This paper uses Johansen and Juselius (1990) multivariate cointegration technique to explore the long-run relationships between NSE-Nifty share price index and certain other crucial macroeconomic variables, namely, index of industrial production, money supply, interest rate, exchange rate,...

The present study examines the linkage between the change in implied volatility index and the underlying stock index return in the Indian stock market. The empirical results revealed that the contemporaneous return is the most important factor that determines the changes in the current India...