*Assistant Professor, Graduate School of Business, Devi Ahilya Vishwavidyalaya, Indore, Madhya Pradesh, India
**Student, School of Commerce, Devi Ahilya Vishwavidyalaya, Indore, Madhya Pradesh, India
Online published on 6 February, 2016.
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
