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DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE STOCK MARKET INDEX: EVIDENCE FROM SRI LANKA
International Research Journal of Natural and Applied Sciences
This study examines whether the performance of Colombo Stock Exchange(CSE), as measured by the All Share Price Index (ASPI), is affected by a set of macroeconomic variables namely, Interest rate, Broad money supply, Index of Industrial Production and Inflation by using quarterly data from 2004:Q1 to 2016:Q3. The Vector Autoregressive (VAR) framework was adopted by initially looking at the long run and short run relationship between stock market and the macroeconomic variables via the Johansenfatcat:ias2li3hgvardkfe3mniwjuike