Risk-Return Patterns in Stock Markets and Currency Markets: A Study of NSE's Nifty and US Dollar

Indian Accounting Review, Vol 18, Issue 2, December 2014

16 Pages Posted: 15 Nov 2015

See all articles by Gagan Deep Sharma

Gagan Deep Sharma

Guru Gobind Singh Indraprastha (GGSIP) University

Nishu Aggarwal

Guru Gobind Singh Indraprastha (GGSIP) University

Date Written: December 31, 2014

Abstract

This paper studies the return behaviour at National Stock Exchange, India and the Rupee-Dollar exchange rate, using NSE's Nifty as the benchmark for stock returns, while INR-USD rate is used as the benchmark for exchange rate. The daily closing levels of the two benchmarks for a period beginning on 1 January 2008 through 31 December 2013 are considered the reference period. Data have been analyzed using econometric tools. The paper uses the Descriptive statistics, Augmented Dickey-Fuller Unit Root Test, Granger's Causality, Vector Auto Regression, Variance Decomposition Analysis and Impulse Response Function to analyze the data. The study finds that returns in stock prices have an impact on the returns in currency market.

Keywords: Stock prices, Exchange rates, India, ADF Unit root test, Granger causality test, VAR test

JEL Classification: C1, C5, G00, G1

Suggested Citation

Sharma, Gagan Deep and Aggarwal, Nishu, Risk-Return Patterns in Stock Markets and Currency Markets: A Study of NSE's Nifty and US Dollar (December 31, 2014). Indian Accounting Review, Vol 18, Issue 2, December 2014, Available at SSRN: https://ssrn.com/abstract=2690672

Gagan Deep Sharma (Contact Author)

Guru Gobind Singh Indraprastha (GGSIP) University ( email )

Sector 16 C,
Dwarka
Delhi, Delhi 110078
India

Nishu Aggarwal

Guru Gobind Singh Indraprastha (GGSIP) University ( email )

Sector 16 C, Kashmere Gate
Dwarka
Delhi, DE 110006
India

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