Relationship between CNX Bank Nifty and Exchange Rate: Evidence from Indian Capital Market

  • Roshan Kumar

Abstract

The Research work is based on the investigation of the relationship between foreign

exchange rates and Bank stock index in India from January 2006 to March 2016 using the
information of monthly closing price of the NSE Bank Nifty and the nominal Indian
currency per US dollar exchange rates. The exchange rate of Indian currency and US Dollar
has been consider for the research work, because, US dollar is considered as a strong currency
for foreign trade. The Statistical tests are used to investigate the movement of both the series.
The research objective is to study the relationships between exchange rate and CNX bank
nifty Index by applying the Unit-root Test, Granger Casualty Test and Johnson co
integration test. The study also examine the effect of both the time series mutually. The result
shows very clearly there is no co integration vector between the CNX bank nifty and
exchange rate. Then the Pairwise Granger causality test employed to test the hypothesis of
the study and found out that the null hypothesis is rejected. At last the null hypothesis is
accepted it mean there is no significant relationship between Exchange rate and CNX bank
Nifty.

Published
2017-09-30
How to Cite
KUMAR, Roshan. Relationship between CNX Bank Nifty and Exchange Rate: Evidence from Indian Capital Market. Management and Administrative Sciences Review, [S.l.], v. 6, n. 5, p. 184-192, sep. 2017. ISSN 2308-1368. Available at: <http://absronline.org/journals/index.php/masr/article/view/730>. Date accessed: 20 oct. 2017.