Contagion Effect of Dollar and Euro on the Indian Stock Market

The study investigates the interactions between changes in the exchange value of Indian rupee for dollar and euro, and returns on different indices of National Stock Exchange (NSE) in the Indian stock market using daily data of the last ten years. Sensitivity of dollar and euro is computed using Adler and Dumas (1984) model, along with impulse response function with some modifications.

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Year of publication:	2012
Authors:	Kumar, Santosh ; G, Raju ; Shahab, Tanveer
Published in:	The IUP Journal of Applied Finance. - IUP Publications. - Vol. 18.2012, 3, p. 84-94
Publisher:	IUP Publications

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010704621