Macroeconomic Variables and Market Performance: A Case of Sustainability Criterial Companies

Abstract

The demand for sustainability in human society comes from the basic defining feature of economics, i.e., scarcity. Sustainability indices are thematic stock market indices that evaluate the sustainability performance of listed companies. These indices help determine the impact of a company’s operations with respect to its carbon footprint, recycling performance, sustainable R&D, societal upbringing, etc. This study analyses the impact of India’s macroeconomic factors such as Inflation, GNI growth, HDI and Unemployment on the market performance of sustainability compliant companies included in NSE 100 ESG index. The Panel Vector Autoregressive (PVAR) method has been applied due to the absence of cointegration between the variables. The fixed effect panel regression results disclose that the monthly stock price of these companies have positive significant relationship with its own lag values and that of HDI, while the relation is insignificant for inflation and unemployment. For GNI, only the second lag shows a significant impact implying that it might have a delayed impact on the dependent variable as reflected in the later time periods, hence signifying a long run effect.

Keywords: Macroeconomic Factors, Sustainability, Indian Stock Market, Panel Vector Autoregression, NSE 100ESG Index

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