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Study on Relationship between Exchange Rate Return and Various Stock Indices Returns

Publication Type : Conference Paper

Publisher : 2017 International Conference on Data Management, Analytics and Innovation (ICDMAI)

Source : 2017 International Conference on Data Management, Analytics and Innovation (ICDMAI) (2017)

Keywords : Companies, Energy Index return, exchange rate returns, exchange rates, Granger Causality, Granger causality test, Indexes, Indian stock market, Metals, MNC Index return, Nifty Commodity Index, Nifty Energy Index, Nifty IT, Nifty Metal Index, Nifty MNC, Nifty Pharma, Rupee-Dollar exchange rate return, Sigma Commodity Index return, Sigma IT index return, stock indices returns, stock markets, Time series analysis, Unit root test

Campus : Coimbatore, Kochi

School : School of Business

Department : Business

Year : 2017

Abstract : The Indian stock market is affected by many factors such as monetary policy, oil prices etc. This paper studies the relationship between Exchange rate return of Rupee-Dollar and various Stock Indices returns of India namely Nifty IT, Nifty Pharma, Nifty MNC, Nifty Commodity Index, Nifty Energy Index and Nifty Metal Index, for the time period December 2011-December 2016. The study also takes into account the volatility of returns of these indices and that of exchange rate returns to study the relationship between these two variables using Granger Causality Test. It was observed that Commodity Index return, IT index return, MNC Index return, Energy Index return, Sigma Commodity Index return and Sigma IT index return granger cause the Exchange rate return.

Cite this Research Publication : P. Krishnamurthy, Dr. P. Balasubramanian, and Mohan, D., “Study on Relationship between Exchange Rate Return and Various Stock Indices Returns”, in 2017 International Conference on Data Management, Analytics and Innovation (ICDMAI), 2017.

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