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Effect of fall in crude oil price on stock indices and exchange rates of India and China

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  • Bagchi, Bhaskar
  • Chatterjee, Susmita

Abstract

The present study makes an attempt to investigate the effect of sharp continuous falling crude oil prices on stock market indices and exchange rates of India and China. The period of the study spans from July 2009 to May 2016. Multivariate cointegration techniques along with vector error correction mechanism, impulse response functions are employed in this empirical research

Suggested Citation

  • Bagchi, Bhaskar & Chatterjee, Susmita, 2016. "Effect of fall in crude oil price on stock indices and exchange rates of India and China," MPRA Paper 74836, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:74836
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    File URL: https://mpra.ub.uni-muenchen.de/74836/1/MPRA_paper_74836.pdf
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    Cited by:

    1. Rakesh Shahani & Riya Paliwal, 2023. "An empirical investigation of the impact of spillover dynamics from crude to NSE Nifty Index during and prior to the COVID-19 pandemic period," SN Business & Economics, Springer, vol. 3(8), pages 1-21, August.
    2. Wang, Xiangning & Huang, Qian & Zhang, Shuguang, 2023. "Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).

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    More about this item

    Keywords

    crude oil prices; new oil price shock; stock indices exchange rates.;
    All these keywords.

    JEL classification:

    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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