{"title":"Examination of Long Term Effect of Exchange Rate on Indian Stock Market","authors":"R. Raman, Srindhi","doi":"10.2139/ssrn.2697974","DOIUrl":null,"url":null,"abstract":"This study investigates the long run relation among Stock Returns and four major Foreign Exchanges in India over a period of 14 ½ year period starting from January, 2000 to June, 2014. On applying the techniques of Unit – root test, Multiple Break Point test, Johansen’s Cointegration and Vector Error Correction Model, the result suggest that US dollar and Euro has long-term relation with Sensex, Nifty and CNX 500 which was found statistically significant. Tests depict no long term cointegration with GPB and Yen.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"12 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2014-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2697974","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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Abstract
This study investigates the long run relation among Stock Returns and four major Foreign Exchanges in India over a period of 14 ½ year period starting from January, 2000 to June, 2014. On applying the techniques of Unit – root test, Multiple Break Point test, Johansen’s Cointegration and Vector Error Correction Model, the result suggest that US dollar and Euro has long-term relation with Sensex, Nifty and CNX 500 which was found statistically significant. Tests depict no long term cointegration with GPB and Yen.
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