Asymmetric effect of monetary policy on Indian stock market sectors: Do monetary policy stimulus transpire the same effect on all sectors?

Figures & data

Figure 1. Sectoral Equity CAGR

Table 1. Unit root test

Test	Auto	Bank	CD	CG	Energy	Finance	FMCG	HC	Material
ADF I(0)	−1.3426	−0.7436	−0.4588	−1.2589	−0.5974	−0.6387	−1.6857	−1.6704	−0.9034
ADF I(1)	−10.1662***	−9.8306***	−9.2962***	−9.197***	−12.6023***	−9.1106***	−12.0857***	−11.345***	−9.7292***
PP I(0)	−1.33	−0.5763	−0.4117	−1.2869	−0.3337	−0.5667	−2.0107	−1.6704	−0.9051
PP I(1)	−10.1113***	−9.8571***	−9.3468***	−9.1967***	−11.3218***	−9.1378***	−11.7841***	−11.1652***	−9.7393***
Test	Metal	OG	Power	Reality	Telecom	CPI	INTEREST	M3	REER
ADF I(0)	−2.2145	−1.0305	−2.687*	−2.7716*	−2.6137*	−3.9927***	−2.1949	−5.3334***	−2.3099
ADF I(1)	−9.832***	−11.1056***	−10.7757***	−9.7606***	−12.5181***	−8.1606***	−12.0515***	−9.6156***	−7.6138***
PP I(0)	−2.2818	−0.8557	−2.6114*	−2.8004*	−2.4717	−2.9337**	−2.0872	−16.0902***	−2.1656
PP I(1)	−9.8192***	−11.0258***	−10.5508***	−9.6947***	−12.4604***	−7.8191***	−12.0811***	−6.7068***	−7.5981***

*Significant at the 10%; **significant at the 5%; ***significant at the 1% and (no) not significant.

Lag length based on SIC; ADF: Augmented Dickey Fuller Test; PP: Phillips Perron Test

Table 2. Model dignostics test

Sectors	Auto	Bank	CD	CG	Energy	Finance	FMCG	HC	Material	Metal	OG	Power	Reality	Telecom
Coint Eq(−1) Coefficient	−0.233***	−0.299***	−0.251***	−0.26***	−0.326***	−0.284***	−0.353***	−0.297***	−0.287***	−0.224***	−0.338***	−0.388***	−0.287***	−0.269***
Normality Test P-value	0.42***	0.613***	0.778***	0.518***	0.264***	0.789***	0.48***	0.712***	0.241***	0.557***	0.514***	0.467***	0.277***	0.433***
Serial Correlation LM Test	0.946	0.604	0.762	0.564	0.28	0.527	0.808	0.073	0.726	0.394	0.164	0.489	0.949	0.208
Ramsey RESET Test T statistics	0.178	0.6715	0.3535	0.9866	0.3808	0.926	0.763	0.246	0.113	0.736	0.858	0.273	0.394	0.217
Bound TestF Statistics & P Value	3.3*	5.0***	4.2***	4.7***	4.4***	5.1***	3.1*	4.4***	4.2***	3.0*	4.5***	5.1***	4.3***	3.4**

*Significant at the 10%; **significant at the 5%; ***significant at the 1% and (no) not significant.

Table 3. Long Term Cointegration Equation

ECT coeffecients	Auto	Bank	CD	CG	Energy	Finance	FMCG	HC	Material	Metal	OG	Power	Reality	Telecom
CPI_POS	9.3**	3.2	4.4*	2.4	6.9***	3.8	2.2*	5.9**	7.4***	11.7***	7.7***	2.4	5.6	10.**
CPI_NEG	−12*	−8	−9	−10	−11**	−8	−1	0.9	−16***	−21.**	−13***	−7.*	−13	−6
INTEREST_POS	0.3	0.7	0.2	1.5**	0.7*	0.6	0	0.2	0.8	1.78*	0	0.4	0.8	−1.*
INTEREST_NEG	0.1	0.3	0.3	1.6***	0	0.2	0	0.9***	0	−0.1	−0.*	0.1	0.4	0.6
M3_POS	−9.**	−5.*	−3	−5	−7.***	−5.**	−1	−3	−8.**	−14.***	−5.***	−4.**	−8.**	−4
M3_NEG	2.4	0	−2	0.4	−6	−1	−8.**	8.3*	0	0.14	−8	1.1	−14	−20**
REER_POS	5.3**	6.9***	4.7***	9.6***	2.4	6.5***	0.5	6.6***	3.8*	4.22	0	5.0***	5.7	2.3
REER_NEG	0.6	0.6	1.4**	1.7	0.7	0.7	−1.**	1.7***	1.8**	1.15	1.1**	1.4**	0.6	2.3**

Statistically significant at 1% ***, at 5% **, at 10% *.

