A Study on the Interrelationship between the Stock Markets and the Foreign Exchange Market in India

Dr. S Allimuthu
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Abstract

This study aims at examining the short-run and long-run dynamic linkages among exchange rates and stock market index in India through a structured cointegration and Granger causality tests. Daily exchange rates of USD, EUR, JPY, and GBP to INR along with the daily movement of NSE NIFTY and BSE SENSEX for a period spanning 20 years from 1 January 2003 to 23 November 2022 were used for the analysis. The results reveal that there is no evidence for a stable long-run relationship between stock market index and the exchange rates under study. However, the VAR-based Granger causality test shows that USD and EURO have short-run causal relationship with NSE NIFTY and BSE SENSEX. The NSE NIFTY and BSE SENSEX also seemed to have an influence on USD and JPY expressed in terms of Indian rupee.
印度股票市场与外汇市场相互关系研究
本研究旨在通过结构化协整和格兰杰因果检验,研究印度汇率和股票市场指数之间的短期和长期动态联系。分析采用了美元、欧元、日元和英镑对印度卢比的每日汇率,以及 NSE NIFTY 和 BSE SENSEX 指数从 2003 年 1 月 1 日至 2022 年 11 月 23 日 20 年间的每日走势。结果显示,没有证据表明股票市场指数与所研究的汇率之间存在稳定的长期关系。然而,基于 VAR 的格兰杰因果检验表明,美元和欧元与 NSE NIFTY 和 BSE SENSEX 存在短期因果关系。NSE NIFTY 和 BSE SENSEX 似乎也对以印度卢比表示的美元和日元有影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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