https://orcid.org/0000-0002-0157-1900
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ABSTRACT
This study examines the impact of macroeconomic indicators on the liquidity of the Indian stock market by using the Granger Causality, Vector Auto-Regressive Model, and Impulse Response Functions. Numerous macroeconomic indicators were analysed at monthly and quarterly frequencies for their effect on the liquidity of NIFTY 500 stocks measured across four facets, i.e. depth, breadth, immediacy, and tightness. The study reveals that the tightness facet of liquidity is primarily affected by the indicators and further concludes that higher foreign investment inflows and gold prices impair the aggregate liquidity. In contrast, a surge in money supply strengthens the stock market liquidity.
Acknowledgments
Our heartfelt thanks are to the editor and the reviewers for their very helpful comments.
Disclosure statement
No potential conflict of interest was reported by the author(s).
Additional information
Notes on contributors
Priyanka Naik
Priyanka Naik, M.Com is an Assistant Professor at Goa Business School, Goa University, Goa, India. She has 6 years of teaching experience and her areas of interest in teaching and research include Accounting and Finance. She has published 6 research papers in national and international journals, including Scopus indexed journals. She is currently pursuing Ph.D in Commerce at Goa Business School, Goa University.
Y.V. Reddy
Y.V. Reddy, Ph.D is a Senior Professor at Goa Business School, Goa University, Goa, India. He has 34 years of teaching experience. His areas of interest in teaching and research include Accounting and Finance. He has published over 100 research papers in national and international journals, including Scopus/WOS indexed journals. He has presented more than 60 research papers in national and international conferences. Prof. Reddy has guided 20 doctoral theses and 7 more students are currently working under his guidance for research.