An Exponential GARCH Approach to the Effect of Impulsiveness of Euro on Indian Stock Market

This paper examines the effect of impulsiveness of euro on Indian stock market. In order to examine the problem, we select rupee-euro exchange rates and S&P CNX NIFTY and BSE30 SENSEX to represent stock price. We select euro as it considered as second most widely used currency at the internation...

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Bibliographic Details
Published inThe Journal of Asian finance, economics, and business Vol. 2; no. 3; pp. 17 - 22
Main Author Sahadudheen, I
Format Journal Article
LanguageKorean
Published 한국유통과학회 31.08.2015
Korea Distribution Science Association
Subjects
GARCH
Euro
Stock price
Unit root
India
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Summary:This paper examines the effect of impulsiveness of euro on Indian stock market. In order to examine the problem, we select rupee-euro exchange rates and S&P CNX NIFTY and BSE30 SENSEX to represent stock price. We select euro as it considered as second most widely used currency at the international level after dollar. The data are collected a daily basis over a period of 3-Apr-2007 to 30-Mar-2012. The statistical and time series properties of each and every variable have examined using the conventional unit root such as ADF and PP test. Adopting a generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) model, the study suggests a negative relationship between exchange rate and stock prices in India. Even though India is a major trade partner of European Union, the study couldn't find any significant statistical effect of fluctuations in Euro-rupee exchange rates on stock prices. The study also reveals that shocks to exchange rate have symmetric effect on stock prices and exchange rate fluctuations have permanent effects on stock price volatility in India.
Bibliography:KISTI1.1003/JNL.JAKO201516863230423
ISSN:2288-4637
2288-4645