Volume 20 No 22 (2022)
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Asymmetrical Impact Of S&P 500 & Exchange Rate On Sensex : A NARDL Analysis
Saurabh Shuklaa , Raunaq Sen Gupta , Rushikesh P. Jadhav , Dr Mudaser A. Bhat , Dr Akhil Nair
Abstract
Using Nonlinear Autoregressive Distributed Lag NARDL (model), this study investigates asymmetrical effects of S&P 500 and the USDINR exchange rate on the Sensex. The advantage of NARDL framework is that it presents the simplest technique for modelling short and long-run asymmetries simultaneously. Present study is based on secondary data and our data set includes monthly average data on S&P 500, Sensex, and USDINR exchange from January 1, 2009, through October 31, 2022. The results of the Bounds co-integration test show that the underlying variables are co-integrated over the long term. The estimates from NARDL framework show that the daily movements in the S&P 500 Index and exchange rate tend to have a perceptible impact on the behavior and movements of the Sensex. Further, the results also suggest that negative movements tend to have greater impacts than do positive movements in exchange rate and S&P 500 levels, and that long-term multiplier impacts take about 5 months to take effect
Keywords
S&P 500, NARDL, Asymmetry, Bounds Test, Co-integration
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