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- W7701428 abstract "This study empirically determines the causal relation between the stock price and exchange rate in India. We used daily data since the use of monthly data may not be adequate to capture the effects of short term capital movements. Having established the stationarity condition of each series using ADF, PP and KPSS unit root tests, the causal linkages were examined using the Granger non-causality test prescribed by Toda and Yamamoto (1995). The study found that, there exists unidirectional causality from exchange rate to stock price in the India over the period 2004 to 2011. Johansen and Juselius (JJ) cointegration result shows that there is long run relationship between stock prices and exchange rates. The study suggests that the relationship between equity returns and exchange rate movements may be used to hedge their portfolios against currency movements. Additionally, risk management must take into consideration that these markets are correlated." @default.
- W7701428 created "2016-06-24" @default.
- W7701428 creator A5063992321 @default.
- W7701428 date "2011-01-01" @default.
- W7701428 modified "2023-09-28" @default.
- W7701428 title "DYNAMIC RELATIONSHIP BETWEEN EXCHANGE RATES AND STOCK PRICES: EMPIRICAL EVIDENCE FROM INDIA" @default.
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