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Causal Nexus between Stock Price, Demand for Money, Interest Rate, Foreign Institutional Investment, and Exchange Rates in India: A Post Subprime Crisis Analysis

Indonesian Capital Market Review

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Title Causal Nexus between Stock Price, Demand for Money, Interest Rate, Foreign Institutional Investment, and Exchange Rates in India: A Post Subprime Crisis Analysis
 
Creator Iti Vyas; Department of Economics, School of Social Sciences, Indira Gandhi National Open University
Narayan Prasad; Department of Economics, School of Social Sciences, Indira Gandhi National Open University
Alok Kumar Mishra; Department of Economics, University of Hyderabad
 
Subject Capital Market
 
Description This  paper  makes  an  attempt  to  empirically  examine  the  causal  nexus  between  stock price, demand for money, interest rates, foreign institutional investment and exchange rates in India in the post subprime mortgage crisis period. The study employed Granger causality test, Vector Auto Regression and Johansen Maximum Likelihood procedure to examine the short  run  and  long  run  dynamic  interaction  among  the  above  mentioned  variables  for  the period January 1993 to May 2009. The major indings of the study are: stock return affects exchange rate return, net foreign institutional investment and growth of demand for money. Growth  of  demand  for  money,  in  turn,  affects  interest  rate.  Interest  rate  is  more  affected by exchange rate return. Foreign institutional investment also affects interest rate. The co-integration  test  conirms  that  there  does  not  exist  any  long  run  equilibrium  relationship between stock return and exchange rate return activate javascript
 
Publisher Management Research Center, Department of Management, Faculty of Economics and Business, U
 
Contributor —
 
Date 2014-08-25
 
Type Peer-reviewed Article
 
Format application/mbox
 
Identifier http://journal.ui.ac.id/index.php/icmr/article/view/3625
 
Source Indonesian Capital Market Review; Vol 3, No 2 (2011): July 2011
 
Language en