A STUDY ON DYNAMIC RELATIONSHIP BETWEEN CRUDE OIL PRICES AND STOCK MARKET PRICES IN INDIA

Authors

  • Dr. Naveen Chinni Assistant Professor, Department of MBA, Gayatri Vidya Parishad College for Degree and PG Courses, Visakhapatnam
  • Ms. Amulya.G.T Assistant Professor, Commerce and management, East West School of Business Management, Bangalore
  • Dr.Nagala Shyam Venkata Nooka Raju Professor & Principal, Department Of Management Studies, Unity Degree College

Keywords:

Dynamic relationship, Crude oil, Stock market prices, Granger causality

Abstract

The Indian stock market is highly volatile. The effect of one market on another market is not new. However, the variations in the degree of impact and co-movement between the markets need to be examined. This research aims to study the dynamic relationship between Crude oil price and stock prices from April 2017 to March 2022. In order to establish the relationship between the exchange rate and the stock market price, ADF test is embarked to examine immovability of data and is evident that it is un-movable at initial difference level. The Johansen co-integration test of Johansen is applied to assess long-term balance of Nifty Index analysis with the Banking sector and to define the co-integration of the variables. Granger causality test is used to regulate causal & short-term relationship of the variables with the corresponding bidirectional of the causality among the variables.

Downloads

Download data is not yet available.

References

• Agrawal, D. K. (2022). An Empirical Study On Socioeconomic Factors Affecting Producer’s

Participation In Commodity Markets In India. Journal of Positive School Psychology, 2896-2906.

• Andreoli, A., Ballestra, L. V., & Pacelli, G. (2016). From insurance risk to credit portfolio management: a new approach to pricing CDOs. Quantitative Finance, 16(10), 1495-1510.

• Andreoli, A., Ballestra, L. V., & Pacelli, G. (2016). From insurance risk to credit portfolio management: a new approach to pricing CDOs. Quantitative Finance, 16(10), 1495-1510.

• Atmaca, M. E. (2022). Portfolio management and performance improvement with Sharpe and Treynor ratios in electricity markets. Energy Reports, 8, 192-201.

• Barros, C. P., Gil-Alana, L. A., & Payne, J. E. (2011). An analysis of oil production by OPEC countries: Persistence, breaks, and outliers. Energy policy, 39(1), 442-453.

• Basha, M., Singh, A. P., Rafi, M., Rani, M. I., & Sharma, N. M. (2020). Cointegration and Causal relationship between Pharmaceutical sector and Nifty-An empirical Study. PalArch's Journal of Archaeology of Egypt/Egyptology, 17(6), 8835-8842.

• Basha, S. M., & Ramaratnam, M. S. (2017). Construction of an Optimal Portfolio Using Sharpe's Single Index Model: A Study on Nifty Midcap 150 Scrips. Indian Journal of Research in Capital Markets, 4(4), 25-41.

• Bednarek, Z., Patel, P., & Ramezani, C. A. (2016). Time aggregation of the Sharpe ratio. Journal of Asset Management, 17(7), 540-555.

• Chow, V., & Lai, C. W. (2015). Conditional sharpe ratios. Finance Research Letters, 12, 117-133.

• DrSanthosh Kumar, V., & Basha, S. M. (2022). A study of Emotional Intelligence and Quality of Life among Doctors in PandemicCovid 19. International Journal of Early Childhood, 14(02),2080-2090.

• EWUBARE, D. B. (2018). EWUBARE, Dennis Brown, MAEBA, Sampson Lucky" Effect of Public Expenditure in Construction and Transportation sectors on Employment in

Nigeria. International Journal of Science and Management Studies (IJSMS), 1, 14.

• Ewubare, D. B., & Maeba, S. L. (2018). Effect of public expenditure in construction and transportation sectors on employment in Nigeria. International Journal of Science and Management Studies, 1(4), 130-136.

• Filos, A. (2019). Reinforcement learning for portfolio management. arXiv preprintarXiv:1909.09571.

• Gorman, S. A., & Fabozzi, F. J. (2022). Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios. The Journal of Portfolio Management, 48(4),147-182.

• Basha, S. M., Kethan, M., & Aisha, M. A. A Study on Digital Marketing Tools amongst the Marketing Professionals in Bangalore City.

• Gregoriou, G. N., & Gueyie, J. P. (2003). Risk-adjusted performance of funds of hedge funds using a modified Sharpe ratio. The Journal of wealth management, 6(3), 77-83.

• JagadeeshBabu, M. K., SaurabhSrivastava, S. M., & AditiPriya Singh, M. B. S. (2020). INFLUENCE OF SOCIAL MEDIA MARKETING ON BUYING BEHAVIOR OF

MILLENNIAL TOWARDS SMART PHONES IN BANGALORE CITY. PalArch's Journal of Archaeology of Egypt/Egyptology, 17(9), 4474-4485.

• Krishnamoorthy, D. N., & Mahabub Basha, S. (2022). An empirical study on construction portfolio with reference to BSE. Int J Finance Manage Econ, 5(1), 110-114.

• Leibowitz, M. L., & Kogelman, S. (2020). Sharpe Ratios, Target Ratios, and Return Goals. The Journal of Portfolio Management, 47(1), 41-50.

• Maree, C., & Omlin, C. W. (2022, May). Balancing Profit, Risk, and Sustainability for Portfolio Management. In 2022 IEEE Symposium on Computational Intelligence for Financial Engineering and Economics (CIFEr) (pp. 1-8). IEEE.

Downloads

Published

2022-12-31

How to Cite

Chinni, D. N. ., .G.T, M. A., & Venkata Nooka Raju, D. S. (2022). A STUDY ON DYNAMIC RELATIONSHIP BETWEEN CRUDE OIL PRICES AND STOCK MARKET PRICES IN INDIA. The Journal of Contemporary Issues in Business and Government, 28(4), 904–915. Retrieved from https://cibgp.com/au/index.php/1323-6903/article/view/2617

Issue

Vol. 28 No. 4 (2022): The journal of contemporary issues in business and government

Section

Articles

License

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

You are free to:

  1. Share — copy and redistribute the material in any medium or format for any purpose, even commercially.
  2. Adapt — remix, transform, and build upon the material for any purpose, even commercially.
  3. The licensor cannot revoke these freedoms as long as you follow the license terms.

Under the following terms:

  1. Attribution — You must give appropriate credit , provide a link to the license, and indicate if changes were made . You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use.
  2. No additional restrictions — You may not apply legal terms or technological measures that legally restrict others from doing anything the license permits.

Notices:

You do not have to comply with the license for elements of the material in the public domain or where your use is permitted by an applicable exception or limitation .

No warranties are given. The license may not give you all of the permissions necessary for your intended use. For example, other rights such as publicity, privacy, or moral rights may limit how you use the material.