A Study of Exchange Rates Movement and Stock Market Volatility

By Gaurav K. Agrawal, Aniruddh Kumar Srivastav, Ankita Srivastava. 2010

157 citations recorded by the source corpus.

This paper analyzes the relationship between Nifty returns and Indian rupee-US Dollar Exchange Rates. Several statistical tests have been applied in order to study the behavior and dynamics of both the series. The paper also investigates the impact of both the time series on each other. The period for the study has been taken from October, 2007 to March, 2009 using daily closing indices. In this study, it was found that Nifty returns as well as Exchange Rates were non-normally distributed. Through unit root test, it was also established that both the time series, Exchange rate and Nifty returns, were stationary at the level form itself. Correlation between Nifty returns and Exchange Rates was found to be negative. Further investigation into the causal relationship between the two variables using Granger Causality test highlighted unidirectional relationship between Nifty returns and Exchange Rates, running from the former towards the latter.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/87dc618d4719be6dd0cb3bbb18f6462675f38b75