What is it about?
Stock markets are influenced by an array of factors. This paper explores the effect of a large set of such factors covering macroeconomic and financial variables, relevant in Indian as well as international markets.
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Why is it important?
Since the relationship is explored with a large number of independent variables, we had to employ dynamic factor model. Its application in explaining stock markets is not very common. Moreover, the dataset covers a long time period in the Indian market and the results are quite insightful.
Perspectives
I feel, such an attempt is quite unique as it takes a perspective of the impacts of institutional investors as well, apart from the macroeconomic and other financial factors.
Dr. Paramita Mukherjee
International Management Institute
Read the Original
This page is a summary of: What Drives the Stock Market Return in India? An Exploration with Dynamic Factor Model, Journal of Emerging Market Finance, February 2016, SAGE Publications,
DOI: 10.1177/0972652715623681.
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