*Assistant Professor, Centre for Management Studies, Jamia Millia Islamia, New Delhi, India. drsaifsiddiqui@gmail.com
**Research Scholar, Centre for Management Studies, Jamia Millia Islamia, A Central University, New Delhi, India
Online published on 12 May, 2017.
The deepest downturn has been recently faced by oil industry. This sinking price was first observed in June 2014 and it moved further down. This change affected the investment pattern of many companies and leads to a decline in corporate margins and influence investments in stock markets. Keeping in view this important relationship, here, we propose to study the movement of crude oil prices and volatility spill over affect on Indian Stock market and on Exchange rate. Daily data for the period from June 01, 2014 to August 31, 2016 of stock market, exchange rate and crude oil prices was taken. BSE S&P has been taken to represent Indian stock market. US/INR is used as exchange rate. Beside, doing descriptive statistics, Unit Root, Johansen Cointegration and correlation test, we used Garch (1, 1) model. Preliminary results suggested that apart from different degrees of correlations between exchange rate, stock market and crude oil prices are found to be significant. We found that there are some markets from where there is significant flow of volatility. Affect of historic crude price movement on stock markets is also significant.
crude oil, stock market, correlation, volatility
