An Empirical Study on the Dynamic Relationship Between Oil Prices and Indian Stock Market

Released on by Tarak Nath Sahu
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  • An Empirical Study on the Dynamic Relationship Between Oil Prices and Indian Stock Market Book Detail

  • Author : Tarak Nath Sahu
  • Release Date : 2017
  • Publisher :
  • Genre :
  • Pages : 16
  • ISBN 13 :
  • File Size : 87,87 MB
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An Empirical Study on the Dynamic Relationship Between Oil Prices and Indian Stock Market by Tarak Nath Sahu PDF Summary

Book Description: Purpose- This study aims to investigate the dynamic relationships between oil price shocks and Indian stock market.Design/methodology/approach- The study used daily data for the period starting from January 2001 to March 2013. In this study, Johansen's cointegration test, vector error correction model (VECM), Granger causality test, impulse response functions (IRFs) and variance decompositions (VDCs) test have been applied to exhibit the long-run and short-run relationship between them.Findings- The cointegration result indicates the existence of long-term relationship. Further, the error correction term of VECM shows a long-run causality moves from Indian stock market to oil price but not the vice versa. The results of the Granger causality test under the VECM framework confirm that no short-run causality between the variables exists. The VDCs analysis revealed that the Indian stock markets and crude oil prices are strongly exogenous. Finally, from the IRFs, analysis revealed that a positive shock in oil price has a small but persistence and growing positive impact on Indian stock markets in short run.Originality/value- The study would enhance the understandings of the interaction between oil price volatilities and emerging stock market performances. Further, the study would enable foreign investors who are interested in Indian stock market helps in understanding the conditional relationship between the variables.

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Dynamic Linkages and Volatility Spillover

Dynamic Linkages and Volatility Spillover

File Size : 94,94 MB
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This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortun