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Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests

Sajal Ghosh () and Kakali Kanjilal

Energy Economics, 2016, vol. 53, issue C, 111-117

Abstract: This article explores nonlinear cointegration between international crude oil price and Indian stock market in a multivariate framework for the period January 2, 2003 to July 29, 2011 by threshold cointegration tests which determine the structural breaks endogenously. The tests reject any long-run equilibrium relationship among the variables for the entire data span. In order to get better insight, threshold cointegration tests have been applied on three sub-phases; prior (phase I) and post (phase III) to most volatile phase (phase II) spanning from July 2, 2007 to Dec 29, 2008. The tests suggest existence of cointegration in phase III only. Toda–Yamamoto version of Granger causality tests reveals that movements of international crude oil price have impact on Indian stock market in phases II and III with no feedback effect. The findings also suggest that global crude oil price is exogenously determined.

Keywords: Oil price; Stock market; India; Threshold cointegration; Endogenous structural breaks (search for similar items in EconPapers)
JEL-codes: C22 C24 C54 E44 G10 O50 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (92)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:53:y:2016:i:c:p:111-117

DOI: 10.1016/j.eneco.2014.11.002

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Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

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