On the relationship between stock prices and exchange rates for India

Narayan, Paresh Kumar 2009, On the relationship between stock prices and exchange rates for India, Review of Pacific Basin financial markets and policies, vol. 12, no. 2, pp. 289-308.

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Title On the relationship between stock prices and exchange rates for India
Author(s) Narayan, Paresh Kumar
Journal name Review of Pacific Basin financial markets and policies
Volume number 12
Issue number 2
Start page 289
End page 308
Publisher World Scientific Publishing Co Pty. Ltd.
Place of publication Singapore
Publication date 2009-06
ISSN 0219-0915
1793-6705
Keyword(s) EGARCH
depreciation
appreciation
volatility
stock returns
Summary In this paper, we apply several variants of the EGARCH model to examine the role of depreciation of the Indian rupee on India's stock market returns using daily data. Our findings suggest that volatility persistence has been high; depreciation of the rupee has increased volatility; and asymmetric volatility confirms that negative shocks generate more volatility than positive shocks. We also find that an appreciation of the Indian rupee over the 2002 to 2006 has generated more returns and less volatility.
Language eng
Field of Research 149999 Economics not elsewhere classified
Socio Economic Objective 910104 Exchange Rates
HERDC Research category C1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30023778

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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