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.
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页码：289 / 308
页数：20
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