Microsoft Word - 18939-Article Text-66560-writer2-new A S Receive doi:10.5 Abstra Indian f sharp d 11,000 have als pressure scenario fund in instrum volatilit The pr scheme analyze macroe scheme their p Study on Interim As Head ed: March 1 5296/ajfa.v ct financial ma decline in th points, with so seemed t es of increa o has also b nvestments, ments such a ty. resent study es, in terms e these eff conomic fa es, which, on ortfolios m n the E I ssociate Dea d of Departm E 1, 2022 A 14i1.18945 arkets have he BSE-SE h as much a to stagnate, asing crude been quite b which are as shares an y investiga s of returns fects. The actors whic n the one h more effect Effect o Indian an, School o E-mail: mi Ri ment, Depa E-mail: ritas Accepted: M URL: ht witnessed v NSEX from as a 700-poin with an ov e oil prices bleak, espec e generally nd debentur ates the eff and volati results of ch affect th and, would ively; and, 40 f Macr Mutua Mihir Dash of Applied M India ihirda@redi ita Samikan artment of S India samikannu@ May 30, 202 https://doi.or very high le m a peak o nt fall on on verall slow-d and increa cially with y considered res, have al fect of ma ility. The these caus he returns a enable fun , on the o Asian roecono l Funds h Mathematic iffmail.com nnu Statistics, Pe @gmail.com 22 Pub rg/10.5296/ evels of vol f around 2 ne single da down in eco asing inflati the onset o d to be le lso suffered acroeconom study uses sality tests and volatili d managers other hand n Journal of F omic Va s cs, Alliance m eriyar Unive m blished: Jun ajfa.v14i1.1 atility in rec 1,000 point ay. Indian ec onomic grow on. In fact, of recession ss risky th d in the gen ic variable the Grang would ide ity of parti s to manage , would en Finance & Ac ISSN 19 2022, Vol. 1 ajfa.macro ariables University ersity ne 1, 2022 18945 cent months ts to a nadi conomic co wth, along , the overal n in the US. han other f neral atmosp es on mutu ger causality entify the icular mutu e the risk pr nable inve ccounting 946-052X 14, No. 1 think.org/ s on s, with a ir below onditions with the ll global . Mutual financial phere of ual fund y test to specific ual fund ofiles of stors to underst informe The da macroe USD/IN inflation returns be cons Keywo causalit and the spe ed investme ata to be u conomic v NR and EU n rates, and and volatili sidered for t rds: return ty. ecific risk f ent decision used in the variables, su URO/INR ex d crude oil ities of a sam the analysis ns, volatility factors affe s pertaining study wer uch as mar xchange rat l prices, ov mple of maj . y, macroec 41 ecting their g to mutual re the wee rket return tes, interest ver the peri jor mutual f conomic va Asian investment funds. ekly returns ns (calculate t rates (Mu od October fund schem ariables, mu n Journal of F ts, so that t s and volat ed from th umbai Inter- r ‘06 - Jun mes over the utual fund Finance & Ac ISSN 19 2022, Vol. 1 ajfa.macro they can tak tilities of d he BSE-SE -Bank Offe ne ‘08. The same perio schemes, ccounting 946-052X 14, No. 1 think.org/ ke more different ENSEX), er rates), weekly od would Granger Introdu The Ca used to expecte the CA and the The CA of an a This is Specific represen moves. risk, bu When a but thro portfoli Accord portfoli The sec It states and not and not The CA asset, in satisfies flows o correct price is observe when th discoun discoun rate the the CAP beta an uction apital Asset o determine ed cash flow PM takes in risk-free ra APM decom sset is that captured thr c risk, or u nts the com According ut not for ta an investor h ough diver io. ing to the C io’s beta mu curity marke s that a por t on its vola t on its total APM is an “ nvestors wi s equation of the asset price for th s the same ed price is he observed nt rate” for nt rate with en the asset PM predict nd expected t Pricing M a theoretic ws can be es nto account ate of return mposes an a component rough the re unsystemati mponent of g to CAPM aking speci holds a port sification, t CAPM, the ultiplied by ( et line, as e rtfolio’s exc atility; that risk. “asset pricin ll bid its cu (2). Once t can be dis he asset. In as its val higher than d price is be the observ the CAPM is overvalu s the equilib d return of a Model (CAP cally approp stimated) of t the asset’s n. sset’s risk i t of the tota egression of (1) tr ic risk, is t f an asset’s , the marke fic risk. Th tfolio, each the investor expected re the expecte (2) )(rE  equation (2) cess expecte is, a portfo ng model” urrent price the expected scounted to theory, ther ue calculat n the valuat elow the CA ved price gi rate. If the ued (and und brium price any asset. I 42 PM; Sharpe priate requi f an asset, g s systematic into systema al risk of th f asset retur Mr  . the risk wh return wh etplace com his is becau individual r’s net exp eturn of a p ed excess re ([ rEr Mf  ) is also call ed return ov olio’s exces because, gi up or down d return is o their prese refore, an a ted using th tion, then t APM valuat iven a parti e discount ra dervalued f e of an asset In practice, Asian , 1964; Tre ired rate of given the as c risk, the e atic and spe he asset tha rns rt on ma tMt  . hich is uniq hich is unco mpensates in use specific asset in that posure is ju portfolio eq turn of the m )(].) rrf  led, is the e ver the