Principal, KG College of Arts and Science, KGiSL Campus, Saravanampatti, Coimbatore, India
JEL Classifications: G01, G15
The Global Financial Crisis (GFC) which began in the midst of 2007 and gained momentum in 2008 by the fall of leading American Banks like Lehman Brothers affected the economic environment all over the globe. This crisis rattled all the developed and developing market sentiments. The prime aim of this study is to predict the impact of GFC on stock and commodity market in India. We have employed granger causality test and vector auto regression (VAR) model using monthly average price of Standard Gold, Brent Crude Oil, US Dollar Exchange Rate and S&P BSE 100 index for twenty five years from 1990 to 2015. Granger causality test reveals that there exists uni-directional causality from US Dollar Exchange rate to BSE 100, from oil price index to US Dollar which means there is short run interchangeable lead-lag relationship between these variables. Valid evidence resulted from impulse-response function shows that oil market has a negative effect on BSE 100 in long run.
BSE 100, Global financial Crisis, Impulse-response function
