On Dynamic Relationship Among Oil Prices, Exchange Rate and Stock Prices in India

2012 ◽  
Author(s):  
Vanita Tripathi ◽  
Namita Narang
Keyword(s):  
Exchange Rate ◽  
Stock Prices ◽  
Oil Prices ◽  
Dynamic Relationship

Dynamic Relationship between Crude Oil and Stock Prices in India: Before And After the Subprime Financial Crisis 2008

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 96-104
Author(s):  
P. Sakthivel ◽  
S. Rajaswaminathan ◽  
R. Renuka ◽  
N. R.Vembu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
Energy Index ◽  
Data Set ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Before And After

This paper empirically discovered the inter-linkages between stock and crude oil prices before and after the subprime financial crisis 2008 by using Johansan co-integration and Granger causality techniques to explore both long and short- run relationships.  The whole data set of Nifty index, Nifty energy index, BSE Sensex, BSE energy index and oil prices are divided into two periods; before crisis (from February 15, 2005 to December31, 2007) and after crisis (from January 1, 2008 to December 31, 2018) are collected and analyzed. The results discovered that there is one-way causal relationship from crude oil prices to Nifty index, Nifty energy index, BSE Sensex and BSE energy index but not other way around in both periods. However, a bidirectional causality relationship between BSE Energy index and crude oil prices during post subprime financial crisis 2008. The co-integration results suggested that the absence of long run relationship between crude oil prices and market indices of BSE Sensex, BSE energy index, Nifty index and Nifty energy index before and after subprime financial crisis 2008.

scholarly journals AN EMPIRICAL STUDY ON THE DYNAMIC RELATIONSHIP BETWEEN CRUDE OIL PRICES AND NIGERA STOCK MARKET

2016 ◽  
Vol 4 (9) ◽  
pp. 157-169
Author(s):  
Rabia Najaf ◽  
Khakan Najaf
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Stock Exchange ◽  
Oil Prices ◽  
Securities And Exchange Commission ◽  
Exchange Rate Policy ◽  
Trading System ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Oil Crisis

In this paper, we have examined the crude oil price on the performance of Nigerian stock exchange and exchange rate act as the plausible countercyclical tool .we have applied the different models and collected the results that crude oil prices have direct impact on the stock exchange of Nigeria. The   Nigeria stock exchange is regulated by the Securities and Exchange Commission .Nigeria stock exchange has the automated trading system. The basic facility of Nigeria trading system is (ATS),it is helpful to remote trading system.Consequently, most of the investorsdo trade with the method of ATS.This study is also proving that Nigeria stock exchange has influenced on the performance of the economy, Impact of oil crisis on the Nigeria stock exchange, Impact of crude oil crisis on the development of country, Effect of exchange rate policy on the performance of Nigeria stock exchange.

scholarly journals The Impact of Macroeconomic Variables on Stock Prices in Kuwait

2019 ◽  
Vol 14 (6) ◽  
pp. 99 ◽  
Author(s):  
Ahmad M. Al-Kandari ◽  
Sadeq J. Abul
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Oil Prices ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Dynamic Relationship ◽  
Long Run ◽  
Short Run ◽  
Johansen Cointegration Test ◽  
The Impact

The Kuwaiti Stock Exchange was established in April 1977 and is among the oldest stock exchanges in the GCC countries. This study aims to add new evidence about the impact of macroeconomic factors on the Kuwaiti Stock Exchange. It examines empirically the dynamic relationship between the Kuwaiti Stock Exchange Index and the main macroeconomic variables. These variables included M2, the three-month deposit interest rate, oil prices, the US Dollar vs Kuwaiti Dinar exchange rate and the inflation rate. By applying the Johansen cointegration test, together with the Var Error Correction Model (VECM), the study found that there a long-run unidirectional relationship exists between the Kuwaiti Stock Exchange Index and the aforementioned macroeconomic variables. This study also confirmed the existence of a short-run relationship between oil prices and stock prices in Kuwait.

scholarly journals On The Dynamic Relationship Between Exchange Rates And Industry Stock Prices: Some Empirical Evidence From Malaysia

2011 ◽  
Vol 21 (4) ◽  
Author(s):  
Hong Rim ◽  
Rosle Mohidin
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Strong Relationship ◽  
Exchange Market ◽  
Negative Effects ◽  
Positive Effects ◽  
Dynamic Relationship ◽  
Exchange Rate Changes ◽  
Dynamic Relationships

This study examines the dynamic relationships between exchange rate and stock prices at the industry level in Malaysia during June 1996 - August 1998.  This study finds a strong relationship between the two series during the financial crisis (July 1997 - August 1998) and differing effects of exchange-rate changes on the performance of stock prices across different industries.  In addition, exchange-rate changes have negative effects on some industries (e.g., construction) but positive effects on other industries (e.g., property).  Thus, government needs to concentrate on stabilizing the exchange market first while financial managers need to carefully analyze the effects of changes in exchange rates on specific industries to better manage foreign-exchange exposures.

Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model

2022 ◽  
Vol 75 ◽  
pp. 102543
Author(s):  
Shabir Mohsin Hashmi ◽  
Bisharat Hussain Chang ◽  
Liangfang Huang ◽  
Emmanuel Uche
Keyword(s):  
Exchange Rate ◽  
Stock Prices ◽  
Oil Prices ◽  
Ardl Model ◽  
The Relationship

scholarly journals Oil Prices and Stock Market: A Philippine Perspective

2015 ◽  
Vol 5 (2) ◽  
pp. 122 ◽  
Author(s):  
Sheevun Di Oga Guliman
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Forecast Error ◽  
Oil Prices ◽  
The Philippines ◽  
Future Research ◽  
Impulse Response Functions ◽  
Causality Test ◽  
Dynamic Relationship ◽  
Vital Functions

<p class="ber"><span lang="EN-GB">Oil prices and stock markets play vital functions to a country’s economic condition. Thus, this study examines the dynamic relationship between the inflation adjusted Philippine Stock Exchange index (PSEi) prices and real oil prices in Philippine peso using monthly data from January 1996 to December 2014 applying the Vector Autoregression (VAR) Model. Granger Causality Test, Impulse Response Functions (IRFs) and Forecast Error Variance Decomposition (FEVD) were also used to aid in the analyses of the results. The results of this study suggest that there is no significant relationship between the monthly inflation adjusted stock prices of the PSEi and monthly real oil prices in peso. This paper offers guidance to the investors that the real oil prices do not significantly Granger-cause the movement of the monthly prices of the PSEi. It is suggested that the dynamic relationship between oil prices, industrial production and share prices of sector indices in the Philippines that are highly oil-dependent be investigated in future research considering the oil demand and supply shocks. </span></p>

scholarly journals The Nonlinear Dynamic Relationship between Stock Prices and Exchange Rates in Asian Countries

2017 ◽  
Vol 8 (2) ◽  
pp. 40 ◽  
Author(s):  
Ryuta Sakemoto
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Asset Markets ◽  
Asian Countries ◽  
Dynamic Interactions ◽  
Causality Test ◽  
Empirical Results ◽  
Dynamic Relationship ◽  
Exchange Rate Markets

This study explores dynamic relationships between stock prices and exchange rates in Asian countries. These relationships are complex and include both linear and nonlinear relationships. We employ a nonparametric causality test to explore them. The nonparametric causality test is more robust to a nonlinear relationship. The empirical results reveal that most countries have bi-directional causality relationships between stock prices and exchange rates. Some relationships are not captured by the linear model. These results support the theoretical model which shows dynamic interactions between stock and exchange rate markets. This study investigates the main driver to generate the nonlinear causality relatioships. The empirical results present that the main source for the nonlinearity is the volatility effects. In particular, they were substantial during the Asian and global financial crises. After controlling for the volatility effects, only one country shows the bi-directional causality relationship. In contrast to the previous studies, this study shows that the volatility effects are important between different asset markets. These findings suggest that controlling for exchange rate markets may be helpful to mitigate turmoil during a financial crisis.

Economic Activities and Oil Price Shocks in Indian Outlook: Direction of Causality and Testing Cointegration

2021 ◽  
pp. 097215092199049
Author(s):  
Preeti Sharma ◽  
Avinash K. Shrivastava
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Prices ◽  
Economic Activity ◽  
Negative Relationship ◽  
Oil Prices ◽  
Industrial Output ◽  
Market Prices ◽  
Macroeconomic Variables ◽  
Short Run

The current study intends to find out the linkages between crude oil prices and economic activity in the context of Indian economy. The macroeconomic variables such as gross domestic product (GDP), unemployment, industrial output, inflation, exchange rate and stock market prices have been used as a proxy to economic activity. We have analysed the sample data of 30 years, that is, from year 1991 to 2020. To inspect the short-run relationship between oil prices and the above-mentioned macroeconomic variables, Granger causality test has been applied after removing the presence of unit root through differencing the series. To investigate the long-run relationship, vector error correction model (VECM) has been applied after testing cointegration through the Johansen method of cointegration. The findings of the study show that oil prices have short-run causality with all the variables, that is, GDP, unemployment, industrial output, inflation, exchange rate and stock market prices, while they have a long association with inflation, industrial production and unemployment. Further we find a negative relationship between oil prices and unemployment, industrial output, inflation and exchange rate and a positive relationship with GDP and stock prices.

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