English, Article, Journal or magazine article edition: Investigating causal relationship between stock return with respect to exchange rate and FII: evidence from India Kumar , Sundaram

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Investigating causal relationship between stock return with respect to exchange rate and FII: evidence from India
Author
  • Kumar , Sundaram
Physical Description
  • preprint
Notes
  • The purpose of this paper is to investigate the relationship between macroeconomic parameters like Exchange rate and foreign institutional investment with stock returns in India, in particular at National Stock Exchange. I find that both stock returns and exchange rate are integrated of order one. The Engle–Granger Cointegration test is then performed, suggesting that there is not a long-run equilibrium relationship between stock returns and exchange rates at 5% significance level. Moreover, there is no evidence suggesting that there is any causality relationship from the nominal exchange rate to the stock returns. Furthermore, FII data is found to be I(0) i.e. It doesn’t have a unit root at conventional level. It also gives positive unidirectional Granger causality results i.e. stock returns Granger cause FII. No reverse causality is seen even after inserting a structural break in 2003, as some of the researchers suggest.
  • Unit root test; Cointegration; Granger causality; Exchange rate; Stock return; FII
  • RePEc:pra:mprapa:15793
Language
  • English
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