• Nitu Omprakash Gupta

The study investigates the relationship between macroeconomic variables and stock market, by taking the data range from January 2009 to December 2017 using monthly data. The macroeconomic variables considered are foreign direct investment, index of industrial production, consumer price index as a measure of inflation and bank rate along-with the major stock index Sensex. Cointegration technique by Johansen and Juselius is used in the paper and further for long run relationship VECM was for short run VAR Model is applied. The empirical results revealed that the Sensex does not have a significant relationship of long run with FDI, BR, IIP, and CPI but there exist short run relationship. Based on this relationship residual testing of the model was conducted with respect to heteroskedasticity, auto correlation & normality tests.

Cointegration, Macroeconomic variables, Sensex, VECM.

"Cointegration of FDI, IIP, CPI and BR with Sensex", International Journal of Emerging Technologies and Innovative Research (www.jetir.org), ISSN:2349-5162, Vol.6, Issue 5, page no.368-372, May - 2019, Available :http://www.jetir.org/papers/JETIRCN06070.pdf

"Cointegration of FDI, IIP, CPI and BR with Sensex", International Journal of Emerging Technologies and Innovative Research (www.jetir.org | UGC and issn Approved), ISSN:2349-5162, Vol.6, Issue 5, page no. pp368-372, May - 2019, Available at : http://www.jetir.org/papers/JETIRCN06070.pdf