Investigating causal relationship between stock return with respect to exchange rate and FII: evidence from India
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References listed on IDEAS
- Takeshi Inoue & Shigeyuki Hamori, 2014.
"Causal Relationships in Mean and Variance between Stock Returns and Foreign Institutional Investment in India,"
World Scientific Book Chapters, in: INDIAN ECONOMY Empirical Analysis on Monetary and Financial Issues in India, chapter 5, pages 53-72,
World Scientific Publishing Co. Pte. Ltd..
- Takeshi Inoue, 2009. "The Causal Relationships in Mean and Variance between Stock Returns and Foreign Institutional Investment in India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 3(4), pages 319-337, October.
- Inoue, Takeshi, 2008. "The causal relationships in mean and variance between stock returns and foreign institutional investment in India," IDE Discussion Papers 180, Institute of Developing Economies, Japan External Trade Organization(JETRO).
- Ozturk, Ilhan & Kalyoncu, Huseyin, 2007.
"Foreign Direct Investment and Growth: An Empirical Investigation based on Cross-Country Comparison,"
Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 60(1), pages 75-81.
- Ozturk, Ilhan & Kalyoncu, Huseyin, 2007. "Foreign Direct Investment and Growth: An Empiricial Investigation Based on Cross-Country Comparison," MPRA Paper 9636, University Library of Munich, Germany.
- Naeem Muhammad & Abdul Rasheed, 2002. "Stock Prices and Exchange Rates: Are they Related? Evidence from South Asian Countries," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 41(4), pages 535-550.
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Cited by:
- Hemantkumar P. Bulsara & Vaishali Samir Dhingra & Shailesh Gandhi, 2015. "Dynamic Interactions between Foreign Institutional Investment Flows and Stock Market Returns – The Case of India," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 9(3), September.
- Rambeli@Ramli, Norimah & Hashim, Emilda & Hashim, Asmawi & Affizzah Awang Marikan, Dayang & Podivinsky, Jan, 2017. "Empirical Analysis on Exchange Rate Fluctuation and Sectoral Stock Returns in Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 51(1), pages 31-38.
- Sangram Keshari Jena & Aviral Kumar Tiwari & Shawkat Hammoudeh & Muhammad Shahbaz, 2020. "Dynamics of FII flows and stock market returns in a major developing country: How does economic uncertainty matter?," The World Economy, Wiley Blackwell, vol. 43(8), pages 2263-2284, August.
- Sinem Derindere KOSEOGLU & Emrah Ismail CEVIK, 2013. "Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 65-86, March.
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More about this item
Keywords
Unit root test; Cointegration; Granger causality; Exchange rate; Stock return; FII;All these keywords.
JEL classification:
- C0 - Mathematical and Quantitative Methods - - General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CWA-2009-07-03 (Central and Western Asia)
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