risk s return dep iven a beta n, adjusting calculated ent value u sset is corre he CAPM the asset is ion). Altern icular valua ate in the m for a too hig t, assuming , this assum n Journal of F eynor, 1961 f return (an set’s system expected re ecific risk. T at is explain arket returns que to an i orrelated w nvestors for risk can b t portfolio e ust the syst quals the ris market port . essential con k-free rate d pends upon and an exp g the expect using CAP using this ra ectly priced derived di overvalued natively, one ation model model is low gh discount g that all inv mption is un Finance & Ac ISSN 19 2022, Vol. 1 ajfa.macro 1; Lintner, nd thus the matic risk. T eturn of the The system ned by mar s rMt, viz. individual with general r taking sy e diversifie entails spec tematic risk sk-free rate tfolio, i.e. nclusion of depends on n its system pected retur ted return s PM, the futu ate to estab d when its o iscount rate d (and unde e can “solve l and comp wer than the rate). Acco vestors agre nreasonable ccounting 946-052X 14, No. 1 think.org/ 1965) is price if To do so, market, matic risk ket risk. asset. It l market stematic ed away. ific risk, k of the plus the f CAPM. its beta matic risk rn for an so that it ure cash blish the observed e. If the ervalued e for the pare that e CAPM ordingly, ee on the e, so the CAPM The CA distribu equity a or six s normal an adeq distribu the inve adequat may off Since b of one. case (by mutual should (includi is unob portfoli to false unobser Arbitrag general modele where s Similar risk. Th F1, … F The reg sensitiv portfoli portfoli where t The mo sensitiv is largely o APM has sev uted random and other m standard de distribution quate measu uted returns, estors’ prefe tely explain fer higher re beta reflects Stock mark y definition fund) there in theory ing works o bservable an io. Unfortun e inferences rvability of ge Pricing izes the CA d as a linea sensitivity to ly to the CA his is captu Fk, viz. gression (1 vities β1, … io returns to io is linearly the λ1, … λk odel in equ vities, yieldi of theoretica veral limita m variables. markets are n eviations fr n assumptio urement of , but for ge ferences mo n the variati eturns than sensitivity ket indices n) have a be efore expec include all of art, real e nd people u nately, it has s as to the the true ma Theory (A APM. APT ar function o o changes in APM, the A ured through (1 1a), known βk, which, o changes i y related to (2 k represent uation (2a) ing estimate al value. ations. Firstl However, not normally rom the me on would ex risk. This m eneral return ore adequate on in stock the model w to market r are frequen ta of one. A cts perform l types of estate, huma usually subs s been show validity of arket portfol APT; Ross, T holds tha of various m n each facto APT decom h the regres 1a) tr   as the fir , similarly t in the risk f its factor se 2a) )(rE  risk premia is estimate es for the ris 43 ly, it assume it is freque y distribute ean) occur xpect. It als might be ju n distributio ely. Also, in returns. Em would predi risk, the ma ntly used as An investor mance in lin assets that an capital...) stitute a sto wn that this f the CAPM lio, the CAP , 1976) is at the expe macro-econo or is represe mposes a po ssion of po tF  .... 11 rst-pass reg to the CAP factors. Acc ensitivities, )(. 110 r  a correspond ed by regre sk premia. Asian es that asse ently empiri d; i.e. large in the mar so assumes ustified unde ons other ri n practice, t mpirical stud ict. arket as a w local proxi in a large, d ne with the t are held ), but, in pr ock index a substitution M, and it h PM might n a general ected return omic factors ented by a fa ortfolio’s ris ortfolio retu ktk F   . gression, id PM’s β(r), m cording to A i.e. (... rkk ding to each ession of p n Journal of F t returns are ically obser swings (oft rket more f that the va er the assum sk measure the CAPM dies show t whole, by de ies for the m diversified p market. Th by anyone actice, such as a proxy f n is not inno has been sa not be empir theory of n of a fina s or theoreti factor-specif k into syste urns rt on a t . entifies the measure the APT, the ex )r , h of the risk portfolio ret Finance & Ac ISSN 19 2022, Vol. 1 ajfa.macro e (jointly) n rved that re ften more th frequently t ariance of re mption of n es will likely does not ap that low bet efinition, ha market - and portfolio (s he market p e as an inv h a market p for the true ocuous and aid that du rically testa asset pric ancial asset ical market fic beta coe ematic and a set of risk e portfolio’ e sensitivity xpected retu sk factors F turns on th ccounting 946-052X 14, No. 1 think.org/ normally eturns in han three than the eturns is normally y reflect ppear to ta stocks as a beta d in that uch as a portfolio vestment portfolio e market can lead e to the able. ing that can be indices, fficient. specific k factors ’s factor y of the urn of a F1, … Fk. he factor The AP its facto correctl implied The AP is misp under tr as descr “arbitra line wit consists sells th correctl asset th syntheti exposur long the positive has a ne firm spe The AP an expl can be single-f market. sensitiv structur profitab althoug utility f “consum As with security itself re to chan nature. signific by an i default