Title: A study on the impact of macroeconomic indicators on the stock price by relaxing the assumptions of stationarity in time series data in a general linear model
Authors: M.I. Nafeesathul Basariya; Punniyamoorthy Murugesan
Addresses: National Institute of Technology, Tiruchirappalli-620015, Tamil Nadu, India ' National Institute of Technology, Tiruchirappalli-620015, Tamil Nadu, India
Abstract: A model has been evolved by keeping the stock index as dependable variable and gross domestic product, consumption and consumer price index as independent variables. The assumptions to arrive the model are tested. The behaviour of the model is studied by including and relaxing the important assumption of stationarity in the economic data. It was finally found that the model becomes significant if we violate the stationary assumption for both dependent variable stock price and independent variable consumer price index, consumption and gross domestic product. This is evidenced by demonstrating the model by using the data related to the macroeconomic variables of developed countries (USA, UK), emerging countries (India, Brazil), and frontier countries (Latvia, Estonia).
Keywords: consumer price index; consumption; gross domestic product; stock prices; stationarity.
International Journal of Enterprise Network Management, 2021 Vol.12 No.1, pp.56 - 69
Received: 26 Apr 2019
Accepted: 03 Jun 2019
Published online: 26 Jan 2021 *