publication . Article . 2011

A causal relationship between stock indices and exchange rates in india

Amalendu Bhunia;
Open Access
  • Published: 01 Jan 2011 Journal: Economics Bulletin, volume 31, issue 4, pages 54-54
This paper examines the causal relationship between stock prices and exchange rates, using data from 2 April 2001 to 31 March 2011 about India. Macroeconomic variables are of crucial importance for determining the effects on stock prices and investment decisions. There are many empirical studies to disclose the relationship between macroeconomic variables such as interest rate, inflation, exchange rates, money supply etc. and stock indexes. However, the direction of causality still remains unresolved in both theory and empirics. In the present study, national, services, financials, industrials, and technology indices are taken as stock price indices. The results...
free text keywords: Stock Prices, Exchange Rate, Toda-Yamamoto, India, jel:G0, jel:G1
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