STOCK MARKET REACTIONS ON EXCHANGE RATE VOLATILITY: AN INDIAN EXPERIENCE
Journal: INTERNATIONAL JOURNAL OF RESEARCH -GRANTHAALAYAH (Vol.8, No. 9)Publication Date: 2020-09-30
Authors : Lyn Rose; Nithin Jose;
Page : 256-265
Keywords : Exchange Rates; Nifty Return; Stock Market; Causality; VECM;
Abstract
This paper looks at the relationship between Nifty returns and US Dollar - Indian Rupee Exchange Rates. The study looks into the causal relationship between Nifty returns and exchange rate using Granger Causality test. It took daily data covering the period from January, 2009 to June, 2019. In this study, it was found that both variables were non– normally distributed. With the help of Unit Root Test, it was also verified that Nifty returns as well as Exchange rate, were stationary at the first difference form. Using Granger Causality test it is proved there was a bidirectional relationship between Nifty returns and Exchange rates. From the further investigation it is evident there is a causality running from exchange rate return to stock market return. Finally, employing impulse response function it found that there is a negative relationship among the variables.
Other Latest Articles
- Evaluation of Antioxidant Acitivity of Eisenia fetida
- BIOMEDICINES-CINA AGAINST COVID-19: CONTROLLED PLANT DISEASES ENRICHED SCIENCE AND TECHNOLOGY COMMUNICATION GREEN ECONOMY
- Toxic Effects of Paper Mill Effluents on Mortality, Behaviour and Morphology of Snake Headed Fish, Channa punctatus (Bloch.)
- INTRODUCING CRYSTALLIZATION BACKWARD SUCTION TRAPPING LIPIDS AND DEBRIS AS PROPOSED ADDITIONAL FACTOR IN THE GENESIS OF CORONARY ARTERY DISEASE
- Zooplankton Diversity in Sathanur Reservoir of Thiruvannamalai (Tamilnadu), India
Last modified: 2020-10-16 21:21:54