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Contagion Effect of Dollar and Euro on the Indian Stock Market

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  • Santosh Kumar
  • Raju G
  • Tanveer Shahab

Abstract

The study investigates the interactions between changes in the exchange value of Indian rupee for dollar and euro, and returns on different indices of National Stock Exchange (NSE) in the Indian stock market using daily data of the last ten years. Sensitivity of dollar and euro is computed using Adler and Dumas (1984) model, along with impulse response function with some modifications.

Suggested Citation

  • Santosh Kumar & Raju G & Tanveer Shahab, 2012. "Contagion Effect of Dollar and Euro on the Indian Stock Market," The IUP Journal of Applied Finance, IUP Publications, vol. 18(3), pages 84-94, July.
    • Handle: RePEc:icf:icfjaf:v:18:y:2012:i:3:p:84-94
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