be used monthly PT asserts th or sensitivit ly - the asse d by model. PT describes riced, accor rue arbitrag ribed below age in expec th the retur s of trading he asset wh ly priced, o hat is relativ ic asset - a re to each o e asset and e expected r et-zero expo ecific risk). PT differs fr lanatory (as considered factor mode The APT c vity of the ral changes bility. On th gh similar to function, an mers” of the h the CAPM y returns on eveal the ide ge over tim Chen, Rol cant in expla industrial p premium in d in place y) and often hat equation ties. The m et price shou If the price s the mecha rding to the ge, the inves w, the inves ctations” - rns expected g in two as hich is relat or sells an a vely underp portfolio c of the macr d short the p return (the osure to any The arbitra rom the CA s opposed to a “special el of the as can be seen underlying s in the ass he other han o those in th nd from the e assets). M, the facto n the factor entity of its me and betw ll and Ross aining secu production i n corporate of macro-e n with signi n (2a) can be model-derive uld equal th diverges, a anism wher e APT mod stor locks-in tor locks-in i.e. that arb d by the m sets, with a tively overp asset that is priced. A co onsisting o oeconomic portfolio (or difference b y macroecon ageur is thus APM in that o statistical case” of the sset price, n as a “supp asset to e set’s expect nd, the CAP he APT, ari resulting m or-specific b r in questio priced fact ween econom s (1986) id urity returns index; and bonds. In p economic f ificant estim 44 e used to fin ed rate of re he expected arbitrage sho reby arbitra del, back in n a guarant n a positive bitrage by in model portfo at least one priced and s correctly orrectly pric of other corr factors as t r vice versa between ass nomic facto s in a positi t it is less re l) model of e APT in th where beta ply side” mo economic fa ted return, PM is consi ise from a m market equili betas are fo on. Unlike t tors - the nu mies. As a r dentified th s: surprises surprises in practice, ind factors, wh mation error Asian nd the expec eturn will th end of peri ould bring i ge by inves nto line with teed payoff, expected p nvestors wi olio theory. e being mis uses the p priced and ced asset in rectly price the mispric a), he has c set return an or and is the on to make estrictive in f asset retur hat the secu a is expose odel, since actors. Thu or in the dered a “de maximizati ibrium (inv ound via a the CAPM umber and n result, this i he followin in inflation n investor dices or spo ich are rep rs. Market n Journal of F cted return hen be used iod price dis it back into stors will br h its expect whereas un payoff. The ill bring ass In the APT spriced. The proceeds to uses the p n this contex d assets - w ed asset. W created a po nd portfolio erefore risk a risk-free n its assump rns. In some urities mark d to chang its beta coe s, factor sh case of sto emand side” on problem estors are c linear regre , the APT, nature of the ssue is esse g macro-ec ; surprises confidence ot or futures ported at lo indices are Finance & Ac ISSN 19 2022, Vol. 1 ajfa.macro of a portfol d to price t scounted at line. ring an asse ted price. N nder APT a APT thus set prices b T context, a e arbitrageu buy one w proceeds to xt may be i which has th When the inv osition whic o return) an free (other profit. ptions. It all e ways, the ket line repr ges in value efficients re hocks woul ocks, in th ” model. Its m of each in considered t ession of h however, d hese factors entially emp conomic fa in GDP as due to cha s market pri ow frequen sometimes ccounting 946-052X 14, No. 1 think.org/ lio given the asset t the rate et which Note that arbitrage assumes ack into arbitrage ur either which is buy the in fact a he same vestor is ch has a nd which than for lows for e CAPM resents a e of the flect the ld cause e firm’s s results, nvestor’s to be the historical does not is likely pirical in actors as indicted anges in ces may ncy (e.g. derived by mean rates; th prices; macroe Literat There i does no suggest expecte such as studies (1986), A major whether offering model r samples sufficie ability t relation check o implica assets. generat idiosyn the sens Malkam evidenc the pric Finnish ordinary problem betas fo pooled efficien Soufian London sub-sam experien procedu ns of factor he differenc gold or conomic va ture Review s abundant ot explain th ting that one ed returns. A s firm size have exam Antoniou, G r issue in th r it adequat g economic requires mo s. And the nt to assess to price ass ns between outside the ation of the Antoniou, ing process cratic return se that they mäki (1990 ce does not ce of the be h stock mar y least squa m by estima orecasted on data showe ncy of the m n (2001) in n Stock Ex mples of tim nced differ ure analysis r analysis. M ce in long-t other pre ariables. w empirical e he cross-sec e or more ad A number o and book- mined the im Garret and P he empirical ely prices th insight into ore evidenc erefore, to s the empir ets outside returns and e sample st APT is the Garrett an s for two su ns to be cor carry the sa 0) examine support the eta risk is si rket. Malka ares beta es ating firm-s n the basis o ed that the p market index nvestigated xchange, in me periods o