Interrelation among Economic Growth, Stock Market and Investor Sentiment: An Empirical Study

Abstract

The main purpose of this article is to find out interrelationship among economic growth, stock market returns and investor sentiment in Indian scenario. In this regard the monthly time series data has been undertaken from January 2014 to December 2019. The proxy representation of respective variable has been chosen from previous literature e.g. Index of Industrial Production(Iip), Nifty50 return and Implied Volatility Index (Vix) have been the proxy for economic growth, stock market returns and investor sentiment respectively. To explore the relationship among these variables different statistical analysis e.g. correlation test, bi-variate casualty test as well as co-integration test have been used. The results of this study shows that in short run economic growth has significant unidirectional causality towards investor sentiment. In long run the all three variables are strongly co-integrated.