Dynamics of oil price shocks and emerging stock market volatility: a generalized VAR approach

Dynamics of oil price shocks and emerging stock market volatility: a generalized VAR approach

Purpose – This study aims to establish the dynamic relationship between international crude oil prices and Indian stock prices represented by the Bombay Stock Exchange (BSE) energy index. Design/methodology/approach – Using Johansen’s cointegration test, vector error correction (VEC) model, impulse...

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Bibliografiska uppgifter
Huvudupphovsmän: Megha Agarwalla, Tarak Nath Sahu, Shib Sankar Jana
Materialtyp: Artikel
Språk:English
Publicerad: Emerald Publishing 2021-07-01
Serie:Vilakshan (XIMB Journal of Management)
Ämnen:
crude oil price
stock market volatility
bse energy indices
var approach
c32
e44
g17
Länkar:https://www.emerald.com/insight/content/doi/10.1108/XJM-07-2020-0018/full/pdf?title=dynamics-of-oil-price-shocks-and-emerging-stock-market-volatility-a-generalized-var-approach

Internet

https://www.emerald.com/insight/content/doi/10.1108/XJM-07-2020-0018/full/pdf?title=dynamics-of-oil-price-shocks-and-emerging-stock-market-volatility-a-generalized-var-approach

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