A Study of Exchange Rates Movement and Stock Market Volatility

Gaurav Agrawal, Aniruddh Kumar Srivastav, Ankita Srivastava

Abstract


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.

Full Text: PDF DOI: 10.5539/ijbm.v5n12p62

Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.

International Journal of Business and Management   ISSN 1833-3850 (Print)   ISSN 1833-8119 (Online)

Copyright © Canadian Center of Science and Education

To make sure that you can receive messages from us, please add the 'ccsenet.org' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.