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Effect of Oil Fluctuation on Stock Market Return: An Empirical Study from India

Author

Listed:
  • Priyanka Aggarwal

    (Prince Sultan University, Saudi Arabia,)

  • Manoj Kumar Manish

    (Consultant, BNFS, Atos-Syntel Ltd., India.)

Abstract

This paper examined the impact of oil price on Indian stock market. Data used for the study are monthly datasets from the period January 2000 to November 2018 obtained from Bombay Stock Exchange (BSE) and World Bank. BSE index is taken as dependent variable whereas oil price, inflation, exchange rate and real interest rate taken as independent variable. Augmented Dickey-Fuller (ADF) unit root test is used to make it certain that variables should be stationary as most of the economic data are non-stationary in nature. The Auto Regressive Distributed Lag (ARDL) model is used here and bound testing test method to cointegration is employed to test for long-run association among our time series dataset. Our finding shows that oil price changes have a significant as well as positive impact of Indian stock market return in both long run and short run. Impact of inflation and real interest rate have negative relationship with Indian stock market but insignificant for long run. Log of exchange rate have positive relation with Indian stock market, but it is also insignificant.

Suggested Citation

  • Priyanka Aggarwal & Manoj Kumar Manish, 2020. "Effect of Oil Fluctuation on Stock Market Return: An Empirical Study from India," International Journal of Energy Economics and Policy, Econjournals, vol. 10(2), pages 213-217.
    • Handle: RePEc:eco:journ2:2020-02-26
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    Citations

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    Cited by:

    1. Muhammad Syafii Antonio & Aam S. Rusydiana & Wahyu Sugeng Imam Soeparno & Lina Nugraha Rani & Wahyu Ario Pratomo & Abdillah Arif Nasution, 2021. "The Impact of Oil Price and Other Macroeconomic Variables on The Islamic and Conventional Stock Index in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 11(5), pages 418-424.
    2. Guntur Anjana Raju & Shripad Ramchandra Marathe, 2020. "Relationship Between Crude Oil prices and Macro-economic Variables: Evidence from BRICS Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 264-271.

    More about this item

    Keywords

    Oil Price; Stock Market Returns; Inflation; Exchange Rate;
    All these keywords.

    JEL classification:

    • D4 - Microeconomics - - Market Structure, Pricing, and Design
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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