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A Quantile Dependence among Exchange Rate, Stock Prices and Oil Prices: An Empirical Evidence from India

Author

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  • Salem Hamad Aldawsari

    (Department of Finance, College of Business Administration Hotat Bani Tamim, Prince Sattam bin Abdulaziz University Al-Kharj 16278, Saudi Arabia)

  • Wei Shuen Tan

    (Ruthin College, Mold Rd, Ruthin LL15 1EE, UK)

  • Tarek Abbas Elsherazy

    (University of Strathclyde, 16 Richmond St, Glasgow G1 1XQ, UK)

  • Bisharat Hussain Chang

    (Department of Business Administration, Sukkur IBA University, Sukkur, Sindh, Pakistan)

  • Haitham M. Alzoubi

    (School of Business, Skyline University College, Sharjah, UAE6Applied Science Research Center, Applied Science Private University, Amman, Jordan)

  • Ivana Ognjanović

    (University of Donja Gorica, Oktoih 1, Podgorica 81000, Montenegro)

Abstract

This study investigates the dynamic relationship between exchange rates, oil prices, and stock prices in the Indian market, considering bearish, bullish, and neutral market states. By utilizing the Quantile ARDL method, we explore long- and short-run relationships in differing market states. The variations in sensitivities of oil prices and exchange rates with stock prices across diverse quantiles reflect significant variations in the Indian equity markets. Importantly, our study provides actionable insights for policymakers and stakeholders within India, empowering them with specific strategies for managing currency, stock prices, and oil prices under diverse market states. These insights are not just theoretical but directly applicable to real-world economic and financial decision-making, enhancing the ability of policymakers and stakeholders to navigate the complex Indian market.

Suggested Citation

  • Salem Hamad Aldawsari & Wei Shuen Tan & Tarek Abbas Elsherazy & Bisharat Hussain Chang & Haitham M. Alzoubi & Ivana Ognjanović, 2024. "A Quantile Dependence among Exchange Rate, Stock Prices and Oil Prices: An Empirical Evidence from India," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-21, September.
    • Handle: RePEc:wsi:afexxx:v:19:y:2024:i:03:n:s2010495224500106
    DOI: 10.1142/S2010495224500106
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