International Journal of Marketing & Financial Management

International Journal of Marketing & Financial Management

Print ISSN : 2349 –2546

Online ISSN : 2348 –3954

Frequency : Monthly

Current Issue : Volume 2 , Issue 11
2014

EXAMINATION OF LONG TERM EFFECT OF EXCHANGE RATE ON INDIAN STOCK MARKET

*Dr. R.Venkata Raman, **Prof.Srinidhi .V.R.

*Professor,  Department of Management, Presidency College, Bangalore -560024,  **Junior Research Fellow, Department of Management, Jain University, Bangalore-560001

DOI : Page No : 20-33

Published Online : 2014-12-30

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ABSTRACT

                       This study investigates the long run relation among Stock Returns and four major Foreign Exchanges in India over a period of 14 ½ year period starting from January, 2000 to June, 2014. On applying the techniques of Unit–root test, Multiple Break Point test, Johansen’s Cointegration and Vector Error Correction Model, the result suggest that US dollar and Euro has long-term relation with Sensex, Nifty and CNX 500 which was found statistically significant.  Tests depict no long term cointegration with GPB and Yen.   

Keywords: BSE, NIFTY, CNX 500, VECM, Johansen Cointegration and Foreign Exchange.