Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests
Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests
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DOI：
10.1016/j.eneco.2014.11.002
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发表时间：
2016
期刊：
影响因子：
12.8
通讯作者：
Sajal Ghosh;K. Kanjilal
中科院分区：
文献类型：
--
作者：
Sajal Ghosh;K. Kanjilal
本文通过阈值协整检验，在多元框架下探讨了2003年1月2日至2011年7月29日期间国际原油价格与印度股票市场之间的非线性协整，以确定内生的结构性断裂。这些检验拒绝整个数据范围内变量之间的任何长期均衡关系。为了获得更好的洞察力，阈值协整检验已应用于三个子阶段；从 2007 年 7 月 2 日到 2008 年 12 月 29 日，从前（第一阶段）和后（第三阶段）到最不稳定的阶段（第二阶段）。测试表明仅在第三阶段存在协整。户田-山本版格兰杰因果检验表明，国际原油价格变动对印度股市的影响为第二阶段和第三阶段，且无反馈效应。研究结果还表明，全球原油价格是外生决定的。
This article explores nonlinear cointegration between international crude oil price and Indian stock market in a multivariate framework for the period January 2, 2003 to July 29, 2011 by threshold cointegration tests which determine the structural breaks endogenously. The tests reject any long-run equilibrium relationship among the variables for the entire data span. In order to get better insight, threshold cointegration tests have been applied on three sub-phases; prior (phase I) and post (phase III) to most volatile phase (phase II) spanning from July 2, 2007 to Dec 29, 2008. The tests suggest existence of cointegration in phase III only. Toda–Yamamoto version of Granger causality tests reveals that movements of international crude oil price have impact on Indian stock market in phases II and III with no feedback effect. The findings also suggest that global crude oil price is exogenously determined.