Author(s)

Aman Srivastava¹, Prashant Gupta¹, Rakesh Gupta²

¹International Management Institute (IMI), New Delhi, India.
²Institute of Management & Technology (IMT), Ghaziabad, India.

The present study intends to find out the strategic risk factors and their influence on the Indian capital market (stock market) by using monthly time series data from April 1999 to March 2015. It used factor analysis, lag length analysis, break point test, unit root test and Johansen conintegration analysis. Results show that global financial markets, price-earnings ratio, inflation, industrial production, forex rate and dividend yield have significant impact on Indian stock markets. The short run analysis suggests that Indian stock prices are adjusted monthly by its previous month levels as well as previous month’s global stock markets and consumer price index (inflation) in short run (monthly) basis. The study concludes that in long run global financial markets, price-earnings ratio, inflation, industrial production, forex rate and dividend yield acts as source of systematic risk factor for Indian stock markets while in short run previous levels of stock market and inflation acts as systematic risk factor for Indian stock markets.

Systematic Risk Factors, Stock Market, Security Return, Macroeconomic Factors

Srivastava, A. , Gupta, P. and Gupta, R. (2017) Strategic Risk Factors for Indian Stock Markets. Theoretical Economics Letters, 7, 1687-1701. doi: 10.4236/tel.2017.76114.