Published Online:January 2026
Product Name:The IUP Journal of Accounting Research & Audit Practices
Product Type:Article
Product Code:IJARAP020126
DOI:10.71329/IUPJARAP/2026.25.1.30-49
Author Name:Dasam Ragupathi
Availability:YES
Subject/Domain:Finance
Download Format:PDF
Pages:30-49
The paper evaluates the dynamics of currency beta, which differs over time in several Indian industries. It explores whether currency beta is regime-dependent, employing the Markov regime switching model. Selected monthly index data of BSE sectors, namely, automobile (AUTO), capital goods (CAPGOOD), consumer durables (CONDURA), fastmoving consumer goods (FMCG), healthcare (H.CARE), information technology (IT), metal (METAL), oil and gas (O&G), public sector units (PSU) and technology (TECK) industry, are among them. Markov Regime Switching (MRS) approach and descriptive statistics are used. It reveals that currency betas fluctuate significantly depending on the industry. The nature of currency beta indicates varying degrees of volatility for various industries during different crisis periods. Strong evidence of currency beta‘s regime-switching behavior is also shown by the results. The results will be of use for portfolio managers and hedgers who seek to diversify and hedge currency beta in both calm and tumultuous market conditions in an emerging market like India.
An economy‘s ability to grow is mostly determined by how well its industries are doing. Besides the basic drivers of development, a small number of macroeconomic variables primarily determine the size, growth and performance of sectors. One of the foremost variables that affects an industry’s financial success is exchange rate instability.