Page 107 - IMDR JOURNAL 2023-24

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

Granger causality test was carried out to find whether there was Granger cause effect present between
two variables. Granger causality was used to determine whether one time series can predict the future

values of another time series. Example FII is said to "Granger cause" Sensex if knowledge of FII's past
increases one's capacity to forecast Sensex's behavior. Here we had time series data for all the economic

variables under study.

Since every p-value in these Granger causality test results was higher than 0.05, every test's null
hypothesis was accepted. Granger causality test analysis result FII, Gold price, CPI and Repo rate did

not Granger-cause variable S&P BSE Sensex. i.e future values of S&P Sensex do not depend on the time
series values of variables FII, Gold price, CPI and repo rate. We cannot use any variable separately for

the prediction of the Sensex values.