The Dynamic Relationship Between The Stock Price And Exchange Rate In India
The paper examines the dynamic relationship between stock price and exchange rate expressed in terms of long run, short run and causal relationships in the context of India, using monthly data for the period 1990-2004 to 2004-08. The well-known cointegration tests, error correction mechanism and Granger Causality tests have been applied for the purpose of empirical investigations. The study finds one cointegrating vector between exchange rate and stock price, which is necessary for cointegration to exit, and hence, the variables are cointegrated. The error correction result reveals that, though both the variables are in disequilibrium in the short run, they follow an equilibrium relationship in the long run. The unidirectional Granger Causality from exchange rate to stock price is found through the Granger Causality tests in the long run.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): IV (2006)
Issue (Month): 3 (August)
|Contact details of provider:|| |
When requesting a correction, please mention this item's handle: RePEc:icf:icfjmo:v:04:y:2006:i:3:p:26-36. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (G R K Murty)
If references are entirely missing, you can add them using this form.