Stock Prices And Its Relation With Crude Oil Prices And Exchange Rates in India
This paper analyzes empirically whether the exchange rates and crude oil prices have explanatory power over Indian Stock market prices or not. The data used for this study are daily stock price indexes of BSE Sensex, Crude oil price and exchange rates for the period 2nd January 1991 – 12th ,December 2007. Engel granger and cointegration tests, VECM and variance Decomposition tests were used in the study to explain the long run relations among variables questioned. Obtained results illustrate that stock price indexes are cointegrated with crude oil prices and exchange rates by providing direct long run equilibrium relation. Our results also indicate that the stock market prices are influenced by oil and exchange rate at lag -50 where as stock market prices are influenced by exchange rate only at lag-25. The results also indicates that the average real returns in the era of rupee depreciation are lesser than that of appreciation period.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 9 (2009)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.usc.es/economet/eaa.htm|
|Order Information:|| Web: http://www.usc.es/economet/info.htm Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Richard A. Ajayi & Mbodja Mougouė, 1996. "On The Dynamic Relation Between Stock Prices And Exchange Rates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 193-207, 06.
- Ciner Cetin, 2001. "Energy Shocks and Financial Markets: Nonlinear Linkages," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(3), pages 1-11, October.
- Kearney, Colm, 1998. "The Causes of Volatility in a Small, Internationally Integrated Stock Market: Ireland, July 1975-June 1994," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(1), pages 85-104, Spring.
When requesting a correction, please mention this item's handle: RePEc:eaa:aeinde:v:9:y:2009:i:1_13. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (M. Carmen Guisan)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.