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Study of volatility in foreign exchange market

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Sunita Jindal
Sunita Jindal
BusinessEconomy & Finance
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Study of Volatility in Foreign Exchange Market: A Macro-Economic Perspective Dr Sunita Jindal Dr N.K Sharma
Introduction ,[object Object],[object Object]
Objective of the study ,[object Object],[object Object],[object Object]
Scope of Study ,[object Object],[object Object]
Research Methodology  ,[object Object]
Hypothesis ,[object Object],[object Object],[object Object]
Testing of Hypothesis ,[object Object],[object Object]
The Correlation ( r ) between (USD And INR) And BSE Sensex r= 0.228368 31.834 1.889 2005-06 32.041 12.590 2006-07 110.286 -4.870 2007-08 44.761 -11.729 2008-09 14.844 5.594 2009-10 -14.684 0.455 2010-11 % Δ in value of Sensex % Δ in rate INR/USD(X) Year
Table: 1.2 The Correlation (r) between (INR and JPY) And BSE Sensex r= 0.395969 31.834 1.189 2005-06 32.041 11.646 2006-07 110.286 -19.082 2007-08 44.761 -23.902 2008-09 14.844 .650 2009-10 -14.684 -6.215 2010-11 % Δ in value of Sensex % Δ in rate INR/JPY(X) Year
The Correlation (r) between (INR and CHF) And BSE Sensex r= 0.639217 31.834 1.048 2005-06 32.041 9.639 2006-07 110.286 -16.550 2007-08 44.761 -11.272 2008-09 14.844 -1.862 2009-10 -14.684 -10.266 2010-11 % Δ in value of Sensex % Δ in rate INR/USD(X) Year
The Correlation (r) between (INR and EUR) And BSE Sensex r= 0.657038 31.834 5.460 2005-06 32.041 1.695 2006-07 110.286 12.739 2007-08 44.761 -5.902 2008-09 14.844 10.152 2009-10 -14.684 -2.484 2010-11 % Δ in value of Sensex % Δ in rate INR/USD(X) Year
The Correlation (r) between (INR and GBP) And BSE Sensex r= 0.030735 31.834 1.889 2005-06 32.041 12.590 2006-07 110.286 -4.870 2007-08 44.761 -11.729 2008-09 14.844 5.594 2009-10 -14.684 0.455 2010-11 % Δ in value of Sensex % Δ in rate INR/USD(X) Year
Data Interpretation ,[object Object],[object Object],[object Object],[object Object],[object Object]
Hypothesis Testing -2 ,[object Object],[object Object]
Findings ,[object Object],[object Object],[object Object]
Continued…….. ,[object Object],[object Object]
Discussion

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Study of volatility in foreign exchange market

  • 1. Study of Volatility in Foreign Exchange Market: A Macro-Economic Perspective Dr Sunita Jindal Dr N.K Sharma
  • 2.
  • 3.
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  • 7.
  • 8. The Correlation ( r ) between (USD And INR) And BSE Sensex r= 0.228368 31.834 1.889 2005-06 32.041 12.590 2006-07 110.286 -4.870 2007-08 44.761 -11.729 2008-09 14.844 5.594 2009-10 -14.684 0.455 2010-11 % Δ in value of Sensex % Δ in rate INR/USD(X) Year
  • 9. Table: 1.2 The Correlation (r) between (INR and JPY) And BSE Sensex r= 0.395969 31.834 1.189 2005-06 32.041 11.646 2006-07 110.286 -19.082 2007-08 44.761 -23.902 2008-09 14.844 .650 2009-10 -14.684 -6.215 2010-11 % Δ in value of Sensex % Δ in rate INR/JPY(X) Year
  • 10. The Correlation (r) between (INR and CHF) And BSE Sensex r= 0.639217 31.834 1.048 2005-06 32.041 9.639 2006-07 110.286 -16.550 2007-08 44.761 -11.272 2008-09 14.844 -1.862 2009-10 -14.684 -10.266 2010-11 % Δ in value of Sensex % Δ in rate INR/USD(X) Year
  • 11. The Correlation (r) between (INR and EUR) And BSE Sensex r= 0.657038 31.834 5.460 2005-06 32.041 1.695 2006-07 110.286 12.739 2007-08 44.761 -5.902 2008-09 14.844 10.152 2009-10 -14.684 -2.484 2010-11 % Δ in value of Sensex % Δ in rate INR/USD(X) Year
  • 12. The Correlation (r) between (INR and GBP) And BSE Sensex r= 0.030735 31.834 1.889 2005-06 32.041 12.590 2006-07 110.286 -4.870 2007-08 44.761 -11.729 2008-09 14.844 5.594 2009-10 -14.684 0.455 2010-11 % Δ in value of Sensex % Δ in rate INR/USD(X) Year
  • 13.
  • 14.
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  • 16.