On the Relationship between Stock Prices and Exchange Rates for India

被引：11

作者：

Narayan, Paresh Kumar ^{[1
]}

机构：

[1] Deakin Univ, Fac Business & Law, Sch Accounting Econ & Finance, 221 Burwood Highway, Burwood, Vic 3125, Australia

来源：

REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES | 2009年 / 12卷 / 02期

关键词：

EGARCH; depreciation; appreciation; volatility; stock returns;

D O I：

10.1142/S0219091509001630

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we apply several variants of the EGARCH model to examine the role of depreciation of the Indian rupee on India's stock market returns using daily data. Our findings suggest that volatility persistence has been high; depreciation of the rupee has increased volatility; and asymmetric volatility confirms that negative shocks generate more volatility than positive shocks. We also find that an appreciation of the Indian rupee over the 2002 to 2006 has generated more returns and less volatility.

引用

页码：289 / 308

页数：20

共 50 条

[1] Causal relationship between stock prices and exchange rates
Alagidede, Paul
Panagiotidis, Theodore
Zhang, Xu
JOURNAL OF INTERNATIONAL TRADE & ECONOMIC DEVELOPMENT, 2011, 20 (01): : 67 - 86
[2] On the relationship between Asian exchange rates and stock prices: a nonlinear analysis
Salah A. Nusair
Jamal A. Al-Khasawneh
Economic Change and Restructuring, 2022, 55 : 361 - 400
[3] The relationship between stock prices and exchange rates: Evidence from Canada
Jae-Kwang Hwang
International Advances in Economic Research, 1999, 5 (3) : 397 - 397
[4] On the relationship between Asian exchange rates and stock prices: a nonlinear analysis
Nusair, Salah A.
Al-Khasawneh, Jamal A.
ECONOMIC CHANGE AND RESTRUCTURING, 2022, 55 (01) : 361 - 400
[5] THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL
Tabak, Benjamin M.
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2006, 9 (08) : 1377 - 1396
[6] Dynamic Relationship between Stock Prices and Exchange Rates: Evidence from Chinese Stock Markets
Lee, Jung Wan
Zhao, Tianyuan Frederic
JOURNAL OF ASIAN FINANCE ECONOMICS AND BUSINESS, 2014, 1 (01): : 5 - 14
[7] Conditional correlation between exchange rates and stock prices
Ding, Liang
QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2021, 80 : 452 - 463
[8] THE RELATIONSHIP BETWEEN EXCHANGE RATES AND STOCK PRICES: COMPARATIVE EXAMPLE OF ASEAN AND BRICS COUNTRIES
Aydin, Rahman
Logun, Anil
Aydin, Buket
ROMANIAN JOURNAL OF ECONOMIC FORECASTING, 2023, 26 (04): : 128 - 142
[9] Is the relationship between prices and exchange rates homogeneous?
Hall, Stephen G.
Hondroyiannis, George
Kenjegaliev, Amangeldi
Swamy, P. A. V. B.
Tavlas, George S.
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2013, 37 : 411 - 438
[10] Effects of size and international exposure of the US firms on the relationship between stock prices and exchange rates
Vygodina, Anna V.
GLOBAL FINANCE JOURNAL, 2006, 17 (02) : 214 - 223

← 1 2 3 4 5 →