, depreciation had a statistically significant negative effect on returns. When the long-run relationship among the variables is …

In this paper, we apply several variants of the EGARCH model to examine the role of depreciation of the Indian rupee on … India's stock market returns using daily data. Our findings suggest that volatility persistence has been high; depreciation …

China, regardless of the crisis, depreciation has a statistically significant and negative effect on returns. When the long …