A wide number of investigations have been made to identify the factors determining stock prices. All those investigations are, however, based on the single equation technique, where explanatory variables are treated as exogenous. The present study formulates a simultaneous equation model to explore inter connections between the explanatory variables. The model links up stock market with the product market, and the proposed model is empirically verified for the Indian cement industry. Panel data have been considered for that purpose. Empirical results support the model and establish the linkage between the stock market and the product market.

1. Ahmed, S. (2008). “Aggregate Economic Variables and Stock Market in India”. International Research Journal of Finance and Economics, Issue no.14, pp. 141-164.
2. Bhattacharya, B., Mukherjee, J (2002). “The Nature of the causal Relationship between Stock Market and Macroeconomic Aggregates in India: An Empirical Analysis”, Paper Presented in the 4th Annual Conference on Money and Finance, Mumbai, India.
3. Biswas, J. (2006). “Indian Stock Market in Comparison”. Economic and Political Weekly, Vol. XLI, No. 18, pp. 1747-1752.
4. Bodie, Z. (1976). “Common Stocks as a Hedge Against Inflation”. Journal of Finance, Vol. 31, pp. 459-470.
5. Chakrabarty, I. (2006). “Capital Inflows During the Post-Liberalization Period”. Economic and Political Weekly, Vol. XLI, No. 2, pp. 143-150.
6. Chakrabarti, R. (2001). “FII Flows to India : Nature and Causes”. Money and Finance, Vol. 2, No. 7.
7. Chen, N. et. Al. (1986). “Economic Forces and the Stock Market”. The Journal of Business, Vol. 59, No. 3, pp. 383-403.
8. Errunza, V. and Hogan, K. (1998). “Macroeconomic Determinants of European Stock Market Volatility”. European Financial Management, Vol. 4, No. 3, pp. 361-377.
9. Fama, E, F. (1981). “Stock Returns, Real Activity, Inflation and Money”. American Economic Review, Vol.71, pp. 545-565.
10. Fama, E, F. and Schwert, W. (1977). “Asset Returns and Inflation”. Journal of Financial Economics, Vol. 5, pp. 115-146.
11. Garai, S. (1995). “Studies on Share Price Behaviour”. Finance India, Vol. IX, No. 2, pp. 356-386.
12. Gujrati, D. N. (2003). 'Basic Econometrics'. Tata McGraw Hill, New Delhi.
13. Harkavy, O. (1953). “The Relation between Retained Earnings and Common Stock Prices for Large Listed Corporations”. The Journal of Finance, Vol. 8, No. 3, pp. 283-297.
14. Ibrahim, M, H. (1999). “Macroeconomic Variables and Stock Prices in Malayasia : An Empirical Analysis”. Asian Economic Journal, Vol. 13, No. 21.
15. Jaffe, J, F. and Mandelker, G. (1977). “The Fisher Effect for Risky Assets : An Empirical Investigation”. Journal of Finance, Vol. 32, pp. 447-458.
16. Jain, P, C.(1988). “Response of Hourly Stock Prices and Trading Volume to Economic News”. Journal of Business, Vol. 61, pp. 219-231.
17. Karmakar, M. (2006). “Stock Market Volatility in the Long Run, 1961-2005”. Economic and Political Weekly, Vol. XLI, No.18, pp. 1796-1802.
18. Kraft, J. and Kraft, A. (1977). “Determinants of Common Stock Prices : A Time Series Analysis”. Journal of Finance, Vol. 32, No. 2, pp. 417-425.
19. Kumar, S. and Manmohan (1975). “Determinants of Share Prices in India”.Indian Economic Journal, July-September, pp. 23-27.
20. Kwon, C. S. et. al. (1999). “Cointegration and Causality between Macroeconomic Variables and Stock Market Returns”. Global Finance Journal, Vol. 10, No. 1, pp. 71-81
21. Linter, J. (1973). “Inflation and Common Stock Prices in a Cyclical Context”.National Bureau of Economic Research Annual Report, New York.
22. Mahapatra, R. P. and Sahu, P. K. (1993). “Behaviour of Equity Share Prices in India – A Micro Time-Series Study”. Finance India, Vol. VII, No. 3, pp. 573-586.
23. Mayasami, R. C. and Koh, T. S. (2000). “A Vector Error Correction Model of the Singapore Stock Market”. International Review of Economics and Finance, Vol. 9, pp. 79-96.
24. Nelson, C. R. (1976). “Inflation and Rates of Return on Common Stocks”. Journal of Finance, Vol. 31, pp. 471-483.
25. Oudet, B. A. (1973). “The Variation of the Returns on Stock in Periods of Inflation”. Journal of Financial and Quantitative Analysis, Vol. 8, pp. 247-258.
26. Pearce, D. K. and Roley, V. V. (1985). “Stock Prices and Economic News”.Journal of Business, Vol. 58, pp. 49-67.
27. Pethe, A. and Karnik, A. (2000). “Do Indian Stock Markets Matter? Stock Market Indices and Macroeconomic Variables”. Economic and Political Weekly, 35(5), pp. 349-356.
28. Rai, K. and Bhanumurthy, N. R. (2004). “Determinants of Foreign Institutional Investment in India : The Role of Return, Risk and Inflation”.The Developing Economies, Vol. XLII, No. 4, pp. 479-493.
29. Rakshit, M. (2006). 'Money and Finance in the Indian Economy'. Oxford University Press, New Delhi.
30. Ray, P. and Vani, V. (2003). “What Moves Indian Stock Market: A Study on the Linkage with Real Economy in the Post-Reform Era”, Retrieved on January 20, 2009, <a href=http://oii.igidr.ac.in target="_blank">http://oii.igidr.ac.in</a>.
31. Sen, P. (2006). “Flawed Analytics”. Economic and Political Weekly, Vol. XLI, No. 2, pp. 99-100.
32. Sharma, S. and Singh, B. (2007). “Macroeconomic Variables and Stock Index in India : An Empirical Analysis”. Artha Vijnana, Vol. XLIX, No. 2, pp. 103-120.
33. Tsoukalas, D. and Sil, S. (1999). “The Determinants of Stock Prices : Evidence from the United Kingdom Stock Market”.Managerial Research News, Vol. 22, No. 5.
34. Vasudevan, A. (2006). “A Note on Portfolio Flows into India”. Economic and Political Weekly, Vol. XLI, No. 2, pp. 90-92.
35. Zahir, M. A. and Khanna, Y. (1992). “Determinants of Stock Prices in India”. The Chartered Accountant, Vol. 30, No. 8, pp. 521-523.