IDEAS home Printed from
   My bibliography  Save this article

The Dynamic Relationship Between The Stock Price And Exchange Rate In India


  • Purna Chandra Padhan


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.

Suggested Citation

  • Purna Chandra Padhan, 2006. "The Dynamic Relationship Between The Stock Price And Exchange Rate In India," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(3), pages 26-36, August.
  • Handle: RePEc:icf:icfjmo:v:04:y:2006:i:3:p:26-36

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below 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.

    References listed on IDEAS

    1. Friedrich Schneider & Robert Klinglmair, 2004. "Shadow economies around the world: what do we know?," Economics working papers 2004-03, Department of Economics, Johannes Kepler University Linz, Austria.
    2. Giovannini, Alberto & de Melo, Martha, 1993. "Government Revenue from Financial Repression," American Economic Review, American Economic Association, vol. 83(4), pages 953-963, September.
    3. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
    4. Gray, Jo Anna & Wu, Ying, 1995. "On equilibrium credit rationing and interest rates," Journal of Macroeconomics, Elsevier, vol. 17(3), pages 405-420.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.