Page 102 - IMDR JOURNAL 2023-24

IMDR’s Journal of Management Development & Research 2023-24

2. Hypothesis for Granger causality:

Null Hypothesis (H0): FII does not Granger-cause variable S&P BSE Sensex. i.e., time series FII cannot

be used for the prediction of future values of S&P Sensex.

Alternative Hypothesis (H1): FII does Granger-cause variable S&P BSE Sensex i.e., Time series FII

can be used for the prediction of future values of S&P Sensex.

Test: Granger-causality tests

3. Hypothesis for Granger causality:

Null Hypothesis (H0): Gold price per gram does not Granger-cause variable S&P BSE Sensex. i.e.,
time series Gold Price cannot be used for the prediction of future values of S&P Sensex.

Alternative Hypothesis (H1): Gold price per gram does Granger-cause variable S&P BSE Sensex i.e.,

time series Gold Price can be used for the prediction of future values of S&P Sensex.

Test: Granger-causality tests

4. Hypothesis for Granger causality:

Null Hypothesis (H0): Consumer Price Index (CPI) for retail inflation does not Granger-cause variable

S&P BSE Sensex. i.e., time series CPI cannot be used for the prediction of future values of S&P Sensex.

Alternative Hypothesis (H1): Consumer Price Index (CPI) for retail inflation does Granger-cause

variable S&P BSE Sensex i.e., time series CPI can be used for the prediction of future values of S&P

Sensex.

Test: Granger-causality tests

5. Hypothesis for Granger causality:

Null Hypothesis (H0): Repo rate does not Granger-cause variable S&P BSE Sensex. i.e., time series

repo rate cannot be used for the prediction of future values of S&P Sensex.

Alternative Hypothesis (H1): Repo rate does Granger-cause variable S&P BSE Sensex i.e.; time series

repo rate can be used for the prediction of future values of S&P Sensex.

Test: Granger-causality tests

Data Analysis & Interpretation: This paper’s interest was to find the how much change in the market

index S&P BSE Sensex when there were changes in the rest of economic variables. Variables were total