Impact of macroeconomic variables on sustainability indices using ARDL model

References

• Alam, N. 2017. “Analysis of the Impact of Select Macroeconomic Variables on the Indian Stock Market: A Heteroscedastic Cointegration Approach.” Business and Economic Horizons 13 (1): 119–127.
   Web of Science ®Google Scholar
• Alatiqi, S., and S. Fazel. 2008. “Can Money Supply Predict Stock Prices?” Journal for Economic Educators 8 (2): 54–59.
   Google Scholar
• Arribas, I., M. D. Espinós-Vañó, F. García, and N. Riley. 2021. “Do Irresponsible Corporate Activities Prevent Membership in Sustainable Stock Indices? The Case of the Dow Jones Sustainability Index World.” Journal of Cleaner Production 298: 126711.
   Web of Science ®Google Scholar
• Baranidharan, S., and N. Dhivya. 2020. “Causal Influence of Macroeconomics Factors Shock on Indian Stock Market: Evidence from BSE Index.” Asian Journal of Economics, Finance and Management 2 (2): 39–49.
   Google Scholar
• Castaneda, B. E. 1999. “An Index of Sustainable Economic Welfare (ISEW) for Chile.” Ecological Economics 28 (2): 231–244.
   Web of Science ®Google Scholar
• Das, A., and A. V. Megaravalli. 2017. “Macroeconomic Indicators and Stock Market Boogie: The Case of National Stock Exchange, India.” Indian Journal of Research in Capital Markets 4 (3): 20–32. doi:http://doi.org/10.17010/ijrcm%2F2017%2Fv4%2Fi3%2F118913
   Google Scholar
• Giri, A., and P. Joshi. 2017. “The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis.” Studies in Business and Economics 12 (1): 61–78.
   Web of Science ®Google Scholar
• Goel, P., and R. Misra. 2017. “Sustainability Reporting in India: Exploring Sectoral Differences and Linkages with Financial Performance.” Vision: The Journal of Business Perspective 21 (2): 214–224.
   Google Scholar
• Hashemzadeh, N., and P. Taylor. 1988. “Stock Prices, Money Supply, and Interest Rates: The Question of Causality.” Applied Economics 20 (12): 1603–1611.
   Web of Science ®Google Scholar
• Hashmi, S. M., and B. H. Chang. 2021. “Asymmetric Effect of Macroeconomic Variables on the Emerging Stock Indices: A Quantile ARDL Approach.” International Journal of Finance & Economics. doi:10.1002/ijfe.2461.
   Web of Science ®Google Scholar
• Homa, K. E., and D. M. Jaffee. 1971. “The Supply of Money and Common Stock Prices.” The Journal of Finance 26 (5): 1045–1066.
   Web of Science ®Google Scholar
• Huy, D. T., V. K. Nhan, N. T. Bich, N. T. Hong, N. T. Chung, and P. Q. Huy. 2021. “Impacts of Internal and External Macroeconomic Factors on Firm Stock Price in an Expansion Econometric Model – A Case in Vietnam Real Estate Industry.” In Data Science for Financial Econometrics, edited by N. Ngoc Thach, V. Kreinovich, and N. D. Trung, 189–205. Cham: Springer.
   Google Scholar
• Iddrisu, I., and S. C. Bhattacharyya. 2015. “Sustainable Energy Development Index: A Multi-dimensional Indicator for Measuring Sustainable Energy Development.” Renewable and Sustainable Energy Reviews 50: 513–530.
   Web of Science ®Google Scholar
• Maku, O. E., and A. A. Atanda. 2009. “Does Macroeconomic Indicators Exert Shock on the Nigerian Capital Market?” Munich Personal RePEc Archive, 2–23. https://mpra.ub.unimuenchen.de/17917/.
   Google Scholar
• Mehta, K., R. Sharma, and V. Vyas. 2019. “Efficiency and Ranking of Sustainability Index of India Using DEA-TOPSIS.” Journal of Indian Business Research 11 (2): 179–199.
   Web of Science ®Google Scholar
• Misra, P. 2018. “An Investigation of the Macroeconomic Factors Affecting the Indian Stock Market.” Australasian Accounting, Business and Finance Journal 12 (2): 71–86. doi:10.14453/aabfj.v12i2.5
   Web of Science ®Google Scholar
• Mori, K., and A. Christodoulou. 2012. “Review of Sustainability Indices and Indicators: Towards a New City Sustainability Index (CSI).” Environmental Impact Assessment Review 32 (1): 94–106.
   Web of Science ®Google Scholar
• Mukherjee, T. K., and A. Naka. 1995. “Dynamic Relations Between Macroeconomic Variables and the Japanese Stock Market: An Application of a Vector Error Correction Model.” Journal of Financial Research 18 (2): 223–237.
   Google Scholar
• Ness, B., E. Urbel-Piirsalu, S. Anderberg, and L. Olsson. 2007. “Categorising Tools for Sustainability Assessment.” Ecological Economics 60 (3): 498–508.
   Web of Science ®Google Scholar
• Parab, N., and Y. Reddy. 2020. “The Dynamics of Macroeconomic Variables in Indian Stock Market: A Bai–Perron Approach.” Macroeconomics and Finance in Emerging Market Economies 13 (1): 89–113.
   Web of Science ®Google Scholar
• Patel, S. 2012. “The Effect of Macroeconomic Determinants on the Performance of the Indian Stock Market.” NMIMS Management Review 22: 117–127.
   Google Scholar
• Pesaran, M. H., and B. Pesaran. 1996. Microfit 4.0. Cambridge London, Windows Version: Camfit Data Limited.
