Canonical Relationship between Indian Stock Price Index and Exchange Rates

Abstract

In this study we have investigated the canonical relationship between stock prices and exchange rates of the emerging Indian economy. We have considered monthly nominal exchange rate of US Dollar, Pound, Euro, Japanese Yen and monthly values of BSE and NSE, stock price index for the period of 3rd January, 2000 to 15th November, 2017. The canonical correlations between the first and second pairs of canonical variate were found to be significant. The proportion of the variance of Y set and X set variables accounting for the first canonical variate was 94.71%. Redundancy coefficient for Y set given set was 74.57%.

Keywords: Canonical correlation, eigen values, canonical loadings, redundancy index

Cite this Article

Rajarathinam A., Balamurugan D., Manikandan B., Canonical Relationship between Indian Stock Price Index and Exchange Rates. Research & Reviews: Journal of Statistics. 2019; 8(1): 12–16p.