RELATIVITY OF INDIAN STOCK MARKET WITH EXCHANGE RATE, GOLD AND CRUDE OIL
DOI:
https://doi.org/10.12775/CJFA.2020.024Keywords
co-integration, crude oil, exchange rate, gold, stock marketAbstract
Stock market return is a motivating factor to investor in investment and portfolio decisions. Markets attracts domestic and foreign investments in anticipation of higher returns considering several parameters. These returns are influenced with economic, taxation and geo-political factors. Investment decision at market discounts with fluctuations of oil, exchange rate and gold. India being the largest consumer, the demand for crude oil and gold has been increasing and lead to higher import bill impacting fluctuations on exchange rate (USD-INR). Investor’s investment decisions at market discounts with volatility of oil, exchange rate and gold. This study with causal research method using 25 years of data administered Johansen co-integration and Vector Error Correction Model to explore the relative impact of exchange rate, crude oil and gold on Indian stock market. The study finds presence of long run relationship of exchange rate, gold and crude oil with market returns and absence of short run relationship. The findings shall facilitate in understanding the impact of fluctuations and investment decisions to benefit from Indian stock market.References
Bala, A., & Gupta, K. (2020). Examining the Long Memory in Stock Returns and Liquidity in India. Copernican Journal of Finance & Accounting, 9(3), 25-43. http://dx.doi.org/10.12775/CJFA.2020.010.
Bhunia, A. (2013). Cointegration and Causal Relationship among Crude Price, Domestic Gold Price and Financial Variables: An Evidence of BSE and NSE. Journal of Contemporary Issues in Business Research, 2(1), 1-10.
Bhunia, A., & Pakira, S. (2014). Investigating the Impact of Gold Price and Exchange Rates on Sensex: An Evidence of India. European Journal of Accounting, Finance and Business, 2(1), 1-11.
Bhuyan, A.K., & Dash, A.K. (2018). A dynamic causality analysis between gold price movements and stock market returns: Evidence from India. Journal of Management Research and Analysis, 5(2), 117-124. http://dx.doi.org/10.18231/2394-2770.2018.0019.
Bidias-Menik, H.P., & Tonmo, S.G. (2020). Interest rate predictability in some selected African countries. Copernican Journal of Finance & Accounting, 9(3), 45-60. http://dx.doi.org/10.12775/CJFA.2020.011.
Bilal, A.R., Noraini Bt, A.T., Haq, I.U., Khan, M.N.A.A, & Naveed, M. (2013). How Gold Prices Correspond to Stock Index: A Comparative Analysis of Karachi Stock Exchange and Bombay Stock Exchange. World Applied Sciences Journal, 21(4), 485-491. http://dx.doi.org/10.5829/idosi.wasj.2013.21.4.2870.
Bildirici, M.E., & Turkmen, C. (2015). Nonlinear Causality between Oil and Precious Metals. Resources Policy, 46(2), 202-211. http://dx.doi.org/10.1016/j.resourpol.2015.09.002.
Bouri, E., Jain, Biswal, P.C., & Roubaud, D. (2017). Cointegration and Nonlinear Causality amongst Gold, Oil, and the Indian Stock Market: Evidence from Implied Volatility Indices. Resources Policy, 52, 201-206. http://dx.doi.org/10.1016/j.resourpol.2017.03.003.
Chang, H.-F., Huang, L.-C., & Chin, M.-C. (2013). Interactive Relationships between Crude Oil Prices, Gold Prices, and the NT-US Dollar Exchange Rate-A Taiwan Study. Energy Policy, 63, 441-448. http://dx.doi.org/10.1016/j.enpol.2013.09.029.
Dalei, N.N., Roy, H., & Gupta, A. (2017). Crude Oil Import of India from Its Major Oil Trade Partner Countries: An Empirical Evidence Using Panel Data Analysis. International Journal of Advanced Research and Development 726(6), 2455-4030.
Fauziah, F., Moeljadi, M., & Ratnawati, K. (2015). Dynamic relationship between exchange rates and stock prices in Asia, 2009‐2013. Journal of Economics, Finance and Accounting, 2(1), 124-124. http://dx.doi.org/10.17261/Pressacademia.201519783.
Geete, V. (2016). A Study on Impact of Gold Prices and Dollar Prices on Stock Market Indices with Special Reference to Sensex Nifty. European Journal of Economic and Business, 1(1), 28-33. http://dx.doi.org/10.20936/EJEB/160105.
Ingalhalli, V., Poornima B.G., & Reddy, Y.V. (2016). A Study on Dynamic Relationship Between Oil, Gold, Forex and Stock Markets in Indian Context. Paradigm, 20(1), 83-91. http://dx.doi.org/10.1177/0971890716637706.
Jain, A., & Biswal, P.C. (2016). Dynamic Linkages among Oil Price, Gold Price, Exchange Rate, and Stock Market in India. Resources Policy, 49, 179-185. http://dx.doi.org/10.1016/j.resourpol.2016.06.001.
