International Journal of Social Science & Economic Research
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Title:
The Dynamics of Stock Prices, Call Money Rate, Consumer Price Index and Exchange Rates in India: A VAR Analysis for the Period from 2015 to 2023

Authors:
Roy Scaria and Jilu Saji

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Roy Scaria1 and Jilu Saji2
1. Professor, PG Dept. of Economics, TM Jacob Memorial Govt College, Manimalakunnu, Koothattukulam Kerala, India
2. PG student, 2022-24 batch, T.M Jacob Memorial Govt College, Manimalakunnu, Koothattukulam, Kerala, India

MLA 8
Scaria, Roy. "The Dynamics of Stock Prices, Call Money Rate, Consumer Price Index and Exchange Rates in India: A VAR Analysis for the Period from 2015 to 2023." Int. j. of Social Science and Economic Research, vol. 9, no. 12, Dec. 2024, pp. 6114-6132, doi.org/10.46609/IJSSER.2024.v09i12.030. Accessed Dec. 2024.
APA 6
Scaria, R. (2024, December). The Dynamics of Stock Prices, Call Money Rate, Consumer Price Index and Exchange Rates in India: A VAR Analysis for the Period from 2015 to 2023. Int. j. of Social Science and Economic Research, 9(12), 6114-6132. Retrieved from https://doi.org/10.46609/IJSSER.2024.v09i12.030
Chicago
Scaria, Roy. "The Dynamics of Stock Prices, Call Money Rate, Consumer Price Index and Exchange Rates in India: A VAR Analysis for the Period from 2015 to 2023." Int. j. of Social Science and Economic Research 9, no. 12 (December 2024), 6114-6132. Accessed December, 2024. https://doi.org/10.46609/IJSSER.2024.v09i12.030.

References

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ABSTRACT:
The importance of the manufacturing sector in a developing or near developed economy like India is well established. The mechanism through which capital is augmented by offering the share of ownership to the public. The stock prices and its variations are the key stones of investor confidence that in fact promotes the speed of public purchase of stocks. The dynamics of stock prices is usually analyzed with the variables of macroeconomic fundamentals especially, call money rate as a reflection of the monetary policy, the consumer price inflation, and exchange rate of rupee against major currencies. After checking for the existence of long run relationships using the Johansen procedure, a VAR model is used to capture the short run dynamics of mean stock prices, call money rate, consumer price index and exchange rates for the period from 2015 to 2023. The result showed that the mean stock prices are affected by its own previous values only rather than being affected by call money rate, CPI and exchange rate.

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