Download or read book Impact of Oil Price Gold Price Dollar Index and Exchange Rate on the Indian Stock Market written by Vineetha Das and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding how the prices of oil, gold, the dollar index, exchange rate, and other market variables behaved during the global financial crisis and how they affected the economy and financial market activity as a whole can help investors, policymakers and portfolio managers make the best choices. In this manner, the investors modify their portfolios in response to the crisis in order to sustain fewer financial losses. The key objective of this paper is to understand how the Indian stock market indices respond to selected macroeconomic variables from 2007 - 2022. In addition, the impact of the selected variables on different Indian sectoral indices during the global crisis, covid -19, and Russia-Ukraine war had also been studied. For the purpose of the study, three macroeconomic variables as Crude oil price, gold price, the dollar index, and Exchange rate have been used to magnify the impact of these variables on different Indian economic sectors that are represented by sectoral indices of the national stock exchange. In order to examine the relationship quantile regression has been employed using R software.
Download or read book Impact of Crude Oil Price and Exchange Rate on Performance of Indian Stock Market written by Saurabh Singh and published by . This book was released on 2016 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book ASSOCIATIONS AMONG GOLD PRICE CRUDE OIL PRICE AND INDIAN STOCK MARKET written by Amalendu Bhunia and published by Lulu.com. This book was released on with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Correlation Between Gold Oil and the US Dollar Index written by Charbel N. Kiwan and published by . This book was released on 2011 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study analyzes the correlation between gold, oil and US dollar index.The valuation of the three has been a global concern for large developed economies and small underdeveloped economies. Most of the previous studies have focused on the relationship between two of the above, hence this study shows how the weakness or strength in one will affect the other unlike previous studies. Major macroeconomic fundamentals are introduced in a model including gold, oil and exchange rate and the constant changes in these figures shows the impact magnitude on the prices at the market. The correlation between gold and oil, gold and exchange rate and oil and exchange rate is tested to determine the nature of the relationship between the three variables. In addition, the regression analysis will show the effect of price changes in each variable on the other, and how changes in macroeconomic fundamentals result in a price fluctuation of gold, oil and dollar rate. The dollar exchange rate serves as a medium through which gold prices and oil prices affect each other indirectly. Several political and economical events occur, leading to stuctural breaks in the relationship of the variables but the positive correlation remains dominant. As a result, gold serves best as a reserve currency than the US dollar since it is not directly related to the situation of the US economy, but whenever there is a shock in the market, an investor should diversify his portfolio into non-US financial assets since oil, gold and US dollar prices are affected by the US economic performance.
Download or read book Co Integration and Causal Relationship Among Crude Oil Prices Exchange Rate and Stock Market Performance written by Sanjeeta Shirodkar and published by . This book was released on 2020 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper has made an attempt to evaluate the combined impact of crude oil prices and exchange rate on the performance of Indian stock market. As the impact of dollar nominated oil prices on stock prices may not be quite relevant for Indian context. Therefore, in this study WTI Crude oil prices per Dollars along with the USD/Rupee exchange rate would be more meaningful and relevant to understand the impact of oil prices on stock market by using monthly data from 2003 to 2016 for S&P CNX Nifty Index, WTI Crude oil prices per Barrel (Dollars) and Dollar/Rupee Exchange rate. All the series were found to be stationery at First difference. The Granger causality tests revealed that there exists a Bi directional causality between stock prices and exchange rates in the short run i.e. stock prices lead exchange rates in the short run, but result of Johansen cointegration suggested that there is no long run relationship between these two financial variables. The results of the Johansen cointegration test suggest absence of any long term relationship between WTI crude oil price, USD/Rupee exchange rate and stock prices in India. The result of forecast error variances suggested that USD/Rupee exchange rate is influenced by Stock market performance. The forecast error variances of USD/Rupee exchange rate is significantly explained by the value of Nifty. Results also indicate that the values of oil price and exchange rate are comparatively less exogenous than the Indian stock market. Particularly, the contribution of Stock market shocks to the USD/Rupee exchange rate is greater than that of WTI Crude oil price shocks in all the periods.
