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  Authors

Raktim Ghosh,Biswajit Dey,Subhajit Bhadra

  Keywords

Covid-19,Economic crisis, Major banking rates, Indian stock market, Causality, Regression, Co integration

  Abstract


During this time when the entire world as well as India is confronted with economic crisis due to the flabbergasted shut down of core industrial production and other economic sectors due to lockdown, central bank like RBI in India is trying to stabilise the economy by injecting liquidity to the economy and market in form of loan through continuous adjusting and surveillance on its different monetary policy rates. Such unprecedented situation adds to extra uncontrollable risk to the stock market which adversely impacts stock market. This paper tries to investigate the causal relationship among major banking rates and Indian stock market during the COVID-19 pandemic. Policy repo rate, reverse repo rate, Marginal standing facility (MSF) rate, Cash reserve ratio (CRR), statutory liquidity ratio (SLR) and bank rate have been taken as the proxy to major banking rates whereas NIFTY has been taken as the proxy to Indian stock market. Sample size was finalised at 137 with daily data from 31 December, 2019 to 8 July, 2020. Multiple Linear regression model, Phillips-Perron unit root test, Johansen co integration test, Wald test and Granger causality were used as tools for analysis. It was found that there exist a negative relation between policy repo rate and NIFTY, reverse repo rate and NIFTY and CRR and NIFTY. There exist a positive relation between MSF rate and NIFTY, SLR and NIFTY and bank rate and NIFTY. Unit root test confirms that there is no unit root at first difference. Though there is no long run causality among the variables, there is short run causality among the variables. Further, NIFTY Granger causes policy repo rate, reverse repo rate, CRR, MSF and bank rate. CRR and bank rate Granger cause NIFTY

  IJCRT's Publication Details

  Unique Identification Number - IJCRT2007165

  Paper ID - 196738

  Author type - Indian Author

  Page Number(s) - 1912-1923

  Pubished in - Volume 8 | Issue 7 | July 2020

  DOI (Digital Object Identifier) -   

  No Of Downloads - 1336

  Author Country - 700010, India, Kolkata, Kolkata, India, Commerce

  Publisher Name - IJPUBLICATION | www.ijcrt.org | ISSN : 2320-2882

  E-ISSN Number - 2320-2882

  Published Paper PDF : - http://www.ijcrt.org/papers/IJCRT2007165

  Published Paper URL: : - http://ijcrt.org/viewfull.php?&p_id=IJCRT2007165

  Published Paper PDF Downlaod: - download.php?file=IJCRT2007165

  Cite this article

Raktim Ghosh,Biswajit Dey,Subhajit Bhadra,   "CAUSAL RELATIONSHIP BETWEEN MAJOR BANKING RATES AND STOCK MARKET � EMPIRICAL EVIDENCE FROM INDIA DURING COVID-19", International Journal of Creative Research Thoughts (IJCRT), ISSN:2320-2882, Volume.8, Issue 7, pp.1912-1923, July 2020, Available at :http://www.ijcrt.org/papers/IJCRT2007165.pdf

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