Autoregressive Distributed Lag Approach for Estimating the Nexus between Net Asset Value of Mutual Fund and Economic Determinants in India

  • Sathish PACHIYAPPAN School of Business and Management, CHRIST (Deemed to be University), Bangalore, India
  • Ankita SHRIVASTAVA School of Business and Management, CHRIST (Deemed to be University), Bangalore, India
  • V John Paul RAJ School of Business and Management, CHRIST (Deemed to be University), Bangalore, India
  • Saravanan VELLAIYAN School of Business and Management, CHRIST (Deemed to be University), Bangalore, India


India has seen a phenomenal growth in cumulative mutual fund investment from Rs 7.93 trillion in 2012 to Rs 40.38 trillion in 2022, which is more than a five-fold increase since last 10 years. Retail investors are now realizing the power of savings and Systematic Investment Plans (SIP) to build long term wealth. A financial literacy wave which is sweeping across India has projected mutual funds as a significant contributor and beneficiary of this phenomenon. The evolving economic landscape of India provides investors with excellent opportunities to capitalize on these fluctuations through systematic investment in safe investment vehicles like mutual funds. The market associated with mutual funds is always subjected to economic risks. The erratic fluctuations in macroeconomic variables can largely explain the Volatility in Net Asset Value (NAV) of equity oriented mutual fund schemes. With this background, this paper examines the impact of select macroeconomic variables on mutual funds’ performance in India. To analyse this, monthly observations of select macroeconomic variables, average NAV of large cap, mid cap, and small cap funds collected for a period of 10 years starting from January 2013 to November 2022. Descriptive statistics is used to probe the characteristics of the variable. In addition, correlation and ordinary least square method is applied to check the existing relationship and impact level of macroeconomic factors on NAV of select schemes. Lastly, short and long run relationship is analysed using Autoregressive Distributed Lag Model (ARDL).


[1] Ansari, W., and Sohaib-Uz-Zaman. 2020. Macroeconomic Factors Influencing the Growth of Mutual Fund Industry in Pakistan: A Regression Analysis of ten Years. International Review of Management and Business Research, 10(3). DOI:
[2] Babu, A. S., M, J., Konnur, N. P., and Bose, B. P. 2021. A Study on Analysis of Factors Affecting Debt Mutual Fund Performance in India. Annals of the Romanian Society for Cell Biology, 25(6): 1156–1171. Available at:
[3] Barakat, M. R., Elgazzar, S. H., and Hanafy, K. M. 2015. Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets. International Journal of Economics and Finance, 8(1): 195. DOI:
[4] Dash, M., and G., D. K. 2008. A Study on the Effect of Macroeconomic Variables on Indian Mutual Funds. SSRN Electronic Journal. DOI:
[5] Elton, E. J., Gruber, M. J., & de Souza, A. 2019. Passive mutual funds and ETFs: Performance and comparison. Journal of Banking &Amp; Finance, 106: 265–275. DOI:
[6] Gusni, Silviana, and Hamdani, F. 2018. Factors affecting equity mutual fund performance: evidence from Indonesia. Investment Management and Financial Innovations, 15(1): 1–9. DOI:
[7] Gyamfi Gyimah, A., Addai, B., and Asamoah, G. K. 2021. Macroeconomic determinants of mutual funds performance in Ghana. Cogent Economics &Amp; Finance, 9(1). DOI:
[8] Hsing, Y. 2011. The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications. International Journal of Economics and Financial Issues, 1(1): 12–18. Available at:
[9] Ioannidis, C., and Kontonikas, A. 2006. Monetary Policy and the Stock Market: Some International evidence. Research Papers in Economics. Available at:
[10] Joshi, P., and Giri, A. K. 2015. Cointegration and Causality between Macroeconomic variables and Stock Prices: Empirical Analysis from Indian Economy. Business and Economic Research, 5(2): 327. DOI:
[11] Kariuki, E. 2013. Effect of macroeconomic variables on financial performance of mutual funds industry in Kenya. University of Nairobi. Retrieved October 11, 2022, from
[12] Kumar Naik, P. 2011. Does Stock Market Respond to Economic Fundamentals? Time series Analysis from Indian Data. Journal of Applied Economics and Business Research, 3(1).
[13] Nkwede, F. E. 2020. Macroeconomic Determinants of Bond Market Development: Evidence from Nigerian. International Journal of Development and Management Review, 15(1).
[14] Ouma, W. N., Kenya, N., and Muriu, P. 2014. The impact of macroeconomic variables on stock market returns in KENYA. International Journal of Business and Commerce, 3(11).
[15] Panigrahi, A., Karwa, P., and Joshi, P. 2020. Impact of Macroeconomic Variables on the Performance of Mutual Funds: A Selective Study. Journal of Economic Policy and Research, 15(1).
[16] Pradhan, R. P., Arvin, M. B., and Ghoshray, A. (2015). The dynamics of economic growth, oil prices, stock market depth, and other macroeconomic variables: Evidence from the G-20 countries. International Review of Financial Analysis, 39: 84–95. DOI:
[17] Sahoo, M., and Sahoo, J. 2019. The relationship between unemployment and some macroeconomic variables: Empirical evidence from India. Theoretical and Applied Economics.
[18] Sharma, K. 2020. Performance Analysis of Mutual Fund: A Comparative Study of the Selected Debt Mutual Fund Scheme In India. A Global Journal of Interdisciplinary Studies. DOI:
[19] Sharma, P. 2019. Identification of Factors Influencing Investors’ Perception towards Investment in Mutual Fund. Journal of Commerce & Accounting Research, 8(3).
[20] Sharma, R., Kautish, P., and Kumar, D. S. 2018. Impact of Selected Macroeconomic Determinants on Economic Growth in India: An Empirical Study. Vision: The Journal of Business Perspective, 22(4): 405–415.DOI:
[21] Singh, P. 2014. An empirical relationship between selected Indian stock market indices and macroeconomic indicators. International Journal of Research In Business Management, 2(9).
[22] Ullah, F., and Rauf, A. 2011. Impacts of Macroeconomic Variables on Economic Growth: A Panel Data Analysis Of Selected Asian Countries. International Journal of Information, Business and Management, 5(2).
[23] Yadav, Srinivas, C., Sudhakar, A., and Kumar, S. 2016. The impact of macroeconomic factors on the performance: a study of selected equity oriented mutual funds in India. Journal of Economic Policy and Research, 11(2).
How to Cite
PACHIYAPPAN, Sathish et al. Autoregressive Distributed Lag Approach for Estimating the Nexus between Net Asset Value of Mutual Fund and Economic Determinants in India. Theoretical and Practical Research in Economic Fields, [S.l.], v. 14, n. 1, p. 186 - 201, june 2023. ISSN 2068-7710. Available at: <>. Date accessed: 03 oct. 2023. doi: