Investigating the Dynamic Interlinkages between Exchange Rates and the NSE NIFTY Index

This study aims at examining the short-run and long-run dynamic linkages among exchange rates stock market index in India through a structured cointegration Granger causality tests. Daily of USD, EUR, CNY, JPY, GBP to INR along with daily movement NSE NIFTY for period spanning 13 years from 6 September 2005 31 December 2018 were used analysis. The results reveal that there is no evidence stable relationship between under study. However, VAR-based test shows CNY have causal NIFTY. also seemed an influence on USD expressed terms Indian rupee. impulse response analysis further supports provides information time required recover shock caused by fluctuation rates.