ayan1,*, Saha Anuradha2

1Assistant Professor, Dept. of Management & Business Administration, Aliah University, Kolkata

2Research Scholar, Dept. of Management & Business Administration, Aliah University, Kolkata

*Corresponding Author E-mail axmajumdar@yahoo.com

Online published on 2 June, 2018.

Abstract

The economic health of a country is reflected by the performance of its stock market. The Bombay Stock Exchange and National Stock are the two major stock indices of India. The National Stock Exchange (NSE) which was established in the year 1992 is the most important stock exchange in India. Nifty 50 or simply called Nifty is the flagship index of NSE. The performance of Nifty reflects the financial health of the Indian economy. Nifty is a collection of fifty companies from various sectors of the Indian economy. All the fifty company shares perform simultaneously in the market and therefore the net impact is an aggregate impact of all the fifty shares as a whole. Volatility is one of the important factors that are to be taken into account while pricing. The movement of the stock market is known as volatility. There are many factors which influence the volatility of the stock index. The objective of the present study is to analyse some of the selected factors which influence the volatility of Nifty during the period 2006–07 to 2016–17. Crude Oil prices, Gold price, US$/INR exchange rate, Cash Reserve Ratio, Wholesale Price Index, Call Money Rate, Foreign Direct Investment, and Foreign Exchange Reserve have been identified as those factors which are likely to have an impact on Nifty.

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Keywords

Nifty, Volatility, Principal Component Analysis, Macroeconomic Variables.

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