• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>International Journal of Business and Management >A Study of Exchange Rates Movement and Stock Market Volatility
【24h】

A Study of Exchange Rates Movement and Stock Market Volatility

机译：汇率变动与股市波动性研究

获取原文
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This paper analyzes the relationship between Nifty returns and Indian rupee-US Dollar Exchange Rates. Several statistical tests have been applied in order to study the behavior and dynamics of both the series. The paper also investigates the impact of both the time series on each other. The period for the study has been taken from October, 2007 to March, 2009 using daily closing indices. In this study, it was found that Nifty returns as well as Exchange Rates were non-normally distributed. Through unit root test, it was also established that both the time series, Exchange rate and Nifty returns, were stationary at the level form itself. Correlation between Nifty returns and Exchange Rates was found to be negative. Further investigation into the causal relationship between the two variables using Granger Causality test highlighted unidirectional relationship between Nifty returns and Exchange Rates, running from the former towards the latter.
机译：本文分析了漂亮的收益与印度卢比-美元汇率之间的关系。为了研究这两个系列的行为和动力学，已经应用了几种统计检验。本文还研究了两个时间序列对彼此的影响。研究期间为2007年10月至2009年3月，采用每日收盘指数。在这项研究中，发现Nifty的回报率和汇率是非正态分布的。通过单位根检验，还可以确定时间序列（汇率和Nifty收益）都固定在自身水平上。 Nifty回报率与汇率之间的相关性为负。使用格兰杰因果关系检验进一步研究了两个变量之间的因果关系，突显了漂亮收益率和汇率之间的单向关系，从前者向后者延伸。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号