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This research paper has analyzed the spillover of BSE stock returns by the regime of macroeconomic variables. The study selected sample macroeconomic indicators such as FII, IFT, M3, Production Index and WPI from the period of 1-01-2010 to 31.12.2019 from the RBI website and www.bseindia.com. The study employed statistical tools such as Descriptive statistics, Correlation, Granger causality test and VECM. The research paper found that the selected macroeconomic variables were partial normally distributed and the risk was related high rather than returns during the study period. The VECM revealed that the movement of BSE Sensex variables in a study was connected to the previous period's gap from the output of the long-run equilibrium. This explicit the short-run relationship among the selected series during the study period and also the selected macroeconomic variables were not significantly caused the BSE Sensex returns. This study suggested that the investor’s community of manufacturing sectors should need to consider these macroeconomic variables before building the investment strategy and also the results would support the policymakers.
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