Description

• Title:
  Financialization and Dynamics of Currency Futures Market during COVID-19: Evidence from India
• Creator:
  Kumar, Adish;
  Gupta, Kapil
• Description:
  This study examines inter-relationship and impact of COVID-19 on Indian currency and equity futures markets during the period of financial crisis. In such period, investors look for alternative asset classes to hedge against risk as observed during Global Financial Crisis. This study examines whether same phenomenon was observed after COVID-19 in India considering currency futures as an alternate asset class. For this purpose daily exchange rate of Indian Rupee with British Pound Sterling, Japanese Yen, Euro and United States Dollar and for equity futures, near-month NIFTY 50 futures contracts are used. After examining stationarity of data, Co integration test, Granger causality and Bi-variate correlation is applied. ARCH and DCC-GARCH model is employed to allow for heteroscedasticity and time variation in correlation. It is observed that YEN, JPY and USD display significantly negative correlation with Nifty futures. Currency futures is causing Nifty futures during COVID-19 period and leads Nifty futures by one day. However, it is other way around during pre-COVID-19 period. Long-run co-integration is not evident. ARCH effect is present in both time series and except for insignificant short-run shock persistence during COVID-19 period, there exists time varying correlation between currency returns and Nifty.
• Object availability:
  free access
• Rights: https://creativecommons.org/licenses/by-nd/4.0
• Date:
  2024.02.14
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Language:
  English
• Source:
  Copernican Journal of Finance & Accounting; Vol. 12 No. 3 (2023); 43-64;
  Copernican Journal of Finance & Accounting; Tom 12 Nr 3 (2023); 43-64;
  2300-3065;
  2300-1240
• Format:
  application/pdf
• Publisher:
  Uniwersytet Mikołaja Kopernika w Toruniu
• Relation: https://apcz.umk.pl/CJFA/article/view/48751/38715
• Subject:
  financialization;
  exchange rates;
  style investment;
  financial crisis;
  COVID-19;
  structural breaks
• Identifier: https://apcz.umk.pl/CJFA/article/view/48751
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  check license
• Type:
  text