Return and Volatility Spillover Effects between Rupee–Dollar Exchange Rate and Asian Stock Indices

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2022-05-30 DOI:10.1177/09726527221100467

S. Mahalakshmi, S. Thiyagarajan, Gopala K. Vasudevan, G. Naresh

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引用次数: 2

Abstract

India is a major Asian economy that has attracted global investment due to its economic stability and relatively open financial markets. We investigate the return and volatility spillover effects between the Indian rupee against US dollar and stock index volatility in neighboring (Asian) nations. Consistent with the uncovered equity parity, we find that when the rupee depreciates against US dollar, the foreign institutional investors pull back their portfolio investments from other Asian markets and invest in Indian stock market, similarly if rupee appreciates they may divest their investments to gain profits. The unidirectional causality from the exchange rate to all stock indices is indicated by the causality in the mean approach. Our study shows a strong linkage between the currency value of a stable economy and the economies with which it has strong trade ties. Further, the results also show that investors adjust their position in the related markets during periods of currency appreciation and depreciation in an economy with significant growth prospects. JEL Codes: F31, D53, B23

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卢比-美元汇率与亚洲股指之间的回报和波动溢出效应

印度是亚洲主要经济体，经济稳定，金融市场相对开放，吸引了全球投资。我们研究了印度卢比兑美元汇率与邻国(亚洲)股指波动之间的回报和波动溢出效应。与未发现的股权平价一致，我们发现当卢比对美元贬值时，外国机构投资者从其他亚洲市场撤回其证券投资并投资于印度股市，同样，如果卢比升值，他们可能会撤资以获得利润。从汇率到所有股票指数的单向因果关系用平均方法中的因果关系表示。我们的研究表明，一个稳定经济体的货币价值与其贸易关系密切的经济体之间存在很强的联系。此外，研究结果还表明，在具有显著增长前景的经济体中，投资者会在货币升值和贬值期间调整其在相关市场的头寸。JEL代码:F31, D53, B23

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.