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- W4372347570 abstract "The present paper examines the impact of the exchange rate and inflation rate on volatility in market returns dynamics. The paper used annual inflation and exchange rate data from RBI. The market returns have been computed from January 2000 to June 2020 and also the data taken from the stock market index. The study used the autoregressive distributed lag (ARDL), GARCH and the corresponding Error Correction Model (ECM) used for the investigation of the effect on stock market returns volatility. Further, the paper determines the long- and short-run relationship between the stock market returns and exchange rate similarly, the stock market returns and rate of inflation. The outcome of the research shows that there is exist a significant relationship in long term between market returns and rate of exchange and the short-run term relationship shows the negative effects on the stock market returns. The originality of the paper is that for the long memory and the property of variables exits to determine the significant value and, making it a desirable feature of which investors can take advantage." @default.
- W4372347570 created "2023-05-07" @default.
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- W4372347570 date "2023-05-05" @default.
- W4372347570 modified "2023-10-16" @default.
- W4372347570 title "Effect of Exchange Rate volatility and inflation on stock market returns Dynamics - evidence from India" @default.
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- W4372347570 doi "https://doi.org/10.1007/s13198-023-01914-3" @default.
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