On the Relationship between Stock Prices and Exchange Rates for India

Paresh Narayan ()

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2009, vol. 12, issue 02, 289-308

Abstract: 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.

Keywords: EGARCH; depreciation; appreciation; volatility; stock returns; JEL classifications: F30 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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DOI: 10.1142/S0219091509001630

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