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

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