   Google Scholar
• Pesaran, M. H., Shin, Y., and Smith, R. J. 2001. “Bounds Testing Approaches to the Analysis of Level Relationships.” Journal of applied econometrics 16 (3): 289–326.
   Web of Science ®Google Scholar
• Pesaran, M. H., Y. Shin, R. J. Smith, and others. 1996. Testing for the Existence of a Long-run Relationship. Faculty of Economics. Cambridge: University of Cambridge.
   Google Scholar
• Pethe, A. a. 2000. “Do Indian Stock Markets Matter? Stock Market Indices and Macro-economic Variables.” Economic and Political Weekly 35 (5): 349–356.
   Google Scholar
• Popp, J., D. Hoag, and D. E. Hyatt. 2001. “Sustainability Indices with Multiple Objectives.” Ecological Indicators 1 (1): 37–47.
   Google Scholar
• Ramachandran, N. 2000. Monitoring Sustainability: Indices and Techniques of Analysis. New Delhi: Concept Publishing Company.
   Google Scholar
• Sahu, T. N., K. Bandopadhyay, and D. Mondal. 2014. “An Empirical Study on the Dynamic Relationship Between Oil Prices and Indian Stock Market.” Managerial Finance 40 (2): 200–215.
   PubMed Web of Science ®Google Scholar
• Sharma, P., and D. Jasuja. 2020. “Socially Responsible Investing and Stock Performance a Study on Comparison of Sustainability Indices in India (Arch & Garch Approach).” Delhi Business Review 21 (1): 85–97.
   Google Scholar
• Sharma, R., P. Kautish, and D. S. Kumar. 2018. “Impact of Selected Macroeconomic Determinants on Economic Growth in India: An Empirical Study.” Vision: The Journal of Business Perspective 22 (4): 405–415.
   Google Scholar
• Sharma, G. D., and M. Mahendru. 2010. “Impact of Macro-economic Variables on Stock Prices in India.” Global Journal of Management and Business Research 10 (7): 1–18.
   Google Scholar
• Sharma, P., and A. K. Shrivastava. 2021. “Economic Activities and Oil Price Shocks in Indian Outlook: Direction of Causality and Testing Cointegration.” Global Business Review, doi:10.1177/0972150921990491.
   Web of Science ®Google Scholar
• Singh, G. 2016. “The Impact of Macroeconomic Fundamentals on Stock Prices Revised: A Study of Indian Stock Market.” Journal of International Economics 7 (1): 76–91.
   Google Scholar
• Sokolovska, I., and A. Kešeljević. 2019. “Does Sustainability pay off? A Multi-Factor Analysis on Regional DJSI and Renewable Stock Indices.” Economic Research-Ekonomska Istraživanja 32 (1): 423–439.
   Web of Science ®Google Scholar
• Srivastava, A., and K. Behl. 2015. “Macroeconomic Variables on Indian Stock Market Interactions: An Analytical Approach.” JIM Quest: Journal of Management and Technology 11 (2): 1–8.
   Google Scholar
• Suhaibu, I., S. K. Harvey, and M. Amidu. 2017. “The Impact of Monetary Policy on Stock Market Performance: Evidence from Twelve (12) African Countries.” Research in International Business and Finance 42: 1372–1382.
   Web of Science ®Google Scholar
• Sultana, S. T., and K. S. Reddy. 2017. “The Effect of Macroeconomic Factors on Indian Stock Market: An Empirical Evidence.” FIIB Business Review 6 (1): 68–76. doi:10.1177/2455265820170109
   Google Scholar
• Syed, A. A. 2021. “Symmetric and Asymmetric Influence of Macroeconomic Variables on Stock Prices Movement: Study of Indian Stock Market.” In New Challenges for Future Sustainability and Wellbeing, edited by E. Özen, S. Grima, and R. D. Gonzi, 319–339. Bingley: Emerald Publishing Limited.
   Google Scholar
• Tripathi, R., A. B. Singh, and P. T. Singh. 2016. “Impact of key Macroeconomic Variables on Movement of the Indian Stock Market with Reference to BSE Sensex.” Indian Journal of Finance 10 (6): 38–50. doi:10.17010/ijf/2016/v10i6/94878
   Google Scholar
• Tripathy, N. 2011. “Causal Relationship Between Macro-Economic Indicators and Stock Market in India.” Asian Journal of Finance & Accounting 3 (1): 208–226.
   Google Scholar
• Trivedi, P., and S. R. Behera. 2012. “Macroeconomic Fundamentals as Determinants of Equity Prices: An Empirical Analysis for India.” IUP Journal of Applied Finance 18 (3): 5–30.
   Google Scholar
• Vilas, P., L. Andreu, and J. L. Sarto. 2021. “The Convergence Between Sustainability and Conventional Stock Indices. Are We on the Right Track?” Sustainability 13 (14): 7613.
   Web of Science ®Google Scholar
• Vives, A., and B. Wadhwa. 2012. “Sustainability Indices in Emerging Markets: Impact on Responsible Practices and Financial Market Development.” Journal of Sustainable Finance & Investment 2 (3-4): 318–337.
   Google Scholar
• Wilcox, J. A., and others. 2008. Consumer Sentiment and Consumer Spending. FRBSF Economic Letter. San Francisco: Federal Reserve Bank of San Francisco.
   Google Scholar
• Wilson, J., P. Tyedmers, and R. Pelot. 2007. “Contrasting and Comparing Sustainable Development Indicator Metrics.” Ecological Indicators 7 (2): 299–314.
   Web of Science ®Google Scholar