000			01762pab a2200205 454500
008			140923b0 xxu||||| |||| 00| 0 eng d
040			_cWelingkar Institute of Management Development & Research, Mumbai _aWelingkar Institute of Management Development & Research, Mumbai
041			_aENG
082			_a _bBad
100			_aBadhani K N
245			_aExchange Rate Volatility : Impact on Industry Portfolios in Indian Stock Market
250			_a6
260			_a _bJun 2009 _c0
300			_a33-48 Pp.
490			_v15
520			_aThis study examines the interaction between changes in the exchange rate of Indian Rupee and returns on different BSE-based indices representing the firms of different sizes and industries. In absolute sense, the returns on all the stock portfolios are found to be positively correlated with the external value of Indian Rupee. However, the analysis with an extended market model of asset pricing shows that the indices of export-oriented industries are negatively associated with change in exchange rate, after making the adjustment for market trend. Among them, IT, technology and knowledge-based sectors show high sensitivity towards exchange rate fluctuations. On the other hand, the indices of financial sector and import-intensive industries show a positive association with the exchange rate of rupee. The Vector Autoregression (VAR) model shows one-way causality running from stock prices to exchange rate. This suggests that the portfolio rebalancing activities of Foreign Institutional Investors (FIIs) have a more important role in the dynamic interaction between stock prices and exchange rate.
650			_aExchange Rates
856			_uhttp://192.168.6.13/libsuite/mm_files/Articles/AR10666.pdf
906			_a31984
999			_c30489 _d30489