ZENITH International Journal of Multidisciplinary Research
Year : 2019, Volume : 9, Issue : 4
First page : ( 318) Last page : ( 325)
Online ISSN : 2231-5780.

Cointegration and causal relationship among euro, dollar and sensex

Pakira Sanjib Kumar

Asst. Professor, Dept. of Commerce, Maharaja Manindra Chandra College, Kolkata, West Bengal, India. E-mail: pakirasanjib@yahoo.in

Online published on 8 May, 2019.

Abstract

Of late, Indian investors are demonstrating uncase in the stock markets due to exchange rate fluctuation. Exchange rate fluctuations affecting the international trades and finally influence the stock market as well. The present paper investigates the long-run association between Sensex and two exchange rates of the Indian rupees per unit for the period starting from 1999 (January 2) to 2018 (December 31) using daily data. The present paper has been designed with the application of unit root test, Johansen cointegration test and Granger causality test. Two indicators of exchange rate of the Indian rupees per unit, to be exact, US-Dollar and Deutsche-Mark/Euro and BSE-Sensex have been used for the purpose of the study. Johansen cointegration test result indicates that there exists a long-run relationship among the selected variables. Granger causality test result shows that there exists a unidirectional causality between euro and Sensex.

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Keywords

US-Dollar, Deutsche-Mark/Euro, Sensex, long-run association, Johansen cointegration test.

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