Download or read book Dynamic Linkages and Volatility Spillover written by Bhaskar Bagchi and published by Emerald Group Publishing. This book was released on 2016-11-01 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
Download or read book Crude Oil Price Exchange Rate and Emerging Stock Market written by Tarak Nath Sahu and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Oil is one of the most important forms of energy and is a significant determinant of global economic performance. Commodities like oil are fairly homogeneous and internationally traded. The impact of dollar nominated oil prices on stock prices may not be quite relevant for Indian context. In this context, the study of crude oil prices in dollar terms along with the exchange rate would be more meaningful to understand the impact of oil prices on stock market. The study investigates the dynamic relationships between oil price, exchange rate and Indian stock market during 1993 to 2013. The estimated results of the Johansen's cointegration test and vector error correction model suggest that there exist a long run cointegrating relationships between crude oil price and Indian stock indices, but it cannot be said with sufficient confidence that the direction of the relation in the long run is from the oil price to the Sensex. The Granger causality test also reveals that the volatility of stock prices in India can be explained to cause the movement of oil price and exchange rate in short run. The observed relationship between oil price and stock indices is not due to the effect of the exchange rate fluctuations, because the change in exchange rate has no significant impact on oil prices or stock prices in India during the study period. The variance decomposition analysis reveals that the Indian stock prices are strongly exogenous in the sense that the crude oil price or exchange rate explains only a very small portion of the forecast variance error of the market index. Finally, from the impulse response functions analysis it is noticed that a positive shock in one variable have a persistent and prolonged effect on other variables.
Download or read book The Price of Gold and the Exchange Rates written by Larry A. Sjaastad and published by . This book was released on 1995 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Dynamic Relationship Between Us Dollar Exchange Rate and Indian Crude Oil Prices written by Dr. Arpit Sidhu and published by . This book was released on 2020 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: Present paper investigates the relationship among oil prices and exchange rates in Indian market. Present paper uses two econometrics tools of dependence to establish co-movement amongst the variables viz. Johansen co-integration and Granger Causality tests to demonstrate that the foreign exchange value of the US dollar (Crude oil prices) has a substantial impact on the prices of crude oil (Exchange rate of US dollar) in long-term as well as short-term or not. The results evidenced that data is stationary at first difference order. However, Johansen co-integration suggests no co-integrating equation. It signifies the possibilities to take advantage from arbitrage activities in the long-run through diversification of the investment portfolios in these two non-integrated markets. Granger causality and Wald statistics evidences unidirectional causality flowing from exchange rate to oil prices but not vice-versa. Since exchange rate granger causes the oil prices, the participants in the foreign exchange market can use information of exchange rates to improve the forecast of crude oil prices. The results of present study have policy implications for oil importing countries to frame foreign exchange risk management, fiscal and monetary policies in such a way to control exchange rate induced pressures on crude oil prices as crude oil prices predominantly affect the emerging oil dependent industrialized economies like India.
Download or read book Macroeconomic Variables and Security Prices in India during the Liberalized Period written by Tarak Nath Sahu and published by Springer. This book was released on 2016-01-01 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: The liberalization and globalization of the Indian economy has made India more vulnerable to macro issues. This book provides a comprehensive analysis of the dynamic relationship between macroeconomic variables and stock prices in India. The research findings and policy implications discussed here may also be relevant for other emerging economies.
Download or read book Handbook of Research on Applied AI for International Business and Marketing Applications written by Christiansen, Bryan and published by IGI Global. This book was released on 2020-09-25 with total page 702 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial intelligence (AI) describes machines/computers that mimic cognitive functions that humans associate with other human minds, such as learning and problem solving. As businesses have evolved to include more automation of processes, it has become more vital to understand AI and its various applications. Additionally, it is important for workers in the marketing industry to understand how to coincide with and utilize these techniques to enhance and make their work more efficient. The Handbook of Research on Applied AI for International Business and Marketing Applications is a critical scholarly publication that provides comprehensive research on artificial intelligence applications within the context of international business. Highlighting a wide range of topics such as diversification, risk management, and artificial intelligence, this book is ideal for marketers, business professionals, academicians, practitioners, researchers, and students.
Download or read book On Dynamic Relationship Among Oil Prices Exchange Rate and Stock Prices in India written by Vanita Tripathi and published by . This book was released on 2015 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the long run and short run dynamics among oil prices, exchange rates and stock prices in India (one of the fastest growing emerging markets in the world) over the most recent 15 year period 1997-2011. Using Johansen's Co integration test we find the existence of long run equilibrium relationship among oil market, foreign exchange market and stock market in India. The short term dynamics among the three markets are analyzed using Vector Autoregression (unrestricted as well as VECM), VAR causality/Block Exogeneity Wald test and Impulse response analysis. We find unidirectional causality from stock market to oil market. An impulse originating in foreign exchange market results in a profound drop in stock as well as oil prices and is statistically significant for about three weeks in oil market and two weeks in stock market. The domino effect of up-waves in stock market is positive for oil market and remains statistically significant for few weeks, while being of opposite tendency in foreign exchange market. The optimism of oil market bulls up stock market in India while creating bearish trends in foreign exchange market. An assessment of impulse response graphs in pre-crisis, during crisis and post crisis period exhibits that the riposte of all the variables to a shock generating from within stays for a relatively longer period during crisis as compared to pre and post crisis period. These results have wider implications for market integration, policy makers and investors at large. Since these markets are integrated rather than segmented, from the perspective of investments, risk reduction cannot be achieved in the long run by holding assets from these markets in the same portfolio. However diversification opportunities are not ruled out in the short run. Stock market turns out to be the leader in all the three markets especially after the recent financial crisis. Rapidly rising stock prices in India signal the expectation of higher economic growth ahead. If the stock prices get trapped in a bubble, however, oil prices will overshoot in relation to economic fundamentals.
