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On the relationship between stock prices and exchange rates for India

journal contribution
posted on 2009-06-01, 00:00 authored by Paresh Narayan
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.

History

Journal

Review of Pacific Basin financial markets and policies

Volume

12

Issue

2

Pagination

289 - 308

Publisher

World Scientific Publishing Co Pty. Ltd.

Location

Singapore

ISSN

0219-0915

eISSN

1793-6705

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

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