Research Journal of Humanities and Social Sciences

Open Access Open Access  Restricted Access Subscription Access
Open Access Open Access Open Access  Restricted Access Restricted Access Subscription Access

Crude Oil Prices Deluge and Indian Stock Market:Precariousness Effect


Affiliations
1 Delhi Institute of Advanced Studies, Rohini, Delhi, India
     

   Subscribe/Renew Journal


Oil has always been identified as the ‘‘blood of industry”. Oil has been playing an inimitablecharacter as the upstream raw material of industrial production. Crude oil prices have spectator an extraordinaryboost by touching a four year high of around $80 per barrel. The study aims to explore the crude prices changes and its impact on Indian stock market. For this purpose, this study has considered Bombay Stock Exchange (BSE) and MCX Crude Prices (MCX CR) for a period from 2011 to 2018.The study implies Granger Causality Test with VAR approach along with declaration of data set in Stationarity.The findings show that both the variables do not carry long run relationship and crude oil prices shocks have independent causal relationship with market.

Keywords

BSE, Crude Oil, Granger Causality, Vector Auto Regression.
Subscription Login to verify subscription
User
Notifications
Font Size


  • Alvarez, J. & Solis, R. (2010). Crude oil market efficiency and modeling: Insights from the multi scaling autocorrelation pattern. Energy Economics, 32(5), 993–1000.

  • Apergis, N. &Miller, S. M. (2009). Do structural oil-market shocks affect stock prices? Energy Economics. 31(4), 569–75.

  • Awerbuch, Shimon, & Raphael, S. (2006). Exploiting the Oil- GDP Effect to Support Renewables Deployment. Energy Policy, 34(17): 2805–19.

  • Basher, S. A. &Sadorsky, P. (2006). Oil Price Risk and Emerging Stock Markets. Global Finance Journal, 17, 224–51.

  • Bera, A. K., &Jarque, C. M. (1982). Model specification tests: A simultaneous approach. Journal of Econometrics, 20, 59–82.

  • Bhunia, A. (2013). Cointegration and causal relationship among crude price, domestic gold price and financial variables an evidence of BSE and NSE. Journal of Contemporary Issues in Business Research, 2(1), 1–10.

  • Burbridge, J., & Harrison A. (1984), ‘Testing for the effects of oil price rises using vector autoregressions’, International Economic Review, 25, 459–84 8. Chaudhuri, K. & Daniel, B.C. (1998). Long-run Equilibrium Real Exchange Rates and Oil Prices. Economics Letters, 58, 231–8.

  • Chen, N., Roll, R & Ross, S. A. (1986). Economic forces and the stock market. The Journal of Business, 59(3), 383- 403.

  • Cobo-Reyes, R., &Quiros, G. P. (2005). The Effect of Oil Price on Industrial Production and on Stock Returns. Working Paper 05/18. Departamento de Teoria e HistoriaEconomica, Universidad de Granada.

  • Cong, R.-G., Wei, Y.-M., Jiao, J.-L., & Fan, Y. (2008). Relationships between oil price shocks and stock market: An empirical analysis from China. Energy Policy, Elsevier, 36(9), 3544–53.

  • Gisser, M., & Goodwin, T. H. (1986). Crude oil and the macro economy: Tests of some popular notions. Journal of Money, Credit and Banking, 18(1), 95–103.

  • Grorge, H. &Evangelia, P. (2001). Macroeconomic Influ-ences on the Stock Market. Journal of Economics and Finance, 25(1), 33–49.

  • Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. The Journal of Political Economy, 91(2), 228–48.

  • Hidhayathulla, A. &Rafee, M. (2012). Relationship between Crude oil price and Rupee, Dollar Exchange Rate: An Analysis of Preliminary Evidence. IOSR Journal of Economics and Finance (IOSR-JEF), 3(2), 1-4.

  • Hooker, M. A. (1996). What Happened to the Oil Price- Macroeconomy Relationship. Journal of Monetary Economics, 38, 195–213.

  • Huang, R. D., Masulis, R. W. & Stoll, H. R. (1996). Energy shocks and financial markets. Journal of Futures Markets, 16, 1–27.

  • Jarque, C. M., &Bera, A. K. (1987). A test for normality of observations and regression residuals. International Statistical Review, 55, 163–72.

  • Jones, C. M., & Kaul, G. (1996). Oil and the Stock Market. Journal of Finance, 51(2), 463- 491.

  • Jungwook, P. & Ronald, A. R. (2008). Oil price shocks and stock markets in the U.S. and 13 European Countries. Energy Economics, 30, p 2587–608.

  • Kapil, J. (2013). Oil price volatility and its impact on the selected Economic indicators in India. International Journal of Management and Social Sciences Research (IJMSSR), 2(11).

  • Loungani. (1986). Oil price shocks and the dispersion hypothesis. Review of Economics and Statistics, 58, 536– 9. https://doi.org/10.2307/1926035

  • Maghyereh, A. (2004). Oil price shocks and emerging stock markets. A generalized VAR approach. International Journal of Applied Econometrics and Quantitative Studies, 1(2), 27–40.

  • Miller, J. I., &Ratti, R. A. (2009). Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31(4), 559–68.

  • Mork, K. A. (1989). Oil and the Macroeconomy. When Prices Go Up and Down: An Extension of Hamilton’s Results. The Journal of Political Economy, 97(3), 740–4.

  • Nandha, M., & Faff, R. (2008). Does oil move equity prices? A global view. Energy Economics, 30, 986–97.


Abstract Views: 414

PDF Views: 0




  • Crude Oil Prices Deluge and Indian Stock Market:Precariousness Effect

Abstract Views: 414  |  PDF Views: 0

Authors

Kirti Khanna
Delhi Institute of Advanced Studies, Rohini, Delhi, India

Abstract


Oil has always been identified as the ‘‘blood of industry”. Oil has been playing an inimitablecharacter as the upstream raw material of industrial production. Crude oil prices have spectator an extraordinaryboost by touching a four year high of around $80 per barrel. The study aims to explore the crude prices changes and its impact on Indian stock market. For this purpose, this study has considered Bombay Stock Exchange (BSE) and MCX Crude Prices (MCX CR) for a period from 2011 to 2018.The study implies Granger Causality Test with VAR approach along with declaration of data set in Stationarity.The findings show that both the variables do not carry long run relationship and crude oil prices shocks have independent causal relationship with market.

Keywords


BSE, Crude Oil, Granger Causality, Vector Auto Regression.

References