Vol. 5 No. 2 (2021)
Articles

Role of macro-economic factors in Stock Market Volatility: Evidence from India, Russia and South Africa.

Published 2021-07-24

Abstract

The relevance of stock market across the globe has armoured the faith that finance has a crucial role towards the economic development. It is widely renowned that well-structured capital market enables the smooth flow of cash between the domestic and international market. However, there has been a turbulent rise and fall in the stock prices in past few years. This stock price volatility is one of the concerns that every market is facing, and this area has got lot of attention from many researchers and professional portfolio managers. The present research proposes to assess the impact of macroeconomic factors including interest rate, money supply, exchange rate, and inflation on the stock price volatility in India, South Africa and Russia. Time series data of Nifty 50 has been used to evaluate the role of macro-economic variables contributing towards the volatility. ADF (Augmented Dickey Fuller) test have be employed for testing the stationarity of data. Furthermore, Johansen co-integration test was employed for testing the integration among the selected variables and the results highlighted the absence of integration. The results of regression analysis concluded that interest rate and inflation are found to be most influential variables for the volatility in the stock markets across the three nations. The results of present study have numerous implications for the policy makers, traders of India, South Africa and Russia. Therefore, the current study proposes few suggestions for the policymakers and economists based on the results for assessing the volatility and hedging themselves against risk in the coming years.