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

Aggarwal, Priyanka; Manish, Manoj Kumar

doi:10.32479/ijeep.8802

Cited by 12 publications

(2 citation statements)

References 30 publications

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“…Identically; (Omolade et al, 2019) Investigated the influence of Crude Oil price shocks on the Macro-economic Variables with a conclusion that structural Inflation impacts more to Oil price than monetary Inflation. Similar results we have found out with (Koh, 2016), (Salami and Haron, 2018), (Ratti and Vespignani, 2016), (Aggarwal and Manish, 2020), (Malik et al, 2017) where they conformed the relationship between Crude Oil prices and Macro-economic Variables.…”

Section: Studies Outside Brics Countriessupporting

confidence: 91%

Relationship Between Crude Oil Prices and Macro-Economic Variables: Evidence From Brics Countries

Raju

Marathe²

2020

IJEEP

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The article analyses the relationship between Crude oil Prices and Macro-economic variables in BRICS countries using Quarterly data from March 31, 1999 to December 31, 2019 and an Autoregressive Distributed lag model has been developed to study the long term relationship between Crude oil and Macro-economic variable. The study found out that the long term relationship exists between the variables. We have also identified that all the countries react differently to the fluctuations in Oil prices. But interestingly China and India share some commonalities in terms of reacting to the changes in Crude Oil prices. Additionaly we have also found that fluctuations in the Oil price effect Trade Openness in every country under study except Russia.

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Section: Studies Outside Brics Countriessupporting

confidence: 91%

Relationship Between Crude Oil Prices and Macro-Economic Variables: Evidence From Brics Countries

Raju

Marathe²

2020

IJEEP

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“…The above-mentioned studies were conducted in the context of varied economies and legal frameworks and in different time periods. Specifically, it is perceived that most of the studies are in the context of developed countries economy (Park and Ratti, 2008;Kilian and Park, 2009;Papapetrou, 2001) and few studies exist in the context of emerging countries like India (Aggarwal and Manish, 2020;Fang and You, 2014;Sriram, 2015). So, their findings may exhibit heterogeneous and inconsistent results.…”

Section: Review Of Literaturementioning

confidence: 99%

Dynamics of oil price shocks and emerging stock market volatility: a generalized VAR approach

Agarwalla

Sahu

Jana³

2021

XJM

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Purpose This study aims to establish the dynamic relationship between international crude oil prices and Indian stock prices represented by the Bombay Stock Exchange (BSE) energy index. Design/methodology/approach Using Johansen’s cointegration test, vector error correction (VEC) model, impulse response function and variance decomposition test the study tries to ascertain the short-term and long-term dynamic association between the oil price shock and the movement of stock price and Granger causality test is applied to find out the nature of causality. Findings Considering vector autoregression estimation, the present study analyzes the relationship between the variables and tries to make a valid conclusion. The result of the co-integration test exhibits the presence of a long-term association between these two macro-economic variables during the period under study. Also, in the short-run VEC Granger causality result reveals that the movement of international crude oil price significantly influences the Indian stock price. Research limitations/implications To get a more robust result the study can be further extended by taking a longer time period with data of shorter time-frequency such as daily or weekly and further by using more sophisticated econometric and statistical tools. Further, the study can be extended to firm-level investigation considering the forward trading concentration with the Indian oil basket. Social implications In today’s globalized era, forecasting of share price movement helps investors in predicting the market and invest accordingly. Through this liquidity of the markets enhance and markets become more active in the global arena. Originality/value This study represents fresh findings in the changing time period the linkage between crude oil prices and stock prices which are of value to the academicians, researchers, policymakers, investors, market regulators, etc.

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On the Relationship Between Macroeconomic Factors and S&P BSE Auto Index: An ARDL Approach

Alexander

Al‐Malkawi

2022

Eurasian Studies in Business and Economics

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

Cited by 12 publications

References 30 publications

Relationship Between Crude Oil Prices and Macro-Economic Variables: Evidence From Brics Countries

Relationship Between Crude Oil Prices and Macro-Economic Variables: Evidence From Brics Countries

Dynamics of oil price shocks and emerging stock market volatility: a generalized VAR approach

On the Relationship Between Macroeconomic Factors and S&P BSE Auto Index: An ARDL Approach

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