Investigating the Dynamic Interlinkages between Exchange Rates and the NSE NIFTY Index

Title

Investigating the Dynamic Interlinkages between Exchange Rates and the NSE NIFTY Index

Creator

Victor V.; Dibin K.K.; Bhaskar M.; Naz F.

Description

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, CNY, JPY, and GBP to INR along with the daily movement of NSE NIFTY for a period spanning 13 years from 6 September 2005 to 31 December 2018 were used for the analysis. The results reveal that there is no evidence for a stable long-run relationship between NSE NIFTY and the exchange rates under study. However, the VAR-based Granger causality test shows that USD, JPY, and CNY have short-run causal relationship with NSE NIFTY. The NSE NIFTY also seemed to have an influence on USD expressed in terms of Indian rupee. The impulse response analysis further supports the results of the Granger causality test and provides information on the time required for the NSE NIFTY index to recover from a shock caused by the fluctuation in exchange rates. 2021 by the authors.

Source

Journal of Risk and Financial Management, Vol-14, No. 1

Date

2021-01-01

Publisher

Multidisciplinary Digital Publishing Institute (MDPI)

Subject

currencies; Granger causality; impulse response; NIFTY

Coverage

Victor V., Department of Economics, CHRIST (Deemed to Be University), Bangalore, 560029, India; Dibin K.K., Department of MBA, SCMS, Cochin, 683106, India; Bhaskar M., Doctoral School of Management, Indian Institute of Management (IIM), Kozhikode, 673570, India; Naz F., Doctoral School of Management and Business Administration Sciences, Szent Istvan University, Godollo, 2100, Hungary

Rights

All Open Access; Gold Open Access; Green Open Access

Relation

ISSN: 19118074

Format

Online

Language

English

Type

Article

Identifier

https://doi.org/10.3390/jrfm14010020

https://www.scopus.com/inward/record.uri?eid=2-s2.0-85131740574&doi=10.3390%2fjrfm14010020&partnerID=40&md5=9cd8dbe038a38416e83211a493e03410