Macroeconomic surprises and stock market responses in view of global linkage – A study of Indian stock market

Figures & data

Chart-1. FPI/FII- Net investment in India

Source: IMF

Chart-2. FPI/FII- Net investment in China

Source: IMF

Chart-3. FDI—India vs. China

Source: IMF

Table 1. Event study: results

(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)	(11)	(12)
Index	Coeff/P Value	Constant	Surprise of monetary policy	Surprise of GDP	Surprise of WPI	Surprise of CPI	Surprise of IIP	Surprise of CAD	Surprise of MSCI	R^2—W/O MSCI	R^2—With MSCI
NIFTY 50	Co-efficient	0.001154	−2.8266	−0.00455	−0.00416	−0.021	−0.00504	0.031766	0.275667	0.032461	0.056847
	P Value	0.2344	0.001	0.9584	0.8534	0.5569	0.7307	0.7639	0.0076
NIFTY 50 Midcap	Co-efficient	0.00124	−2.83156	−0.01246	−0.0093	−0.03117	−0.00226	0.069378	0.227069	0.031259	0.047447
	P Value	0.2287	0.0018	0.8925	0.6955	0.4096	0.8843	0.5348	0.0371
NIFTY 100 Midcap	Co-efficient	0.001175	−2.345444	−0.016059	−0.002993	−0.016457	−0.003834	0.029013	0.187702	0.0306	0.044335
	P Value	0.1698	0.0017	0.8327	0.8786	0.5971	0.7641	0.7525	0.0282
NIFTY 100 Smallcap	Co-efficient	0.000794	−2.005169	−0.003151	0.000407	−0.007669	−0.008554	0.018706	0.196914	0.046867	0.037729
	P Value	0.3776	0.0114	0.9688	0.9844	0.8163	0.528	0.8481	0.0385
BSE Sensex	Co-efficient	0.00071	−2.68428	−0.03001	−0.010652	−0.0111	−0.005184	0.059269	0.246821	0.03754	0.0664
	P Value	0.4045	0.00039	0.69562	0.524016	0.72289	0.68632	0.524016	0.00644
BSE Bankex	Co-efficient	0.000549	−2.295305	0.097536	−0.03311	−0.04454	−0.00635	0.079448	0.280261	0.026627	0.041119
	P Value	0.6353	0.025	0.3498	0.2187	0.2975	0.716	0.5298	0.0226
BSE Health	Co-efficient	0.000982	−1.65468	0.079944	0.010201	−0.00679	−0.00692	0.003678	0.041178	0.031551	0.037099
	P Value	0.1292	0.0039	0.1705	0.4973	0.7759	0.4778	0.9585	0.5475
BSE IT	Co-efficient	0.000784	−2.241646	−0.038823	−0.02194	0.008874	−0.03092	0.009683	0.156496	0.035645	0.05551
	P Value	0.4018	0.0068	0.6448	0.3126	0.797	0.0288	0.9244	0.1143
BSE Metal	Co-efficient	0.001608	−3.67236	−0.04369	−0.00111	0.000432	−0.01592	0.133361	0.571089	0.034621	0.087828
	P Value	0.1988	0.0009	0.6981	0.9694	0.9925	0.3985	0.329	0.0

Figure 1. Impulse Response—1 percentage point change of Global Macroeconomic Surprise vector vs. BSE Sensex

Figure 2. Impulse Response—1 percentage point change of Global Macroeconomic Surprise vector vs. NIFTY 50

Figure 3. Impulse Response—1 percentage point change of Global Macroeconomic Surprise vector vs. BSE Metal

Figure 4. Impulse Response—1 percentage point change of Global Macroeconomic Surprise vector vs. BSE Health to

Figure 5. Impulse Response—1 percentage point change of Global Macroeconomic Surprise vector vs. BSE BankEx

Figure 6. Impulse Response—1 percentage point change of Global Macroeconomic Surprise vector vs. BSE IT Index

Figure 7. Impulse Response—1 percentage point change of Global Macroeconomic Surprise vector vs. NIFTY 50 MidCap

Figure 8. Impulse Response—1 percentage point change of Global Macroeconomic Surprise vector vs. NIFTY 100 MidCap

Figure 9. Impulse Response- 1 percentage point change of Global Macroeconomic Surprise vector vs. NIFTY 100 Small Caps