Chittedi, Krishnareddy (2011): Does oil price matter for Indian stock markets?
Download (323Kb) | Preview
This paper investigates the long run relationship between oil prices and stock prices for India over the period April 2000- June 2011. We employ Auto Regressive Distributed Lag (ARDL) Model that takes into consideration the long run relationship. The results obtained suggest that volatility of stock prices in India have a significant impact on the volatility of oil prices. But a change in the oil prices does not have impact on stock prices.
|Item Type:||MPRA Paper|
|Original Title:||Does oil price matter for Indian stock markets?|
|English Title:||Does Oil Price Matter for Indian Stock Markets?|
|Keywords:||Oil Prices; Stock prices; ARDL cointegration|
|Subjects:||E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Krishnareddy Chittedi|
|Date Deposited:||11. Dec 2011 17:03|
|Last Modified:||12. Feb 2013 11:33|
Anoruo, E., & Mustafa, M., (2007) “An empirical investigation into the relation of oil to stock market prices”, North American Journal of Finance and Banking Research, 1(1), pp. 22-36.
Bashar, Z. (2006), “Wild oil prices, but brave stock markets! The case of Gulf Cooperation Council (GCC) stock markets”, Middle East Economic Association Conference, Dubai.
Bhar, Ramaprasad and Nikolova, Biljana (2009) “Oil Prices and Equity Returns in the BRIC Countries” “The World Economy” doi: 10.1111/j.1467-9701.2009.01194.x
Ciner C. (2001), “Energy Shocks and Financial Markets: Nonlinear Linkages”, Studies in Non- Linear Dynamics and Econometrics, 5, 203-212.
Chen, N.-F., Roll, R., and S.A. Ross (1986), “Economic Forces and the Stock Market,” Journal of Business, 59, 383-403.
Chittedi, Krishna Reddy (2010) “Global Stock Markets Development and Integration: with Special Reference to BRIC Countries” ‘International Review of Applied Financial issues and Economics’, Vol 2, Issue 1, March.
Chittedi, Krishna Reddy (2011) “Integration of International Stock Markets: With Special Reference to India” ‘GITAM Journal of Management, Vol 9, No 3.
Cologni, A. and Manera M. (2008), “Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries.” Energy Economics, 30, 856-88.
Hamilton, J. D. (2003), “What is an Oil Shock?” Journal of Econometrics, 113, pp. 363-98.
Hammoudeh, S., and E., Aleisa (2004). Dynamic relationship among GCC stock markets and NYMEX oil futures. Contemporary Economic Policy, Vol. 22, pp. 250–69.
Huang, R.D., Masulis, R.W., Stoll, H.R., (1996) “Energy shocks and financial markets”. Journal of Futures Markets 16, 1–27.
Jones, C., Kaul, G., (1996) “Oil and the Stock Market”, Journal of Finance, 51, pp 463-491.
Kilian, L., (2008), “Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the US Economy?” Review of Economics and Statistics, 90, 216-40.
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., Shin, Y., (1992) “Testing the null hypothesis of stationarity against the alternative of a unit root.” Journal of Econometrics 54, 159-178.
Maghyereh, A.,(2004).“Oil price shock and emerging stock markets: A Generalized VAR Approach”, International Journal of Applied Econometrics and Quantitative Studies, 1(2), pp. 27-40.
Miller, J.I. and Ratti, R.A. (2009). “Crude oil and stock markets: Stability, instability, and bubbles.” Energy Economics, 31, 559-568.
Narayan, K., P.,and Narayan, S., (2010). “Modeling the impact of oil prices on Vietnam’s stock prices”, Applied Energy, 87, pp. 356-361.
O'Neil, T.J., Penm, J., Terrell, R.D.,( 2008) “The role of higher oil prices: A case of major developed countries”. Research in Finance 24, 287–299.
Papapetrou, E., (2001) “Oil price Shocks, Stock Market, Economic Activity and Employment In Greece.”Energy Economics 23, 511-532.
Pesaran, M. H., Shin, Y. and Smith, R. J. (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16: 289–326.
Ravichandran K (2010) “Impact of Oil Prices on GCC Stock Market” Research in Applied Economics, 2010, Vol. 2, No. 1.
Zhang D. (2008),”Oil shock and economic growth in Japan: A nonlinear approach”, Energy Economics, vol. 30, issue 5, pages pp. 2374-2390.