Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests

Ghosh, Sajal; Kanjilal, Kakali

doi:10.1016/j.eneco.2014.11.002

Cited by 194 publications

(98 citation statements)

References 56 publications

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“…From the empirical perspectives, there are studies using time series data for a given country (Abhyankar et al 2013;Mollick and Assefa, 2013;Reboredo, 2013;Wang and Chueh, 2013;Tiwari and Sahadudheen, 2015;and Ghosh and Kanjilal, 2016) and studies with cross-national data (Cunado and Perez de Gracia, 2003;Cunado and Perez de Gracia, 2005;Cologni and Manera, 2008;Asteriou and Bashmakova, 2013;Wang et al 2013;Degiannakis et al 2014;and Cunado and de Gracia, 2014). Considering the energy sectors, studies with the theme of oil and stock markets are on the increase (e.g.…”

Section: Literature Reviewmentioning

confidence: 99%

Does oil predict gold? A nonparametric causality-in-quantiles approach

2017

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This paper examines the predictive power of oil price for gold price using the novel nonparametric causality-in-quantiles testing approach. The study uses weekly data over the April 1983-August 2016 period for both the spot and 1-month to 12-month futures markets. The new approach, the causality-in-quantile, allows one to test for causality-in-mean and causality-in-variance when there may be no causality in the first moment but higher order interdependencies may exist. The tests are preferred over the linear Granger causality test that might be subject to misleading results due to misspecification. Contrary to no predictability results obtained under misspecified linear structure, the nonparametric causality-in-quantiles test shows that oil price has a weak predictive power for the gold price. Moreover, the causality-in-variance tests obtain strong support for the predictive capacity of oil for gold market volatility. The results underline the importance of accounting for nonlinearity in the analysis of causality from oil to gold.

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Section: Literature Reviewmentioning

confidence: 99%

Does oil predict gold? A nonparametric causality-in-quantiles approach

2017

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“…Many papers examine the relationship between stock and oil prices, but the relative literature does not show any consistent conclusion. Some studies confirm the existence of a relationship between oil prices and stock markets [2]- [4], while others present opposite finding [5]. Most of the past relative papers focus on the impact of oil price changes on the stock markets, but fewer papers have studied the relationship between natural gas and stock prices.…”

Section: Introductionmentioning

confidence: 79%

“…Following the work of [4], we also take the exchange rate as an additional variable in the estimated model of this paper, because it links stock markets and energy commodities via an indirect channel. This research contributes to the literature in three ways as follows.…”

Section: Introductionmentioning

confidence: 99%

Recursive Cointegration of Energy and Stock Prices in Indonesia

Setyowati¹

2016

IJTEF

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“…In support of this finding, Ani et al (2014) confirmed that evidence does not sustain the conclusion that oil price volatility has an influence of macroeconomic variables. On the contrary, Ghosh and Kanjilal (2014) were of the view that uncertainty in the price of oil may lead to the reduction in the potential output of the country. Berk and Aydogan (2012) differed slightly on their approach by incorporating global liquidity in the study of the relationship between the oil price fluctuation and stock market return.…”

Section: Literture Review 21 Theoretical Reviewmentioning

confidence: 99%

The Role of Stock Market Development on Economic Growth in OPEC Countries: Does Oil Price Movement Matter? Fresh Evidence from Nigeria

Okere

Ndubuisi

2017

Asian Journal of Economic Modelling

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Article HistoryThis study investigates the relationship link crude oil price and stock market development and economic growth in one of the OPEC countries with emphasis on Nigeria over the period 1981 to 2014, using the latest methodology autoregressive distributed lag approach (ARDL) to cointegration analysis. Three indicator of stock market development are constructed using principal component analysis. The revels the dominant role of rule oil price as one of the engine for economic growth in Nigeria. Using inflation and trade openness as a moderator on economic activities in Nigeria, this study found that stock market is insignificant in driving economic growth in Nigeria indicating poor financial sector performance. In general, the results highlight the dominant role crude oil price and posits the weakness of the stock market in stimulating economic growth through resource mobilization and allocation in Nigeria. Therefore for government to achieve sustainable economic development and maximize stock market performance, policy maker in oil exporting countries should monitor the movement of crude oil prices.

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Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests

Cited by 194 publications

References 56 publications

Does oil predict gold? A nonparametric causality-in-quantiles approach

Does oil predict gold? A nonparametric causality-in-quantiles approach

Recursive Cointegration of Energy and Stock Prices in Indonesia

The Role of Stock Market Development on Economic Growth in OPEC Countries: Does Oil Price Movement Matter? Fresh Evidence from Nigeria

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