Relationship between Crude Oil Prices and Stock Market: Evidence from India

Ankit Sharma, Sasmita Giri, Harsh Vardhan, Sujeet Surange, Rohan Shetty and Vishwaroop Shetty
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Ankit Sharma: Accendere Knowledge Management Private Limited, Chennai, Tamil Nadu, India
Sasmita Giri: Institute of Finance and International Management, Business School, Bangalore, Karnataka, India,
Harsh Vardhan: Institute of Finance and International Management, Business School, Bangalore, Karnataka, India
Sujeet Surange: Institute of Finance and International Management, Business School, Bangalore, Karnataka, India,
Rohan Shetty: Institute of Finance and International Management, Business School, Bangalore, Karnataka, India
Vishwaroop Shetty: Institute of Finance and International Management, Business School, Bangalore, Karnataka, India.

International Journal of Energy Economics and Policy, 2018, vol. 8, issue 4, 331-337

Abstract: This paper estimates the linear interdependencies between international crude oil prices and stock market indices of India using weekly data spanning from January 2010 to January 2017 in a vector autoregressive (VAR) framework. The time series used for the analysis are crude oil futures prices, nifty index, and BSE energy index. Augmented Dickey-Fuller and Philips-Perron unit root tests reveal that all the time series are non-stationary at level and stationary at first difference. Cointegration test reveals the absence of cointegrating factor i.e., absence of long run relationship. VAR model captures all the time series as endogenous variables and independent variables are studied at two lags. Result shows that the Energy Index is very well explained by the lagged values of crude oil futures prices, nifty index, and BSE energy Index. impulse response function reveals that crude oil prices are affected negatively when one standard deviation shocks are given to stock indices.

Keywords: Crude oil; BSE Energy Index; Nifty; Vector Autoregression (search for similar items in EconPapers)
JEL-codes: Q42 Q43 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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