Global, Regional and Local Influences in The Relationship between Asset Returns and The Macro Economic Factors in India

Arora, Akshay (2009) Global, Regional and Local Influences in The Relationship between Asset Returns and The Macro Economic Factors in India. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

Asset pricing is a well researched topic in financial studies. This topic holds interest as it is directly related with the concept of wealth creation. Asset prices move with changes in the environment (Cheung and Ng, 1998). The changes including business environment, economic policies, social factors and political movements affect the asset pricing and in turn the expected returns from these assets. The asset pricing models developed so far have been reasonably successful in determining the relationship between extrinsic factors and the value of assets (Levine and Zervos, 1998). The models also highlight the degree of effects of such external movements to the asset pricing.

This dissertation is my attempt to come out with an asset pricing model for the Indian stock market taking into account the macroeconomic forces actively influencing the asset pricing. The dissertation shall collect the data of 36 Indian portfolios and 7 macro economic factors affecting the Indian stock market. The dissertation shall also bring out the bifurcation of macroeconomic factors into Local, Regional and Global macroeconomic factors. The key observation of the dissertation shall be to develop a relationship based on the past data in terms of calculating asset returns due to changes in Global, Regional & Local economic factors (Cheung and Ng, 1998).

I shall be utilizing the research results of Chen, Roll & Ross: The APT model and the CAPM model for designing an effective model for the stated problem. The key limitation of the dissertation shall be that it is based on the past data and that past trends may not be followed in future.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 03 Feb 2010 12:15
Last Modified: 15 Sep 2016 15:11
URI: http://eprints.nottingham.ac.uk/id/eprint/23192

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