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, doi: 10.1142/S0219091509001630.

Attached Files
Name Description MIMEType Size Downloads

Title On the relationship between stock prices and exchange rates for India
Author(s) Narayan, Paresh KumarORCID iD for Narayan, Paresh Kumar orcid.org/0000-0001-7934-8146
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
Keyword(s) EGARCH
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
DOI 10.1142/S0219091509001630
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
Connect to link resolver
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 10 times in TR Web of Science
Scopus Citation Count Cited 10 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 948 Abstract Views, 2 File Downloads  -  Detailed Statistics
Created: Fri, 19 Feb 2010, 10:04:12 EST by Katrina Fleming

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.