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Change in oil prices may have a different impact on different countries due to various factors such as their relative position as oil importers or exporters, different tax structures. Oil price affects Indian economy. A small rise in oil price leads to an increase in prices of goods and services. It is also affected by the exchange rate and effects stock market too. Here, we propose to study the co-movement of crude oil prices and volatility spillover affect on stock market and USD–INR rate of exchange. Daily data for the period from June 01, 2014 to August 31, 2016 of BSE S&P Sensex (Sensex), prices of crude oil and USD–INR rate of exchange are taken. We used multivariate GARCH model to identify spillover of volatility. Besides, doing descriptive statistics, Unit Root, Johansen Co-integration and correlation test, we also put Granger causality test. Volatility spillover between exchange rate, Sensex and crude oil prices are found to be significant and bidirectional. Affect of crude oil price movement on Sensex is also significant.
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- Probing Time-Varying Conditional Correlation Between Crude Oil and Sensex
- Springer Singapore
- Chapter 11
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