rent econom s of Fama a More direct erm and sh ecious met evidence ind ctional expe dditional fa of studies h -to-market-v mpact of the Priestly (19 l analysis o he assets, is o the determ ce on how determine rical conten of the samp d economic tudied. Con e equality o nd Priestley ub-samples rrelated acro ame prices o ed the CA e CAPM in ignificantly amäki show stimates wh pecific beta of these esti price of con x cannot be r the validity order to e on the basis mic condit and McBeth 45 t “indices” t hort term in tal prices; dicating tha ected returns actors may b have examin value, as in macro-eco 998), and Po of any asset s that it mus minants of se different fa the econo nt of APT. T ple used for factors ma nnor and K of the price y (1998) e of assets. oss assets, t of risk in bo APM using that it sugg y negative fo wed explicitl hich are spu as using Ka imated betas nditional ris rejected, su y of CAPM explain pri that during tions (1980 h (1973) to Asian that might b nterest rates; currency/ at the sourc s, such as F be required ned the imp n Fama and onomic facto oon and Tay pricing mo st be robust ecurity retu factors expl omic factor The validity r estimation ay be spurio Korajczyk ( es of risk ac xamined th Using the e they found t oth samples time-vary gests that m for a thin Eu ly that this urious, and r alman filter s in a cross- sk is positiv upporting th M and APT cing across g each subse 0-1997). So o test the pr n Journal of F be used are: ; a diversifi /exchange e of risk in Fama and Fr to character pact of firm d French ( ors, as in C ylor (1992). del, apart fr enough wh rns. Fama ( ain pricing s, influenci y of APT a n. Fama (19 ous requirin (1992) argu cross differ he uniquen estimation m that three fa s. ying-parame market risk i uropean sto phenomen reduced the techniques -sectional an ve and that e CAPM. T for securi s time, tak et of sample oufian appl roposition t Finance & Ac ISSN 19 2022, Vol. 1 ajfa.macro : short term fied stock in rates, and ntroduced in rench (1995 rize the beh m-specific v 1992), whi Chen, Roll a from the que hilst simulta (1991) argue assets in d ing pricing also depend 991) argued ng for a rob ued that a rent sub-sam ness of the method tha actors are u eter model is not priced ock market, non is due e errors-in-v s and emplo nalysis. An t the mean-v rities traded king three d es the UK e lied the tw that at any ccounting 946-052X 14, No. 1 think.org/ m interest ndex; oil d other n CAPM 5, 1996), havior of variables ile other and Ross estion of aneously ed that a different g is not ds on its that the bustness testable mples of returns at allows unique in s. Prior d or that e.g. the to static variables oyed the alysis of variance d on the different economy wo-stage point in time the returns. Soufian relation process cross-co of the r pricing and CA Statistic and est unexpec for the univaria then sec Davidso investor candida Davidso returns, (1988) thirty s regresse “consen priced, Davidso factors internat Dash (2 found t returns signific sample explain Thus, th few use analyse process been an The pre ere is a line . n used tim nship betwe s that gen orrelation fu elation betw are sensitiv APM, it is es cally, it is p timating a cted innova input serie ate ARIMA condly filter on (2002) rs and corp ate. As Fam on examine , following calculated f stocks that ed the facto nsus” risk fa and at the on followed are extracte tional CAPM 2017) analy that there w for 93.33% cant causalit stocks con ing individu hough seve e time series es used for ses that gene nalyzed in th esent study ear and pos me series te en stock re erating the unction betw ween the inp ve to the wa ssential to u possible to o vector auto ations in the es; market A model to e ring the inp argued tha porations f ma and Fr ed whether the work factor loadi comprise th or loadings a actor: at the ten percen d a similar ed from the M beta is a ysed Grang was signific % of the s ty of stock nsidered, in ual stock re eral studies s techniques CAPM an erate the se he literature examines G sitive relatio echniques f eturns and m e series. I ween the inp put and resp ay that the u use an appro obtain the t o-regressive e economic portfolios each series put series wi at, to the e for decision rench (199 the CAPM of Born an ings on six he Dow Jo against the c e five percen nt level an a r methodol e returns dat consensus m ger causality cant bi-direc sample stoc returns with ndicating th turns, it in i address the s. As Soufia nd APT tes eries. In part e. Granger cau 46 onship betw for the pre macro-econ If an inpu nput and resp ponse series unexpected opriate met time series e model in factor. Sou and the m sufficient to ith this mod extent that n making p 7) asserted M-β is a goo nd Moser ( factors (usi ones Industr correspondi nt significan additional f logy, using ta using fac measure of y in the co ctional cau cks conside h market re hat though itself it does e empirical an (2001) h sts to be m ticular, Gra usality in th Asian ween CAPM e-whitening omic series ut series is ponse series s. Since the components thod to gene of unexpec n an attemp ufian perform acroeconom o reduce th del to get the asset prici purposes, th d, “the cho od proxy fo 1988) and ing principa rial Index i ing