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An empirical evidence of interdependence of index futures market and exchange rates markets

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dc.contributor.author SriRam, P.
dc.date.accessioned 2017-08-11T05:17:25Z
dc.date.available 2017-08-11T05:17:25Z
dc.date.issued 2017
dc.identifier.citation International Journal of Academic Research and Development. 2(4); 2017; 326-337. en_US
dc.identifier.uri http://www.academicsjournal.com/archives/2017/vol2/issue4/2-4-19
dc.identifier.uri http://irgu.unigoa.ac.in/drs/handle/unigoa/4883
dc.description.abstract The effect of financial derivatives trading on the underlying spot markets has caught the interest of both academics and practitioners. Studies have been done in the area of linkage between stock market and foreign exchange market and also between respective spot market and futures market. Barely any study has been conducted with regards to combining the two frameworks. This study tries to fill the gap by studying the linkage between equity futures market and foreign exchange market in Indian Context. Study uses daily closing prices of CNX Nifty and Rupee/Dollar exchange rate for a period from January 1, 2005 till December 31, 2013. Granger Causality test, Unit root test and OLS model have been employed to analyze this relationship. And the results have shown that there is a bi-directional relationship between Foreign Exchange market and Stock cash market and Foreign Exchange market and Stock index futures market. There also exists a negative relationship between Stock cash market and Foreign Exchange market. en_US
dc.publisher Gupta Publications, Delhi en_US
dc.subject Commerce en_US
dc.title An empirical evidence of interdependence of index futures market and exchange rates markets en_US
dc.type Journal article en_US


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