Stock Return, Growth and Inflation in India: Analysis of Stochastic Seasonality, Impulse Response and Multivariate GARCH

[摘要] Thisstudy analyses the empirical interdependence among asset returns, industrialgrowth and inflation after controlling for interest rate by consideringstochastic seasonality and conditional volatility with monthly time series inIndia. The HEGY unit root test suggests that industrial growth and inflationexperience only stochastic trend and no persistent stochastic behaviour at anyother seasonal frequencies, while stock return follows persistent seasonaltrend. The study observes that causality goes from stock return to industrialgrowth, although the extent of causality is very low, but not the other wayround. This finding has significant policy implications particularly in thecontext of financial sector reforms in India. Inflation has negative impact onstock returns, while the innovations in stock returns have not transmitted toinflation.

[学科分类] 自然科学（综合）

[关键词] Seasonal Time Series;Business Cycles;Stock Return;Economic Growth;India JEL Classification Codes C32;E32;E44;O40;053