This paper examines the extent of integration between foreign exchange and stock markets in India during the liberalisation era. The database cover daily observations on stock price index and exchange rate of Indian Rupee for a period of ten financial years from April 1993 to March 2003....

The dynamic linkage between exchange rate and stock prices has been subjected to extensive research for over a decade and attracted considerable attention from researchers worldwide during the Asian crisis of 1997-98. The issue is also important from the viewpoint of recent large cross-boarder...

Value-at-Risk (VaR) has been widely promoted by the Bank for International Settlement (BIS) as well as central banks of all countries as a way of monitoring and managing market risk and as a basis for setting regulatory minimum capital standards. The revised Basle Accord, implemented in January...