AMBER – ABBS Management Business and Entrepreneurship Review

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This paper analyses the impact of monthly changes in EPU index of India (constructed by Baker, Bloom and Davis in 2012) on the BSE Healthcare Index returns that is representative and consists primarily of the pharma sector stocks. Impulse Response Analysis is carried out to determine the response of BSE Healthcare Index returns to the shocks in the EPU Index.

The paper has the objective to find out if there is a causal relationship between EPU index and the returns on the BSE Healthcare Index. The results show that there is evidence of a causal relationship between EPU index and the returns on BSE Healthcare Index as seen from the results of the Granger Causality tests and the Impulse Response Function analysis.


Keywords

Economic Policy Uncertainty, Granger Causality, Impulse Response, Robust Regression, Causal, Vector Autoregression, Co-Integration.
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