Dynamics of exchange rate and stock price volatility: Evidence from India

被引：1

作者：

Vadivel, Arjunan ^{[1
]}

机构：

[1] Arignar Anna Govt Arts & Sci Coll, Dept Econ, Pondicherry, India

来源：

JOURNAL OF PUBLIC AFFAIRS | 2021年 / 21卷 / 01期

关键词：

INTERVENTION; VARIANCE; EXPOSURE; MARKET;

D O I：

10.1002/pa.2144

中图分类号：

C93 [管理学]; D035 [国家行政管理]; D523 [行政管理]; D63 [国家行政管理];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ; 1204 ; 120401 ;

摘要：

The article examines causal relationship between exchange rate and stock price volatility. We use daily data from February 2, 2015 to August 30, 2019 to estimate variables employed in ARCH/GARCH, and cross correlation. It gives a feedback that effect between the conditional mean and variance of exchange rate and stock price volatility. The stock market has brought more capital inflow rupee that appreciate while capital moves out of the monetary system rupee depreciate. The Reserve Bank of India has a policy to encourage and to bring huge inflows instead of outflows.

引用

页数：5

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