IMIB Journal of Innovation and Management
issue front

Sitaram Pandey1

First Published 1 Dec 2022.
Article Information Volume 1, Issue 1 January 2023
Corresponding Author:

Sitaram Pandey, University Department of Management, Vinoba Bhave University, NH 33, Sindoor, Hazaribagh, Jharkhand 825301, India.

1 University Department of Management, Vinoba Bhave University, Hazaribagh, Jharkhand, India

This article is distributed under the terms of the Creative Commons Attribution-NonCommercial 4.0 License (http://www. which permits non-Commercial use, reproduction and distribution of the work without further permission provided the original work is attributed.


The goal of this research is to look at how the Indian stock market sectoral indices respond to three macroeconomic variables: oil price (OP), gold price (GP) and exchange rate (ER) between 2016 and 2020. The data of sectoral indices were collected from the Bombay Stock Exchange. The underlying series is evaluated as non-stationary at the level, but stationary in the first difference, using the augmented Dickey–Fuller unit root test.  The multivariate co-integration analysis and vector error correction model indicates that there are long-term links between macroeconomic variables and sectoral indices in the information technology sector. Meanwhile, the research using the vector auto regression model approach shows that there are short-run correlations between macroeconomic variables and sectoral indices, namely Basic Materials, Fast Moving Consumer Goods, Finance, Healthcare, Information Technology, Auto, Bankex, Power and Reality. The results document that OP, GP and ER simultaneously have a significant effect on sectoral indices in the Indian stock market. To stabilise the stock market post-COVID-19, the authorities are advised to put economic policies sector-wise to accelerate the economic growth and to maintain fiscal discipline. The authorities need to stabilise the aforementioned macroeconomic variables to accelerate the economic growth as the ER has a significant negative impact on all sectors.


BSE sectoral indices, vector error correction model, vector auto regression model, macroeconomic variables


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