A Study on the Interrelationship between the Stock Markets and the Foreign Exchange Market in India

Authors

  • S Allimuthu GRG School of Management Studies, PSGR Krishnammal College for Women, Peelameedu, Coimbature, Tamil Nadu, India Author

Keywords:

Foreign Exchange Market, NSE NIFTY, BSE SENSEX

Abstract

This study aims at examining the short run and long-run dynamic linkages among exchange rates  and stock market index in India through a structured  cointegration and Granger causality tests. Daily exchange  rates of USD, EUR, JPY, and GBP to INR along with the  daily movement of NSE NIFTY and BSE SENSEX for a  period spanning 20 years from 1 January 2003 to 23  November 2022 were used for the analysis. The results  reveal that there is no evidence for a stable long-run  relationship between stock market index and the  exchange rates under study. However, the VAR-based  Granger causality test shows that USD and EURO have  short-run causal relationship with NSE NIFTY and BSE  SENSEX. The NSE NIFTY and BSE SENSEX also  seemed to have an influence on USD and JPY expressed  in terms of Indian rupee. 

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References

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Published

2023-10-30

Issue

Vol. 10 No. 5 (2023): International Journal of Innovative Research in Engineering and Management (October) 2023

Section

Articles

How to Cite

A Study on the Interrelationship between the Stock Markets and the Foreign Exchange Market in India . (2023). International Journal of Innovative Research in Engineering & Management, 10(5), 83–87. Retrieved from https://acspublisher.com/journals/index.php/ijirem/article/view/11684