Analysing the Impact of Global Market Indicators on Nifty 50: Evidence from Quantile Regression
Arup Bramha Mohapatra
*
P.G Department of Commerce, Berhampur University, Berhampur, Odisha, India.
Venkateswara Rao Bhanotu
Department of Commerce, Guru Ghasidas Vishwavidyalaya (Central University), Bilaspur, Chattisgarh, India.
*Author to whom correspondence should be addressed.
Abstract
This study inspects how selected five global market indicator such as the Dow Jones Industrial Average, WTI crude oil prices, gold prices, the U.S. 10-year Treasury yield, and the Dollar Index influence India’s Nifty 50 index across the return distribution. Using 1,512 weekly observations spanning November 1995 to October 2024, we employ quantile regression to capture heterogeneous effects across nine quantiles (τ = 0.1 to 0.9), addressing issues of non-normality and heteroscedasticity that traditional OLS methods fail to resolve. The Dow Jones displays a strong and statistically significant influence on Nifty 50 returns across all quantiles, endorsing global equity interdependence. Gold and U.S. bond yields have varying degrees of impact across the quantile spectrum, while the Dollar Index exerts mixed, mostly negative effects. Notably, WTI crude oil displays no statistically significant impact across any quantile. By offering a long-horizon, distribution-aware analysis, this research enhances understanding of how global shocks transmit to Indian equity markets. The findings provide insights for investors managing exposure in emerging markets and for policymakers aiming to strengthen financial market resilience against external shocks.
Keywords: Financial markets, global market, quantile regression, nifty 50