Download or read book A Scrutiny on Volatility and Leverage Effect in Indian Stock Market with Reference to Gold Oil Dollar Rates written by Aravind M and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The uncertainty in financial market compels the investors to reallocate their capital from stock market to other complementary alternatives like Gold, Oil and Dollar. This research aims to explore the leverage effect of Gold-Oil-Dollar rates on Indian stock market. The work extensively covers daily price observations of gold, crude oil, US Dollar and Nifty from 1st January 2012 to 31st December 2016. In terms of returns the stock market outperformed over Gold, Oil and Dollar throughout the study period. GARCH (1, 1) model confirmed the long-term persistency of Gold-Oil-Dollar rates over stock market volatility. Interestingly an inverse leverage effect was examined from EGARCH model and it signals that any increase in Gold-Oil-Dollar rates will enhance the stock market volatility. Further the diagnostic test results shows that the crude oil price fluctuations reported to have more significant influence on stock market volatility. The study can successfully serve the interest of investors, financial planners, policy makers and researchers by addressing some key macroeconomic issues related to financial markets.
Download or read book Spillover Effect of the Oil Prices on the Indian Stock Market written by Pearly Jacob and published by . This book was released on 2018 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The oil prices in 2015 has been the worst hit, with prices dipping to as low as $42 per barrel. The contagion effect of the oil can be felt in all the markets which are integrated globally. Emerging stock market's volatility is sensitive to both the local and global events. For long we have held to the idea that the increase in oil prices will increase the input costs for most businesses and force consumers to spend more money on petrol & diesel, thereby reducing the corporate earning of the other businesses. And the opposite should be true for the fall in prices This paper is focused to investigate the changes in global oil prices and the Indian stock market volatility for a period of 2004 to 2015. I have tried to investigate kind of impact of global oil price volatility with that of volatility of S&P Oil and Gas index, and more specifically the impact of the global oil prices on the oil and gas based stocks.
Download or read book The Impact of Macroeconomic Fundamentals on Stock Prices Revised written by Gurmeet Singh and published by . This book was released on 2016 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study investigates the relationships between the Indian stock market index (BSE Sensex) and five macroeconomic variables, namely, industrial production index, wholesale price index, money supply, treasury bills rates and exchange rates over the period January 2007 to March 2014. Johansen's co-integration and vector error correction model have been applied to explore the long-run equilibrium relationship between stock market index and macroeconomic variables. The analysis reveals that macroeconomic variables and the stock market index are co-integrated and, hence, a long-run equilibrium relationship exists between them. It is observed that the stock prices positively relate to the wholesale price index, money supply and interest rate but negatively relate to index of industrial production and exchange rate. The index of industrial production and the exchange rate are found to be insignificant in determining stock prices. In the Granger causality sense, there is bi-directional causality between exchange rate and stock market index and interest rate and stock market index. Interest rate causes stock market index in both long run and short-run. The findings show the evidence of causality from stock price index to wholesale price index in both long-run and short run but not other way around. Furthermore, it is observed from the findings that money supply causes stock prices only in the long-run but not in short run.
Download or read book Nexus Between Crude Oil Price Exchange Rate and Stock Market written by Muhammad Ashiq Am and published by . This book was released on 2017 with total page 3 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between stock prices and macroeconomic variables like crude oil price, exchange rate, gold price, GDP, Inflation etc. have been widely studied in the context of developed countries and few studies on emerging and developing countries are also done. An attempt is made here to study specifically the impact of crude oil price volatility on stock prices and exchange rates on the basis of crude oil export and import volume. Monthly data from January 2004 to December 2015 has been collected for nine countries from the list of top 20 oil importing and exporting countries for stock prices, exchange rate of each country against US dollar. We use the Johansen Fisher Panel Cointegration Test to ensure the existence of long-run relation and Fully Modified OLS (FMOLS) to estimate the Cointegrating parameters. Results reveals that there is a long run equilibrium relationship among Stock price, Exchange rate and Oil price in the case of both panels of selected countries.
Download or read book Statistical Reference Index written by and published by . This book was released on 1980 with total page 688 pages. Available in PDF, EPUB and Kindle. Book excerpt:
