Volume : VII, Issue : X, October - 2018

IMPACT OF THE SELECTED MACRO-ECONOMIC FACTORS ON USDINR TRADE IN NSE FUTURES

C. Vijayakumar, Dr. S. Rajamohan

Abstract :

Currency derivative is a contract between the buyer and seller whose value is derived from the underlying asset. The currency exchange rate is the underlying asset of the futures contract. The exchange rates of the currencies are affected by the changes in the various economic factors and political reasons.Therefore the changes in these values has been analysed like that how it can be reflected in the value of futures trade. Hence the most influenciable macro-economic factors of India are identified and analysed the influence level on the currency futures of National Stock Exchange of India Limited (NSE). Time series data analyses such as Augmented Dickey Fuller (ADF) Test and Phillip Perron (PP) Test are used andfound that the data series have stationarity.Johansen Juselius (JJ) Cointegration test is applied then VECM has been framed to find out the error correction estimation level. It has been found that there is long run equiliium and causes have been identified. There is no short run causality between the USDINR futures and the selected macro-economic variables.

Article: Download PDF    DOI : https://www.doi.org/10.36106/gjra  

Cite This Article:

C.Vijayakumar, Dr.S.Rajamohan, IMPACT OF THE SELECTED MACRO-ECONOMIC FACTORS ON USDINR TRADE IN NSE FUTURES, GLOBAL JOURNAL FOR RESEARCH ANALYSIS : Volume-7 | Issue-10 | October-2018


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