Impact of Crude Oil Price and Exchange Rate Volatility on the Performance of NSE Nifty: An Empirical Analysis

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Published Jun 1, 2019
https://doi.org/10.35737/sjccmrr/V9/i1/2019/145543
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Volume 9, Issue 1, June 2019

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Tom Jacob
Assistant Professor, Dept. of Commerce, Christ College, Irinjalakuda, Kerala
Thomas Paul Kattookaran
Associate Professor and H.O.D, Research Department of Commerce, St. Thomas College, Autonomous, Thrissur, Kerala

Abstract

The aim of the research paper is to analyse the impact of crude oil price and exchange rate volatility affect the performance of stock return in India. Auto Regressive Distributed Lag Bound Test Modelhelps to analyse the dynamic relationship between oil prices, exchange rate and stock market return in India during 1995 to 2018.The estimated results suggest that there exist along run co-integrationor relationship between crude oil price, exchange rate and Indian stock market return. The impact of crude oil rice and exchange rate volatility significantly negative contribution to the performance of Indian stock market. The Error Correction Model (ECM) provides a framework for establishing links between the short-run and long-run approaches to econometric modelling. The equilibrium correlation coefficient is estimated -0.85 is highly significant at one percent. This result confirm the existence of bound test. The coefficient of ECM is highly significant with negative sign, which confirms the result of Bound Test for co-integration. In short the speed of adjustment towards long run equilibrium at the rate of 85 percent monthly.

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How to Cite
Jacob, T., & Kattookaran, T. P. (2019). Impact of Crude Oil Price and Exchange Rate Volatility on the Performance of NSE Nifty: An Empirical Analysis. SJCC Management Research Review, 14–25. https://doi.org/10.35737/sjccmrr/V9/i1/2019/145543
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