β's. The nce level th factor is pri an endoge ctor analysi up to four r ntext of the usality betw ered in thei eturns in eit market ret s not explai testing of t has pointed meaningful, anger causal he context n Journal of F M’s β coeffi process. B s, it is essen s auto-corr s gives a mi estimated r s are genera erate the un ted movem pt to use it med the pre mic series, e residuals e white nois ing models he CAPM oice of mo or the “true” Wei (1988) al compone in the perio ey found evi hey report th iced (Born enous APT s, and foun return gener e CAPM fo ween stock r ir study, w ther directio urns is a n n stock retu the CAPM out, in orde it is essent lity on secu of the APT Finance & Ac ISSN 19 2022, Vol. 1 ajfa.macro icient and e Before test ntial to iden related, the isleading in risk premia ated to test t nanticipated ments by ide ts residuals e-whitening by firstly f to white no se residual s s are emplo is the mos odel is imp ” factors th ). Born and ent analysis) od 1962-19 idence that hat three fac and Moser T model wh nd evidence rating factor for NSE sto returns and while there on for 6.67% necessary f urns. and the AP er for the re ntial to iden urity returns T for Indian ccounting 946-052X 14, No. 1 think.org/ expected ting the ntify the e direct ndication a in asset the APT d factors. entifying s as the g process fitting a oise, and series. oyed by st likely portant.” hat drive d Moser ) for the 982, and β 　is a ctors are r, 1988). here the that the rs. ocks. He d market was no % of the factor in PT, very gression ntify the s has not n stocks. The val from ch used in EURO/ and cru Data & The pre Indian m consiste mutual over th mutual Canara The dat values w corresp beginni “percen differen comput The obj of mutu Granger order to mutual models (a) the where returns weekly (b) the r lidity of the hanges in m the study i /INR excha ude oil price & Methodol esent study mutual fund ed of the w fund schem he period of fund schem Bank Mutu ta was coll were collec onding to ing-of-the-w ntage differ nces and lag tation in the jective of th ual fund sch r (1969), th o assess the fund schem : e unrestricte 0 ty are the of the mu average va restricted m APT in par market return include mar ange rates, i es. logy investigate d schemes weekly aver mes, and the f ninety-on mes were sel ual Fund, F ected from cted, and th Tuesday, week or end rence” base gs were com e study cons he study wa hemes and d he followin effect of th me, the Gr ed model:  e first orde tual fund s alues/varianc model:  rticular wou ns to chang rket returns interest rate es Granger c and differen rages and v weekly ave ne weeks, fr lected by co Franklin Te different o he weekly a Wednesday d-of-the-we ed on the mputed, as d sisted of ten s to investig different m ng modified e macroeco ranger caus p i t bay 1 0 0    er forward scheme, and ces of the ex p i t bay 1 0 0    47 uld imply th ges in securi (calculated es (Mumba causality be nt macroec variances of erages and v from Oct. 2 onvenience empleton M official web averages an ay, and Th ek effects. weekly av desired belo n-week lagg gate causali macroeconom d linear Gr onomic vari sality tests k j ti yb 1 0 1 0     differences d j ty are th xplanatory jj iti yb 0 00     Asian hat there sho ity returns. d from the B ai Inter-Ban etween the onomic var f NAV retu variances of 2006 throug sampling fr Mutual Fund sites. Wher nd variances hursday on The weekly erages, fro ow. The opt ed first orde ity between mic variable ranger caus able j0 on th involve the j it p i j i yb j 0     in the wee he first ord macroecono j t p i j i yb j 1 1     n Journal of F ould be som The macroe BSE-SENSE k Offer rat daily return riables. The urns of a sa f the macro gh to June from three m d, and Relia rever applic s were com nly, in ord y returns w m which f timal lag str er differenc the daily re es. For this ality tests w he NAV retu e estimation t1 , ekly NAV der forward omic variab t2 Finance & Ac ISSN 19 2022, Vol. 1 ajfa.macro me form of c economic v EX), USD/I tes), inflatio ns and vola e data for th ample of se oeconomic v 2008. The mutual fund ance Mutua cable, daily mputed using der to avo were compu first order ructure used ces of each v eturns and v purpose, fo were emplo urns/varianc n of the fo returns/vari d difference bles. ccounting 946-052X 14, No. 1 think.org/ causality variables INR and on rates, atility of he study eventeen variables sample d houses: al Fund. y closing g values oid any uted as a forward d for the variable. volatility ollowing oyed. In ce of the ollowing iance of s in the (i.e. exc The coe orders p to test t the mut If the e changes returns Analys Causal The res the sam It was scheme the sam 23.53% crude o Further, influenc Fund - variable sensitiv Banking found to of Reli changes Tax Sav SENSE sensitiv of the s Causal The res returns It was cluding the efficients a, p0 and pj are the significa tual fund sch estimated la s in the ma of the mutu is & Interp ity on retur sults of the mple mutual found that es; from cru mple scheme % of the sam il prices had , it was fou ced by the Growth Pla es. The retu ve to all of t g Fund - G o be sensiti ance Grow s in crude o ver Scheme EX. The retu ve to change ample schem ity on varia sults of the G of the