*Assistant Professor, Graduate School of Business, Devi Ahilya Vishwavidyalaya, Indore, Madhya Pradesh, India
**Student, School of Commerce, Devi Ahilya Vishwavidyalaya, Indore, Madhya Pradesh, India
This paper attempts to investigate empirically the dynamic relationship among crude oil price, exchange rate and Indian stock market. Using daily data of Crude oil price, Dollar-Rupee value and Nifty returns from April 2010 to March 2015, correlation, regression and Granger-causality approach in a bi-variate VAR framework has been used to investigate the causality between crude oil and nifty returns; exchange rate and nifty returns. Augmented Dickey Fuller (ADF) test has been used to test whether the data is stationary or not. The outcome of the study was there is a significant negative correlation between nifty returns and exchange rate and significant positive correlation between nifty returns and crude oil, and a unidirectional causality running from nifty returns to exchange rates and crude oil price to nifty returns.
Causality Analysis, Crude Oil, Exchange Rate, Nifty, Unit Root
