Nonlinear Granger causality between oil price and stock returns in India

被引：2

作者：

Bal, Debi Prasad ^{[1
]}

Dash, Devi Prasad ^{[2
]}

机构：

[1] Birla Global Univ, Birla Sch Social Sci & Humanities, Dept Econ, Bhubaneswar, India

[2] Indian Inst Management, Dept Econ & Publ Policy, Rohtak, Haryana, India

来源：

JOURNAL OF PUBLIC AFFAIRS | 2021年 / 21卷 / 01期

关键词：

MONETARY-POLICY; MARKET; SHOCKS; CHINA; MODEL; IMPACT;

D O I：

10.1002/pa.2137

中图分类号：

C93 [管理学]; D035 [国家行政管理]; D523 [行政管理]; D63 [国家行政管理];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ; 1204 ; 120401 ;

摘要：

The nonlinear causal dimension in oil price and stock returns aspect is less explored in literature. This study provides such evidence by applying Hiemstra and Jones (1994) nonlinear Granger causality test to the VAR residuals in case of India. Our result indicates that there exists bi-directional nonlinear causality between oil price and stock returns. It implies that the lagged information of oil price and stock returns can be able to predict each other efficiently.

引用

页数：5

共 50 条

[21] Relationship Between Oil Price Movements and Stock Returns of Oil Firms in Oil Importing Economies
Kushwah, Silky Vigg
Siddiqui, Areej Aftab
[J]. GLOBAL BUSINESS REVIEW, 2023, 24 (05) : 916 - 932
[22] Dependence of Stock Returns in the Prague Stock Exchange on the Oil Price
Benada, Ludek
[J]. PROCEEDINGS OF THE 14TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING, 2014, : 1 - 7
[23] Stock price prediction based on error correction model and Granger causality test
Yang Ning
Liu Chun Wah
Luo Erdan
[J]. Cluster Computing, 2019, 22 : 4849 - 4858
[24] Stock price prediction based on error correction model and Granger causality test
Yang Ning
Wah, Liu Chun
Luo Erdan
[J]. CLUSTER COMPUTING-THE JOURNAL OF NETWORKS SOFTWARE TOOLS AND APPLICATIONS, 2019, 22 (02): : S4849 - S4858
[25] Stock prices and trading volume: An assessment for linear and nonlinear Granger causality
Rashid, Abdul
[J]. JOURNAL OF ASIAN ECONOMICS, 2007, 18 (04) : 595 - 612
[26] Oil price shocks and stock returns of oil and gas corporations
Diaz, Elena Maria
de Gracia, Fernando Perez
[J]. FINANCE RESEARCH LETTERS, 2017, 20 : 75 - 80
[27] Oil price and stock returns of consumers and producers of crude oil
Dinh Hoang Bach Phan
Sharma, Susan Sunila
Narayan, Paresh Kumar
[J]. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2015, 34 : 245 - 262
[28] The Time–Frequency Relationship between Oil Price, Stock Returns and Exchange Rate
Das S.
[J]. Journal of Business Cycle Research, 2021, 17 (2) : 129 - 149
[29] The Asymmetric Interaction Between Oil Price Change and Stock Returns of the Renewable Energy Companies in India: A Panel NARDL Approach
Mishra, Lalatendu
Acharya, Rajesh H.
[J]. ASIA-PACIFIC FINANCIAL MARKETS, 2024,
[30] Nonlinear causality relationship between stock and real-estate returns in PIGS countries: wealth effect or credit-price effect
Lou, Tienwei
[J]. APPLIED ECONOMICS LETTERS, 2017, 24 (11) : 736 - 741

← 1 2 3 4 5 →