Liberalization, Privatization and Globalization gave India an embodiment of sustainable growth process. One manifestation of such growth can be found in the stock and Forex markets. It is likely that there exists a dynamic relationship between stock price and exchange rate. A glimpse of that dynamism was manifested during the Asian crisis of 1997-1998. Recent global financial turmoil gives enough evidence to revisit the issue extensively. This book tries to examine the causality in foreign exchange and stock markets in India. Furthermore, to help the government to manage the financial crisis as well the fund managers to realize the market mechanism deeply and at the same time help them in preparing their strategies for global investment; the volatility dynamics has been incorporated in this work. Thus, the book attempts to examine some empirical issues about volatility linkages between foreign exchange and stock market of India around the recent financial crisis of 2007-2008.