Mishra, P. (2018). An Investigation of the Macroeconomic Factors Affecting the Indian Stock Market. Australasian Accounting, Business and Finance Journal, 12(2),71-86. http://dx.doi.org/10.14453/aabfj.v12i2.5.
Mishra, S., & Debasish, S.S. (2019). The Quantile Dependence between Global Crude Oil Price and Stock Markets in Emerging Asia: Evidence from Major Oil Consuming Nations. Afro-Asian Journal of Finance and Accounting, 9(3), 309-331. http://dx.doi.org/10.1504/AAJFA.2019.100980.
Mohanamani, P., Preethi, D., & Latha, L. (2018). Dynamic Linkage between Gold, Oil, Exchange Rate and Stock Market Returns: Evidence from India. International Journal of Pure and Applied Mathematics, 119(17), 2567-2580.
Nageri, K.I. (2019). Evaluating volatility persistence of stock return in the pre and post 2008-2009 financial meltdown. Copernican Journal of Finance & Accounting, 8(3), 75-94. http://dx.doi.org/10.12775/CJFA.2019.013.
Naifar, N., & Al Dohaiman, M.S. (2013). Nonlinear Analysis among Crude Oil Prices, Stock Markets’ Return and Macroeconomic Variables. International Review of Economics and Finance, 27, 416-431. http://dx.doi.org/10.1016/j.iref.2013.01.001.
Najaf, R., & Najaf, K. (2016). Impact of Crude Oil Prices on the Bombay Stock Exchange. Journal of Business & Financial Affairs, 5(4), 10-12. http://dx.doi.org/10.4172/2167-0234.1000216.
Narang, S.P., & Singh, R.P. (2012). Causal Relationship between Gold Price and Sensex: A Study in Indian Context. Vivekananda Journal of Research, 1, 33-37.
Patel, S. (2012). The effect of Macroeconomic Determinants on the Performance of the Indian Stock Market. NMIMS Management Review, 22.
Rahman, M., & Mustafa, M. (2018). Effects of Crude Oil and Gold Prices on US Stock Market: Evidence for USA from ARDL Bounds Testin. Finance and Market, 3(1), 1-9. http://dx.doi.org/10.18686/fm.v3.1055.
Rakesh, D., Raju, J.K., & Basavangowda, K.G. (2016). An Impact of Currency Fluctuations on Indian Stock Market. International Journal of Application or Innovation in Engineering & Management, 5(6), 146-151.
Ranjusha, N., Devasia, M.D., & Nandakumar, V.T. (2017). Cointegrating Relation Between Exchange Rate and Gold Price. International Journal of Research-Granthaalayah, 5(10), 263-269. http://dx.doi.org/10.5281/zenodo.1043230.
Rastogi, S. (2016). Gold Price, Crude Oil, Exchange Rate and Stock Markets. International Journal of Corporate Finance and Accounting, 3(2), 1-13. http://dx.doi.org/10.4018/IJCFA.2016070101.
Raza, N., Syed, J.H.S., Aviral Kumar, T., & Shahbaz, M. (2016). Asymmetric Impact of Gold, Oil Prices and Their Volatilities on Stock Prices of Emerging Markets. Resources Policy, 49, 290-301.
Sari, R., Hammoudeh, S., & Soyta, U. (2010). Dynamics of Oil Price, Precious Metal Prices, and Exchange Rate. Energy Economics, 32(2), 351-362. http://dx.doi.org/10.1016/j.eneco.2009.08.010.
Sathyanarayana, S., Harish, S.N., & Gargesha, S. (2018). Volatility in Crude Oil Prices and its Impact on Indian Stock Market Evidence from BSE Sensex. SDMIMD Journal of Management, 9(1), 65-78. http://dx.doi.org/10.18311/sdmimd/2018/19997.
Sekaran, M.C., & Krishnamoorthy, V. (2016). Influence of selected Macro Economics variables on Indian stock market – A study of BSE Sensex. Abhinav National Monthly Refereed Journal of Research in Commerce & Management, 5(3).
Sharma, A., Giri, S., Vardhan, H., Surange, S., Shetty, R., & Shetty, V. (2018). Relationship between Crude Oil Prices and Stock Market: Evidence from India. International Journal of Energy Economics and Policy, 8(4), 331-337.
Siddiqui, S., & Seth, N. (2015). Do Global Oil Price changes affect Indian Stock Market Returns? Journal of Management and Public Policy, 6(2), 29-41.
Sujit, K.S., & Kumar, B.R. (2011). Study on Dynamic Relationship among Gold Price, Oil Price, Exchange Rate and Stock Market Returns. International Journal of Applied Business and Economic Research, 9(2), 145-165.
Venkatamuni Reddy, A.R., Nayak, R., & Nagendra, S. (2019). Impact of Macro - Economic Factors on Indian Stock Market- A Research of BSE Sectoral Indices. International Journal of Recent Technology and Engineering, 8(2), 597-602. http://dx.doi.org/10.35940/ijrte.B1110.0782S719.
Downloads
Published
How to Cite
Issue
Section
Stats
Number of views and downloads: 651
Number of citations: 0
