The Dynamics of Oil Prices, Exchange Rates, and the Stock Market Under COVID-19 Uncertainty - Evidence From India

K.P. Prabheesh and Sanjiv Kumar ()
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Sanjiv Kumar: Department of Liberal Arts, Indian Institute of Technology, India

Energy RESEARCH LETTERS, 2021, vol. 2, issue 3, 1-6

Abstract: This study empirically analyzes the dynamic relation between oil price returns, exchange rates, stock returns, and uncertainty shocks. Utilizing daily data, we employ a structural vector autoregression econometric technique to explore the impact of uncertainty in the Indian context. The study finds that COVID-19–induced uncertainty dampened the oil and stock markets. Further, findings suggest that COVID-19–induced uncertainty distorted the dynamics between oil and stock prices in the initial periods, due to the cautionary approach followed by investors.

Keywords: svar; exchange rate; stock return; oil price; uncertainty (search for similar items in EconPapers)
JEL-codes: D81 F31 O16 Q41 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (15)

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