samp found that particular m , bi 0, and bi j e the optima ance of the heme, the u agged coeffi acroeconom ual fund sch pretation rns Granger ca fund schem there was de oil price es; from IN mple scheme d the greate und that the macroecon an was foun urns of Relia the macroec Growth Plan ive to all th wth Fund - oil prices, M e were foun urns of Rel es in crude o mes were n ance of retu Granger cau ple mutual f there was macroecono i j are the pa al lags chos effect of th usual F-stati SSE F  icient bi j0 is mic variable heme. ausality test mes are show significant s to 35.29% NR/USD to es; and from est influence e returns of nomic varia nd to be high ance NRI E conomic va n. The retur he macroeco Growth Pl MIBOR, and nd to be sen iance Tax S oil prices an not sensitive urns usality tests fund scheme significant 48 omic variabl arameters to en by Akaik he macroeco istic as belo  UR URR MSE df SSEE (  s statisticall e j0 causes ts for the m wn in Table t causality % of the sam 17.65% of m SENSEX e on the retu f 35.29% o ables consid hly sensitiv quity Fund ariables, but rns of Frank onomic vari lan - Bonu d INR/EUR nsitive to c Saver (ELS nd INR/EU e to any of th s for the ma es are show t causality Asian le j0). o be estimat ke’s (1969) onomic var ow is employ URR dff ) . ly significan changes in macroeconom 1. from inflat mple scheme the sample X to 23.53% urns of mutu of the samp dered. The ve to change - Growth P t to a lesser klin India B iables excep s Option w RO. The retu hanges in i S) Fund - G RO. The re he macroec acroeconom wn in Table 1 from inflat n Journal of F ted in the r information iable j0 on t yed: nt, then it c n the NAV mic variable ion to 23.5 es; from MI schemes; f of the sam ual fund sch le schemes returns of es in all of t Plan were al r extent than Bluechip Fu pt for INR/E were found urns of Can inflation, cr Growth Plan turns of the onomic var mic variables 1. ion to 17.6 Finance & Ac ISSN 19 2022, Vol. 1 ajfa.macro regressions, n criterion. the NAV re can be infer returns/vari es on the re 53% of the IBOR to 23 from ISD/E mple scheme hemes. s were sign f Reliance B the macroec lso found to n those of R und - Grow EURO. The to be sens nara Rebeco rude oil pri n were foun e remaining riables cons s on the var 65% of the ccounting 946-052X 14, No. 1 think.org/ and the In order eturns of rred that iance of eturns of e sample 3.53% of EURO to es. Thus, ificantly Banking conomic o be very Reliance wth were e returns sitive to o Equity ces, and nd to be 64.71% sidered. riance of e sample scheme the sam 11.76% SENSE Further, signific of Cana macroe Bonus O to a les Franklin prices, Debt Pl The va changes Relianc Plan - returns macroe Overal It was f - Bonu Bluechi the retu of the m Discuss In recen prices a fund re scheme the mac they do minima causes potentia The res affect th would e and, on affectin es; from cru mple scheme % of the sam EX had the g , it was fou cantly influe ara Robeco conomic va Option was sser extent n India Blu MIBOR, an lan - Growt ariance of r s in MIBOR ce Media & Growth Pla of the rem conomic va l results found that th us Option, ip Fund – G urns and var macroecono sion nt times the and other un turns, chan e. The NAV cro econom o so, the fu al. Thus the the change al loss can b sults of thes he returns a enable fund n the other ng their inv de oil price es; from IN mple scheme greatest infl und that th enced by th EXPO Sch ariables. Th s also found than that o uechip Fund nd SENSEX th Option w returns of C R. The vari Entertainm an were fo maining 52.9 ariables con he returns a Reliance T Growth wer riance of ret mic variabl ere is high v nfavorable c nges in the s of many m mic variables und manage e Granger c es in the re be minimize se causality and volatili d managers r hand, wo vestments, s to 17.65% NR/USD to es; and from uence on th e variance e macroeco heme was f he variance o d to be very of Canara R d - Growth X. The vari was found to Canara Rob ances of ret ment Fund - und to be 94% of the nsidered. and varianc Tax Saver re significan turns of 35.2 les consider volatility in changes in specific var utual fund s s. By knowi er can take causality m eturns. By ed and retur y tests has i ty of partic to manage ould enable so that th 49 % of the sam 17.65% of m SENSEX he variance of returns onomic vari found to be of returns o y sensitive to Robeco EX h was found iance of retu o be sensiti beco CIGO turns of Re Growth Pl sensitive to e sample sc e of returns (ELSS) Fu ntly affecte 29% of the red. the market the market. riables caus schemes ha ing which f necessary model can a identifying rns can be m identified th cular mutua the risk pro e investors hey can tak Asian mple scheme the sample to 35.29% of returns o of 47.06% iables consi e highly sen of Reliance o all of the XPO Schem d to be sen urns of Rel ive to chang O Scheme w liance Tax lan, and Fra o changes i chemes wer s of Relianc und - Grow d by the m sample sch t due to incr . Though al se intense c ve dropped factors affec precaution ct as impor g and moni maximized. he specific al fund sche ofiles of the to underst ke more in n Journal of F es; from MI schemes; f of the sam of mutual fu of the sam dered. The nsitive to ch Growth Fu macroecon me. The vari nsitive to ch liance Regu ges in inflat was found Saver (ELS anklin India in SENSEX re not sens ce Growth F wth Plan, a acroeconom emes were n rease in infl ll these vari change in re due to unfa ct a scheme s so that th rtant tool in itoring the macroecono emes, which eir portfolio tand the sp nformed inv Finance & Ac ISSN 19 2022, Vol. 1 ajfa.macro IBOR to 23 from ISD/E mple scheme und schemes mple schem variance of hanges in a und - Growt nomic variab iance of re hanges in c ular Savings tion and IN to be sens SS) Fund - a Index Fun X. The vari sitive to any Fund - Grow and Frankli mic variable not sensitiv flation and c iables affect eturns of a avorable ch e and to wha he damage n finding o causes of omic factor h, on the on os more effe pecific risk vestment d ccounting 946-052X 14, No. 1 think.org/ 3.53% of EURO to es. Thus, s. mes were f returns ll of the th Plan - bles, but eturns of crude oil s Fund - NR/USD. sitive to Growth, nd - BSE iance of y of the wth Plan in India es. Also, ve to any crude oil t mutual specific anges in at extent done is out what returns, rs which ne hand, ectively; k factors decisions pertaini There w collecte weeks o were no results not sen macroe and var Referen Antonio pervasiv Empiric Born, J Journal Chen, N Busines Connor Models School Dash, M Manage Davidso Explain 26(1), 1 Fama, https://d Fama, Returns https://d Fama, E 51(5), 1 Fama, E Politica Malkam a Thin S ing to mutua were severa ed from dif only, due to ot exhaustiv show that t nsitive to an conomic va riance of ret nces ou, A., Gar ve risk fact cal Finance J.A., and M l of Financi N-F, Roll, R ss, 59, 383-4 r, G., and K s of Asset R of Econom M. (2017). ement, 11(4 on, S., Faff ned by a Si 17-32. https E. (1991) doi.org/10.1 E., and Fr s. doi.org/10.1 E., and Fren 147-158. htt E.F., and M al Economy, mäki, M. (19 Stock Mark al funds. al limitation fferent offic availability ve; some va the returns a ny of the m ariables sho turns. rrett, I., an tors and the e, 5(3), 221- Moser, J.T. ( ial Services R. and Ross 403. https:// Korajczyk, Returns. LSE mics. A Study o 4), 61-68. ht f, R., and M ingle or Mu ://doi.org/1 . Efficient 1111/j.1540- rench, K.R. Journal 1111/j.1540- nch, K.R. ( tps://doi.org McBeth, J.D. , 81, 607-63 990). In the ket. Bank of ns inherent i cial website y of data. ariables we and varianc macroecono ould also be nd Priestely, e empirical -240. https:/ (1990). Ban Research, 4 , R. (1986) /doi.org/10. R.A. (199 E Financial on Granger tps://doi.org Mitchell, H. ulti-factor S 0.1080/108 Capital M -6261.1991 (1995). S of -6261.1995 1996). The g/10.1111/j. (1973). Ris 36. https://d Defense of f Finland Wo 50 in the study e. Secondly Also, the m ere excluded ce of return omic variab e considere y, R. (1998) l content of //doi.org/10 nk equity r 4(3), 223-24 . Economic .1086/29634 92). The Ar l Markets G r Causality g/10.26634/ . (2002). A Structure? S 00379.2002 Markets: II .tb04636.x Size and Bo F .tb05169.x CAPM Wa 1540-6261. sk, return a doi.org/10.1 f the CAPM Working Pape Asian y. Firstly, th y, the resear macroeconom d due to in s of 35.29% bles conside d to explain ). Macroeco f the arbitra 0.1016/S092 returns and 41. https://d c forces and 44 rbitrage Pri Group Discu in the CA /jmgt.11.4.1 Are Returns Studies in E 2.12106323 I. Journal ook-to-Mark Finance, anted, Dead 1996.tb052 nd equilibr 086/260061 M: Evidence ers. n Journal of F he data was rch period w mic variable nadequacy o % of the sam ered. This s n mutual fu onomic var age pricing 27-5398(97) changes in doi.org/10.1 d the stock m icing Theor ussion Pape APM. i-Man 13452 in the Inter Econometric of Financ ket Factors 50, d or Alive. J 233.x ium: empiri 1 Using Tim Finance & Ac ISSN 19 2022, Vol. 1 ajfa.macro entirely sec was for nin es used in th of data. In mple schem suggests th und scheme riables as c theory. Jo )00019-4 n the discou 1007/BF003 markets. Jo ry and Mu er No. 149, nager's Jou ernational E ics and Eco ce, 5, 157 s in Earnin 1 Journal of F ical test. Jo me-Varying B ccounting 946-052X 14, No. 1 think.org/ condary, nety-one he study fact, the mes were hat other e returns common urnal of unt rate. 365424 ournal of ultifactor London urnal on Economy onomics, 75-1617. ngs and 131-155. Finance, ournal of Betas on Poon, S of https://d Ross, S 13(3), 3 Ross, S Balling Soufian Pricing Working Wei, J. 43(4), 8 Table 1 mutual Canara Saver Sch Canara R Canara R Canara Equities S Canara Scheme Canara R Canara R Scheme Reliance Fund-Gro Reliance Sector Fu S., and Tayl Business doi.org/10.1 S., (1976). T 341-360. htt S., (1977). R ger. n, N. (2001) Theory (A g Paper Ser (1988). An 881-892. htt 1. Granger c fund schem Robeco Equ heme Robeco Income Robeco CIGO S Robeco E Scheme Robeco Gil Robeco EXPO Robeco Infras owth Plan Diversified und-Growth lor, S.J. (19 Fina 1111/j.1468- The Arbitrag tps://doi.org Return, Risk ). Empirical APT) Acros ries, WPS01 n Asset Pric tps://doi.org causality te mes I uity Tax e Scheme Scheme Emerging lt PGS Scheme structure Banking Power 91). Macro ance -5957.1991 ge Theory of g/10.1016/0 k and Arbit Content of ss Time. M 10 cing Theory g/10.1111/j. ests for mac INFLATION 4.7393 0.0246 2.4280 0.1243 1.3131 0.3701 0.6915 0.7196 0.6915 0.7196 0.2967 0.9645 2.7058 0.0982 17.5927 0.0005 1.2225 51 oeconomic f and A .tb00229.x of Capital A 0022-0531(7 trage. Risk f Capital As Manchester M y Unifying t 1540-6261. croeconomi CRUDE PRICE 4.9543 0.0218 1.9407 0.1944 0.6839 0.7249 0.5164 0.8427 0.0514 1.0000 0.4479 0.8874 2.6237 0.1051 21.971 0.0002 2.3401 Asian factors and Accounting sset Pricing 76)90046-6 and Return sset Pricing Metropolita the CAPM 1988.tb026 ic variables OIL ES MIB 3 1.9 8 0.1 7 1.1 4 0.4 9 0.7 9 0.6 4 0.7 7 0.6 4 0.8 0 0.5 9 0.3 4 0.9 7 2.8 1 0.0 4 15.7 2 0.0 1 1.4 n Journal of F the UK sto g, 18( g. Journal of n in Finance Model (CA an Universit and APT. J 610.x on the retu BOR INR USD 236 2.09 976 0.16 475 1.18 431 0.42 292 0.38 931 0.92 825 1.54 565 0.28 882 1.33 873 0.36 424 0.47 452 0.86 582 3.51 868 0.05 7508 16.5 5 007 0.00 984 1.74 Finance & Ac ISSN 19 2022, Vol. 1 ajfa.macro ock market. (5), 6 of Economic e, Cambridg APM) and A ity Business Journal of F turns of the R/ D INR/ EURO 903 3.5822 686 0.0507 803 2.4938 275 0.1174 828 0.6042 251 0.7815 445 1.1641 895 0.4351 05 1.3421 632 0.3588 763 0.1417 693 0.9976 55 3.0850 531 0.0728 522 19.2605 006 0.0003 463 1.7005 ccounting 946-052X 14, No. 1 think.org/ Journal 619-636. c Theory, dge, MA: Arbitrage s School Finance, e sample SENS EX 3.7419 0.0455 2.8677 0.0862 0.9311 0.5608 0.6613 0.7409 0.7357 0.6886 0.6131 0.7752 1.4432 0.3220 5 20.301 7 0.0003 1.1786 Franklin Fund-Gro Reliance Fund-Gro Reliance Fund-Gro Reliance Fund-DE Option Reliance Plan-Bon Reliance Entertain Plan Franklin BSE Plan Franklin Dividend Table 2 sample Canara R Scheme Canara R Canara R Canara R Scheme India B owth Tax Saver owth Plan NRI owth Plan Regular EBT PLAN Growth Fund nus Option Media nment Fund India Index n - Growth Plan FMCG F . Granger c mutual fun Robeco Equity Robeco Income Robeco CIGO S Robeco Emerg Bluechip (ELSS) Equity Savings N-Growth d-Growth & d-Growth Fund - n Fund - ausality tes nd schemes y Tax Saver e Scheme Scheme ging Equities 0.4083 6.1427 0.0120 3.1183 0.0709 6.9921 0.0082 0.0927 0.9996 3.3365 0.0604 1.7741 0.2290 1.4091 0.3339 1.2576 0.3930 ts for macro INFLATION 0.3267 0.9523 0.2600 0.9768 1.4989 0.3036 0.7012 52 0.1342 9.7506 0.0030 4.3409 0.0310 6.5665 0.0099 1.5775 0.2797 4.3332 0.0312 1.8189 0.2190 1.2291 0.4054 1.1241 0.4546 oeconomic N CRUDE PRICE 0.242 0.981 0.346 0.943 3.123 0.070 1.183 Asian 2 0.3 6 6.1 0 0.0 9 2.8 0 0.0 5 4.8 9 0.0 5 0.4 7 0.9 2 3.6 2 0.0 9 1.5 0 0.2 1 0.5 4 0.8 1 1.0 6 0.4 variables on E OIL ES MI 25 0.3 17 0.9 68 0.2 32 0.9 35 7.8 07 0.0 36 1.2 n Journal of F 038 0.23 239 6.45 121 0.01 004 3.114 909 0.07 733 6.01 228 0.01 081 1.31 111 0.37 195 3.28 494 0.06 614 1.71 845 0.24 072 1.77 490 0.22 456 1.01 953 0.51 n the varian IBOR INR USD 3200 0.422 9552 0.902 2094 0.18 9891 0.99 8565 1.64 0058 0.26 2637 0.96 Finance & Ac ISSN 19 2022, Vol. 1 ajfa.macro 54 0.2466 545 2.7645 04 0.0936 47 5.1817 711 0.0193 78 6.0872 27 0.0123 01 0.6778 713 0.7293 829 4.9135 628 0.0223 11 1.9150 439 0.1993 780 0.6678 281 0.7364 04 1.0983 47 0.4676 nce of return R/ D INR/ EURO 228 0.3901 025 0.9211 38 0.2725 933 0.9730 474 2.3218 603 0.1364 697 1.6649 ccounting 946-052X 14, No. 1 think.org/ 0.4283 6.2746 0.0113 2.9805 0.0789 5.1170 0.0200 1.0617 0.4866 2.9372 0.0816 1.7313 0.2390 1.0540 0.4907 1.2679 0.3887 ns of the SENS EX 3.3395 0.0602 0.1823 0.9935 2.4939 0.1174 2.3853 Canara R Canara R Canara Scheme Reliance Plan Reliance Fund-Gro Franklin Fund-Gro Reliance Fund-Gro Reliance Plan Reliance Fund-DE Option Reliance Plan-Bon Reliance Fund-Gro Franklin Plan - Gr Franklin Robeco Gilt PG Robeco EXPO Robeco In Banking Fu Diversified P owth India owth Tax Save owth Plan NRI Equity Fu Regular EBT PL Growth Fu nus Option Media & En owth Plan India Index F rowth Plan FMCG Fund - GS Scheme Scheme nfrastructure und-Growth ower Sector Bluechip er (ELSS) und-Growth Savings LAN-Growth und-Growth ntertainment Fund - BSE - Dividend 0.7127 0.6524 0.7473 36.9978 0.0000 0.3531 0.9402 0.3707 0.9314 0.7709 0.6643 2.2005 0.1522 1.6398 0.2623 0.3739 0.9297 4.8952 0.0225 12.9000 0.0013 1.2061 0.4156 1.0489 0.4935 0.1722 0.9948 53 0.426 0.962 0.542 29.15 0.000 0.614 0.774 0.385 0.923 0.998 0.521 4.580 0.026 2.887 0.084 0.329 0.951 1.899 0.202 12.26 0.001 1.873 0.207 1.498 0.303 0.164 0.995 Asian 60 0.3 23 0.5 23 0.8 19 21 01 0.0 46 0.3 42 0.9 58 0. 34 0.9 83 0.8 15 0.6 09 3.8 69 0.0 70 1.7 49 0.2 91 0.3 12 0.9 95 1.7 23 0.2 48 7.4 15 0.0 30 0.8 76 0.6 85 1.2 38 0.3 48 0.2 56 0.9 n Journal of F 3904 0.53 5152 0.64 8436 0.74 .2693 33.3 5 0002 0.00 3961 0.41 9178 0.90 1781 0.40 9941 0.912 8439 0.632 6156 0.76 8785 1.754 0415 0.23 7719 0.90 2295 0.574 3729 0.44 9303 0.89 7883 3.99 2257 0.03 4732 5.77 0068 0.014 8656 0.99 6016 0.522 2616 2.27 3913 0.14 2422 0.19 9818 0.99 Finance & Ac ISSN 19 2022, Vol. 1 ajfa.macro 79 0.2557 491 0.3079 496 0.9602 61 42.5728 001 0.0000 77 0.3580 055 0.9378 060 0.1899 22 0.9924 27 0.3986 613 0.9165 44 0.9903 35 0.5260 081 1.2838 749 0.3820 410 0.4542 916 0.8834 916 3.0896 86 0.0725 736 5.3781 43 0.0174 970 1.2024 222 0.4173 788 0.9953 418 0.5232 955 0.2199 916 0.9870 ccounting 946-052X 14, No. 1 think.org/ 0.1290 1.0562 0.4896 37.088 6 0.0000 1.9913 0.1851 0.4230 0.9024 1.5643 0.2836 94.087 9 0.0000 4.8563 0.0230 1.8096 0.2210 3.1104 0.0714 21.737 0 0.0002 21.737 0 0.0002 449.70 40 0.0000 0.4608 0.8792