Abstract
Researchers discuss the effect of macroeconomics on the stock market but usually, effects on portfolios like the mutual funds are not very popular. In this research, an attempt was made to study the same. A longitudinal, exploratory study was performed taking three year daily (net asset value) NAVs of 41 mutual funds belonging to two categories (gold funds and energy funds) and series of 9 macroeconomic variables and analysed using time series methods to judge and highlight their impact on the chosen funds. Different macroeconomic variables were found to affect the two categories of funds differently. Investment in energy funds increased whenever there was an increase in money supply. Interest rates had a positive impact on gold mutual fund net asset values. Own fund information was found to have the major impact when excited with one standard deviation shock. The causality between various mutual funds and macroeconomic variables was established. The study highlighted the need to understand the global scenario by both the investor and the mutual fund manager. Since the macroeconomic variables interplay and affect the mutual funds, their understanding would help in stitching more profitable schemes.
Highlights
A longitudinal, exploratory study was performed taking three year daily NAVs of 41 mutual funds belonging to two categories and series of 9 macroeconomic variables and analysed using time series methods to judge and highlight their impact on the chosen funds
When Augmented Dickey Fuller Unit root stationarity test was performed at level, the absolute value of ADF test statistics for all the mutual funds and the macroeconomic variables were found to be less than the absolute critical values at one percent and five percent levels of significance
It can be seen that the ADF statistics were more than the absolute critical values at one percent and five percent levels of significance when the ADF test was performed after taking first difference for all the sample series
Summary
Indian economy is insulated from the foreign world to some extent as the in-. The investments of FIIs and FDIs are less as compared to the massive investments by Indian investors. Indian Rupee has been depreciating for quite some time but the efforts are on to stabilize this fall. If the currency depreciates it benefits the exporters and if it appreciates it benefits the importers. RBI can control the exchange rates to some extent by the use of foreign currency reserves. Whenever there is some rumor in the market arousing suspicion for the performance of companies, or there is some corporate disclosure, or some movement in the global markets, the investors start buying or selling shares aggressively affecting the stock markets. All influence the market movements, investments, exports, and imports. It is important to know what all factors will affect the performance of stocks and in our study the performance of mutual funds
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