Table 4. NARDL Estimation Results

	Auto	Bank	C Durable	Capital Goods	Energy	Finance	Health Care	Material	Oil & Gas	Power	Reality	Telecom	FMCG	Metal
Coefficient and P Value
C	2.18(0.00)	2.89(0)	1.84(0)	2.53(0)	2.50(0)	2.28(0)	2.49(−0.0)	2.21(0)	3.02(0)	3.14(0)	2.33(0)	1.89(−0.0)	2.87(0)	2.21(−0.0)
sector (−1)	−0.2(−0.0)	−0.2(0)	−0.2(0)	−0.2(0)	−0.3(0)	−0.2(0)	−0.2(0)	−0.2(0)	−0.3(0)	−0.3(0)	−0.2(0)	−0.2(−0.0)	−0.3(0)	−0.2(−0.0)
CPI_POS		0.98(−0.1)	1.10(−0.0)	0.62(−0.4)	2.26(−0.0)	1.08(−0.0)	1.76(−0.0)		2.62(−0.0)	0.94(−0.1)	1.62(−0.1)		0.78(−0.0)	2.62(−0.0)
CPI_POS(−1)	2.19(−0.0)	−2.4(−0.1)										2.70(−0.0)
CPI_NEG(−1)	−2.9(−0.0)		−2.3(−0.0)	−2.7(−0.1)	−3.6(−0.0)	−2.4(−0.0)	0.29(−0.8)	−4.6(−0.0)		−2.9(−0.0)
INTEREST_POS	0.07(−0.6)		0.06(−0.6)		0.23(−0.1)			0.24(−0.1)	−0.1(−0.2)		0.23(−0.3)		−0.0(−0.4)	0.39(−0.0)
INTEREST_NEG	0.04(−0.7)	0.10(−0.4)	0.09(−0.3)	0.41(−0.0)	−0.0(−0.6)	0.06(−0.6)	0.29(−0.0)		−0.2(−0.0)		0.13(−0.5)		−0.0(−0.9)	−0.0(−0.8)
INTEREST_POS(−1)		0.22(−0.1)		0.39(−0.0)		0.18(−0.2)	0.06(−0.5)			0.18(−0.2)
M3_POS	−2.1(−0.0)	−1.6(−0.0)	−0.9(−0.1)	−1.4(−0.0)		−1.6(−0.0)		−2.3(−0.0)	()	−1.7(−0.0)	−2.5(−0.0)	−1.2(−0.1)	−0.5(−0.2)
M3_NEG	0.57(−0.7)	−0.0(−0.9)	−0.5(−0.7)	0.11(−0.9)	−1.9(−0.3)	−0.3(−0.8)								0.03(−0.9)
M3_POS(−1)					−2.3(−0.0)		−1.0(−0.1)
M3_NEG(−1)							2.47(−0.0)					−5.4(−0.0)
REER_NEG	0.14(−0.5)	0.19(−0.4)	0.36(−0.1)	0.44(−0.1)	0.23(−0.2)	0.20(−0.3)								0.25(−0.4)
REER_POS									0.02(−0.9)				0.20(−0.4)
REER_POS(−1)	1.23(−0.0)	2.08(−0.0)	1.19(−0.0)	2.52(−0.0)	0.79(−0.0)	1.86(−0.0)	1.96(−0.0)	1.11(−0.0)
REER_NEG(−1)							0.51(−0.0)
∆(CPI_POS)	1.14(−0.2)											2.43(−0.0)
∆(CPI_POS(−1))	−1.5(−0.1)
∆(CPI_POS(−2))												−1.9(−0.1)
∆(CPI_NEG)	2.32(−0.2)	3.39(−0.1)	2.55(−0.1)	3.84(−0.1)	0.63(−0.7)	2.80(−0.1)	2.69(−0.1)	−0.0(−0.9)	−0.0(−0.9)	1.82(−0.3)	3.66(−0.2)		1.83(−0.2)
∆(CPI_NEG(−1))							−3.0(−0.0)				−0.2(−0.8)
∆(REER_POS)	0.35(−0.6)	0.42(−0.6)	0.08(−0.8)	0.82(−0.3)	0.63(−0.3)	0.32(−0.6)	−0.7(−0.3)				−2.7(−0.0)			−0.4(−0.6)
∆(REER_POS(−1))	−1.0(−0.2)	−1.5(−0.0)	−0.9(−0.1)	−1.5(−0.1)	−0.8(−0.2)	−1.4(−0.0)						0.18(−0.8)		−1.0(−0.3)
∆(REER_POS(−2))	−3.4(−0.0)	−3.9(0)	−3.0(0)	−5.1(0)	−2.2(−0.0)	−3.7(0)						−2.8(−0.0)
∆(INTEREST_POS)		−0.5(−0.0)		−0.2(−0.4)		−0.5(−0.0)	0.65(−0.0)
∆(M3_POS)					0.56(−0.6)		1.53(−0.2)
∆(M3_NEG)							10.8(−0.0)					6.05(−0.3)
∆(M3_POS(−1))					2.15(−0.1)
∆(M3_NEG(−1))							−4.6(−0.1)
∆(REER_NEG)							0.40(−0.3)					−0.3(−0.6)
∆(REER_NEG(−1))							−0.7(−0.0)					0.91(−0.2)
∆(REER_NEG(−2))							−1.6(−0.0)					−1.6(−0.0)