Causal relationship between stock market and exchange rate, foreign exchange reserves and value of trade balance in India: An Empirical analysis

dc.contributor.author	Bhattacharya, Basabi
dc.contributor.other	Money and Finance Conference, 5th	en_US
dc.date.accessioned	2012-06-06T10:04:27Z
dc.date.available	2012-06-06T10:04:27Z
dc.date.issued	2012-06-06
dc.identifier.uri	http://hdl.handle.net/2275/185
dc.description.abstract	This paper investigates the nature of the causal relationship between stock prices and macroeconomic aggregates in the foreign sector in India. By applying the techniques of unit–root tests, cointegration and the long–run Granger non–causality test recently proposed by Toda and Yamamoto (1995), we test the causal relationships between the BSE Sensitive Index and the three macroeconomic variables, viz., exchange rate, foreign exchange reserves and value of trade balance using monthly data for the period 1990-91 to 2000-01. The results suggest that there is no causal linkage between stock prices and the three variables under consideration.	en_US
dc.language.iso	en	en_US
dc.subject	Macroeconomic aggregates	en_US
dc.subject	Stock price index	en_US
dc.subject	Granger causality and efficient market hypothesis	en_US
dc.title	Causal relationship between stock market and exchange rate, foreign exchange reserves and value of trade balance in India: An Empirical analysis	en_US
dc.type	Article	en_US