  The objective of this paper is to find the existence of a relationship
between stock market prices and the fundamental macroeconomic indicators. We
build a Vector Auto Regression (VAR) model comprising of nine major
macroeconomic indicators (interest rate, inflation, exchange rate, money
supply, gdp, fdi, trade-gdp ratio, oil prices, gold prices) and then try to
forecast them for next 5 years. Finally we calculate cross-correlation of these
forecasted values with the BSE Sensex closing price for each of those years. We
find very high correlation of the closing price with exchange rate and money
supply in the Indian economy.
