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Does oil price matter for Indian stock markets?

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  • Chittedi, Krishnareddy

Abstract

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.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 35334.

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Date of creation: 02 Nov 2011
Date of revision: 01 Dec 2011
Handle: RePEc:pra:mprapa:35334

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Keywords: Oil Prices; Stock prices; ARDL cointegration;

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References

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  1. James D. Hamilton, 2000. "What is an Oil Shock?," NBER Working Papers 7755, National Bureau of Economic Research, Inc.
  2. Matteo Manera & Alessandro Cologni, 2005. "Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries," Working Papers, Fondazione Eni Enrico Mattei 2005.101, Fondazione Eni Enrico Mattei.
  3. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers, Michigan State - Econometrics and Economic Theory 8905, Michigan State - Econometrics and Economic Theory.
  4. Jones, Charles M & Kaul, Gautam, 1996. " Oil and the Stock Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 51(2), pages 463-91, June.
  5. Chittedi, Krishna Reddy, 2009. "Global Stock Markets Development and Integration: with Special Reference to BRIC Countries," MPRA Paper 18602, University Library of Munich, Germany, revised 06 Sep 2009.
  6. Kilian, Lutz, 2005. "Exogenous Oil Supply Shocks: How Big Are They and How Much do they Matter for the US Economy?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5131, C.E.P.R. Discussion Papers.
  7. J. Isaac Miller & Ronald Ratti, 2008. "Crude Oil and Stock Markets: Stability, Instability, and Bubbles," Working Papers, Department of Economics, University of Missouri 0810, Department of Economics, University of Missouri, revised 20 Jan 2009.
  8. Papapetrou, Evangelia, 2001. "Oil price shocks, stock market, economic activity and employment in Greece," Energy Economics, Elsevier, Elsevier, vol. 23(5), pages 511-532, September.
  9. Zhang, Dayong, 2008. "Oil shock and economic growth in Japan: A nonlinear approach," Energy Economics, Elsevier, Elsevier, vol. 30(5), pages 2374-2390, September.
  10. Shawkat Hammoudeh & Eisa Aleisa, 2004. "Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures," Contemporary Economic Policy, Western Economic Association International, Western Economic Association International, vol. 22(2), pages 250-269, 04.
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Cited by:
  1. Anna Créti & Zied Ftiti & Khaleb Guesmi, 2013. "Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries," Working Papers, HAL hal-00822070, HAL.
  2. Creti, Anna & Ftiti, Zied & Guesmi, Khaled, 2014. "Oil price and financial markets: Multivariate dynamic frequency analysis," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/13716, Paris Dauphine University.

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