Open AccessDynamic Relationships among Crude oil price, exchange rate and BSE Sensex
Author(s) -
Roshan Kumar,
Manisha Gupta
Publication year - 2018
Publication title -
management insight
Language(s) - English
Resource type - Journals
eISSN - 2456-0936
pISSN - 0973-936X
DOI - 10.21844/mijia.v13i02.11264
Subject(s) - econometrics , granger causality , augmented dickey–fuller test , unit root test , exchange rate , causality (physics) , crude oil , statistics , stock exchange , test (biology) , unit root , mathematics , economics , cointegration , biology , engineering , petroleum engineering , ecology , macroeconomics , finance , physics , quantum mechanics
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