Title: Relationship between GST revenue and selected stock indices in Indian economy: autoregressive distributed lag approach

Authors: A. Karmuhil; R. Murugesan

Addresses: Department of Humanities and Social Sciences, National Institute of Technology, Tiruchirappalli – 620015, India ' Department of Humanities and Social Sciences, National Institute of Technology, Tiruchirappalli – 620015, India

Abstract: Studies on the establishment of plausibility and the dynamic nexus between GST revenue and selected stock indices are rare. An analysis of these relationships, both short-run and long-run, is vital due to India's recently introduced tax system. This study attempts to fill this gap. Using the bounds testing approach to the co-integration and error correction model developed within the autoregressive distributed lag (ARDL) model. This study examines whether short-run and long-run relationships exist between GST revenues and stock indices in the pharmaceutical, automobile, healthcare, metal, FMCG, and information technology. Employing data spanning from 2017 to 2021 in addition to also establishing both short and long-run relationships among economic variables. It shows the absence of a solid relationship between GST Revenues and selected stock indices except in the case of FMCG. A good correlation was found between stock indices and GST revenues, influenced by their lagged values. In order to establish new policies for economic sustainability, researchers and policy makers can utilise the findings of this study to understand the nature of the relationship among the studied variables.

Keywords: ARDL; ECM; Cusum test; GST revenue; selected stock indices.

DOI: 10.1504/IJENM.2025.144653

International Journal of Enterprise Network Management, 2025 Vol.16 No.1, pp.23 - 46

Received: 10 May 2022
Accepted: 13 Feb 2023
Published online: 25 Feb 2025 *

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