The bi-directional volatility spill-over (contemporaneous) was clearly evident by the two models and the same The optimal model was identified as ARCH (1) when Re/$ Exchange Rate was the dependent variable while it was GARCH (1,1) when Nifty Index was taken as dependent variable. The results of the study revealed the presence of conditional volatility of returns. Further to find out whether or not there was any asymmetric returns of the markets under study, Threshold GARCH (T-GARCH) Model has been employed. Standardization) from another market have been included as variance regressors. For studying the spill-over of volatility from a market to another, squared residuals (after The analysis has been carried on first differenced (log transformed) prices. The two variables, namely rupee dollar exchange rate and NSE Nifty.
The period of the study has been taken to be April 2007-March 2017 and the data has been collected as monthly closing prices of Re/$ Exchange Rate and Nifty Index Stock Index using GARCH (p,q) methodology. The present study is an attempt to investigate the conditional volatility of returns of the two major segments of Indian financial markets viz. © 2018 Australasian Accounting Business and Finance Journal and Authors. The results importantly show that BSE Sensex causes changes in the exchange rate and money supply, FII, gold prices and IIP. It establishes that there does exist a short run causality between Inflation and BSE Sensex and Money Supply and BSE Sensex. The analysis through the Vector Error Correction Model (VECM) confirms that there exists a long-run causality between the macroeconomic variables of Index of Industrial Production (IIP), inflation, interest rates, gold prices, exchange rate, foreign institutional investment, money supply and BSE Sensex. The study also seeks to determine the strength of the link between the independent parameters and the dependent parameter ie BSE Sensex in the short run and long run based on the test of Johansen Cointegration, Granger Causality, and the Vector Error Correction mechanism. The objective of the present research is to investigate the link that exists, if any, between BSE Sensex and macroeconomic variables such as Index of Industrial Production (IIP), inflation, the rate of interest, the price of gold, rate of exchange, FII and supply of money for the period April 1999-March 2017. Contrary to a slowdown in the earnings of Indian corporates due to excess existing capacity and the inability of banks to lend, the stock market ie Bombay Stock Exchange has performed well. The economic growth of India has positioned it as one of the rapidly growing economies the world over and it is expected to be one of the top three economies globally over the next decade. This explains about the relationship between the variables Keywords: Stock Market, Foreign Exchange, BSE SENSEX, NSE NIFTY, Correlation. Correlation between NSE NIFTY, BSE SENSEX with reference to Exchange Rates can be calculated.
The present study conducted from 2005-2014 for a period of 10 years. BSE Sensex NSE NIFTY index is a bench marking index that is used to measure the economic development of a country like India. As US Dollar is a prominent currency for foreign trade, the exchange rate of rupee and US Dollar has been taken for the study. This study analyses the dynamic relationship between stock market and exchange rate and explores the long-run and short-run causal relationship between the stock market and the exchange rate in India for the major decade 2005-2014 of indices BSE Sensex and Nifty NSE. Stock price downward movement continuously in the market forewarns the crisis period in advance. The foreign exchange market and the stock market are vital for any well-defined financial system of a country. The boom and depression of the capital market are reflected in all sectors of the economy. The changes in the capital market bring transformation in the entire economy of the country. orders/Notifications- The central Govt.Abstract: Predicting currency movements is perhaps one of the hardest exercises in economics as it has many variables affecting its market movement. Orders/ Notifications-Implementation of MoUs for import of pulses with Myanmar (for Urad and Tur), with Malawi and Mozambique (for pigeon peas) (Reference: Gazette ID: CG-DL-E-18072022-237351, dated July 18, 2022)
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