DYNAMIC RELATIONSHIPS AMONG CRUDE OIL PRICE, EXCHANGE RATE AND BSE SENSEX

  • Roshan Kumar Research Scholar, IK Gujral Punjab Technical University, Jalandhar (Punjab)
  • Manisha Gupta Director, Punjab Institute of Management and Technology, Mandi Gobindgarh, Khanna (Punjab)
Keywords: Crude oil price, exchange rate, stock price, co-integration, granger causality test

Abstract

The study examined Dynamic relationship among crude oil prices, exchange rates and stock prices in India for the duration January 2006 to December 2016 using daily data. The research work include the testing for a unit root test in time series data, then it testing the number of co-integrating vectors in the system. In the next step we use the johansen co integration test to examine the relationship among variables. At the last Granger causality test is used to estimating the direction of causality among the variables.

Published
2020-03-14
How to Cite
Roshan Kumar, & Manisha Gupta. (2020). DYNAMIC RELATIONSHIPS AMONG CRUDE OIL PRICE, EXCHANGE RATE AND BSE SENSEX. Management Insight, 13(2), 6-12. Retrieved from http://journals.smsvaranasi.com/index.php/managementinsight/article/view/95
Issue
Vol. 13 No. 2 (2017): Management Insight
Section
Articles