Nexus between Crude Oil, Exchange Rate and Stock Market Returns: An Empirical Evidence from Indian Context

Guntur Anjana Raju, Sanjeeta Shirodkar and Shripad Ramchandra Marathe
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Guntur Anjana Raju: Professor, Goa Business School, Goa University, Goa, India
Sanjeeta Shirodkar: Assistant Professor, Goa Business School, Goa University, Goa, India,
Shripad Ramchandra Marathe: Research Scholar (Goa Business School) and Assistant Professor (Swami Vivekanand VM s College of Commerce), BoriPonda, Goa, India.

International Journal of Energy Economics and Policy, 2021, vol. 11, issue 3, 170-175

Abstract: Crude oil is considered as a major resource of any developing country it may be either Oil importing or exporting countries. The present study examines the relationship between the Exchange rate, Crude oil and Stock market returns. The study analyse the monthly observations from April 1, 2003 to March 31, 2019 with the help of Co integration, Granger causality, Variance Decomposition. The overall findings of the study indicate a significant effect of Crude oil on USD/INR Exchange rate. Theoretically, an oil price shock may be transmitted as the collapse in Crude prices pushes down the domestic price of non-traded products and hence the real Exchange rate and returns from Stock Market.

Keywords: Crude Oil; Exchange rate; Stock Market returns; Co-integration; Variance Decomposition (search for similar items in EconPapers)
JEL-codes: E3 F31 Q4 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2021-03-21

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