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3 publications

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    Canonical Relationship between Indian Stock Price Index and Exchange Rates

    By Rajarathinam A., Balamurugan D., Manikandan B.

    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 …

    Published in Research & Reviews : Journal of Statistics · Vol. 8, Issue 1, 2019 · pp. 12–16 Read article

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    Econometric Modeling for Oil Sectors Stock Prices Time Series Data

    By Balamurugan D., Manikandan B., Rajarathinam A.

    Abstract: This study examines the dynamic relationships of stock oil prices of different Indian oil sectors viz., Bharat Petroleum, Hindustan Oil Corporation and Oil and Natural Gas Corporation based on the different econometric models. Empirical result shows that the monthly oil prices are non-stationary and integrated of order one. Johanson procedure to test for the possibility of co-integration relationships result shows that there is no co-integration relationship. Since the variables are …

    Published in Research & Reviews : Journal of Statistics · Vol. 7, Issue 2, 2018 · pp. 27–34 Read article

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    Cointegration and Error Correaction Modeling for BSE and NSE Stock Prices Time Series Data

    By Rajarathinam Arunachalam, Balamurugan D.

    Abstract: AbstractEconometrician always have been observed that most of the economics time series are non-stationary. The ordinary least square technique could be applied to estimate the model parameters only if the variables have been found to be stationary, i.e., they do not have unit roots. Otherwise, an alternative approach has to be followed, which is ‘co-integration’. Co-integration is a method of finding out the long-term relationship between economic variables under consideration. …

    Published in Research & Reviews: Discrete Mathematical Structures · Vol. 4, Issue 3, 2017 · pp. 30–41 Read article

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