Causal Relation between Stock Return and Exchange Rate: Evidence from India
Keywords:
causal relationship, co-integration, economic sectors, exchange rate and stock return
Abstract
The dynamic linkage between exchange rate and stock returns has been subjected to considerable attention from researchers worldwide. However the relationship of exchange rate with returns of different industrial sectors has not been much examined. In this reference the present paper investigates the causal relationship of Indian sector based daily returns with Indian rupee-US Dollar Exchange Rates for a period from January, 2007 to March, 2015. The study observed absence of normal distribution, unit root as well as co-integration in the data. Correlation between returns and Exchange Rates was found to be negative. Granger Causality test highlighted bidirectional causal relationship between the exchange rate and stock return for each sector except for Pharmaceutical and Media. Pharmaceutical index reported unidirectional relation running from exchange rate to the industry. In case of Media sector return and exchange rates a unidirectional relation running from the former towards the latter has been observed.
Downloads
- Article PDF
- TEI XML Kaleidoscope (download in zip)* (Beta by AI)
- Lens* NISO JATS XML (Beta by AI)
- HTML Kaleidoscope* (Beta by AI)
- DBK XML Kaleidoscope (download in zip)* (Beta by AI)
- LaTeX pdf Kaleidoscope* (Beta by AI)
- EPUB Kaleidoscope* (Beta by AI)
- MD Kaleidoscope* (Beta by AI)
- FO Kaleidoscope* (Beta by AI)
- BIB Kaleidoscope* (Beta by AI)
- LaTeX Kaleidoscope* (Beta by AI)
How to Cite
Published
2015-07-07
Issue
Section
License
Copyright (c) 2015 Authors and Global Journals Private Limited
This work is licensed under a Creative Commons Attribution 4.0 International License.