Does oil price matter for Indian stock markets?
AbstractThis 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 35334.
Date of creation: 02 Nov 2011
Date of revision: 01 Dec 2011
Oil Prices; Stock prices; ARDL cointegration;
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
- NEP-ENE-2011-12-19 (Energy Economics)
- NEP-MAC-2011-12-19 (Macroeconomics)
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