{"title":"原油价格和汇率对印度股市表现的影响","authors":"Saurabh Singh, Ritika Kapil","doi":"10.5958/2249-7323.2016.00002.x","DOIUrl":null,"url":null,"abstract":"This paper attempts to investigate empirically the dynamic relationship among crude oil price, exchange rate and Indian stock market. Using daily data of Crude oil price, Dollar-Rupee value and Nifty returns from April 2010 to March 2015, correlation, regression and Granger-causality approach in a bi-variate VAR framework has been used to investigate the causality between crude oil and nifty returns; exchange rate and nifty returns. Augmented Dickey Fuller (ADF) test has been used to test whether the data is stationary or not. The outcome of the study was there is a significant negative correlation between nifty returns and exchange rate and significant positive correlation between nifty returns and crude oil, and a unidirectional causality running from nifty returns to exchange rates and crude oil price to nifty returns.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"89 5","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2016-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Impact of Crude Oil Price and Exchange Rate on Performance of Indian Stock Market\",\"authors\":\"Saurabh Singh, Ritika Kapil\",\"doi\":\"10.5958/2249-7323.2016.00002.x\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper attempts to investigate empirically the dynamic relationship among crude oil price, exchange rate and Indian stock market. Using daily data of Crude oil price, Dollar-Rupee value and Nifty returns from April 2010 to March 2015, correlation, regression and Granger-causality approach in a bi-variate VAR framework has been used to investigate the causality between crude oil and nifty returns; exchange rate and nifty returns. Augmented Dickey Fuller (ADF) test has been used to test whether the data is stationary or not. The outcome of the study was there is a significant negative correlation between nifty returns and exchange rate and significant positive correlation between nifty returns and crude oil, and a unidirectional causality running from nifty returns to exchange rates and crude oil price to nifty returns.\",\"PeriodicalId\":292025,\"journal\":{\"name\":\"Econometric Modeling: Commodity Markets eJournal\",\"volume\":\"89 5\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-02-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: Commodity Markets eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.5958/2249-7323.2016.00002.x\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Commodity Markets eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.5958/2249-7323.2016.00002.x","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Impact of Crude Oil Price and Exchange Rate on Performance of Indian Stock Market
This paper attempts to investigate empirically the dynamic relationship among crude oil price, exchange rate and Indian stock market. Using daily data of Crude oil price, Dollar-Rupee value and Nifty returns from April 2010 to March 2015, correlation, regression and Granger-causality approach in a bi-variate VAR framework has been used to investigate the causality between crude oil and nifty returns; exchange rate and nifty returns. Augmented Dickey Fuller (ADF) test has been used to test whether the data is stationary or not. The outcome of the study was there is a significant negative correlation between nifty returns and exchange rate and significant positive correlation between nifty returns and crude oil, and a unidirectional causality running from nifty returns to exchange rates and crude oil price to nifty returns.
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