Dynamic Changes of Economics Fundamentals on BSE Oil Price by Using an ARDL Bound Test Approach

Adalya Journal, (October 2019)

High Technology Letters, 2019

11 Pages Posted: 16 Nov 2020

See all articles by Baranidharan S

Baranidharan S

SRM Institute of Science and Technology; SRM Institute of Science and Technology; SRM Institute of Science and Technology

Date Written: September 9, 2019

Abstract

Stock market is accumulating to the liquidity of the financial sector by providing a substitute for risk or alternative through diversifying the risk of investor. When the stock market is internationally compete, only if risk is more diversify and its equip the saving, source of information about the listed companies in the stock market, also further different economic factors are judging the stock market development and trend. If total market capitalization and total value of stock trade are relative to GDP, Stock market indices which association of all the above measures. The paper analyses the impact of the macroeconomic variables namely crude oil import, crude oil export, exchange rate, foreign exchange reserve (FXR), FII, gold and IIP on BSE oil return by using statistical measures like ARDL model approach and VECM. The study has been collected from 1st May 2009 to 31st June 2019. The research work found that there was no short run relationship between BSE Oil and selected macroeconomic variables, all the variables are not significant with BSE Oil at 5% significance level. The study examined that the estimated value of ECT is -0.97337 which enfold that the speed of adjustment to equilibrium after a shock is high. Almost 97% of disequilibrium from the previous year’s shock converges back to the longrun relationship in the current year. In long run, there is no serial correlation but stability exists. The study concluded that BSE oil returns determined by the past trend and behavior of the macroeconomic variables.

Keywords: Macroeconomic; Exchange rate; Foreign exchange reserve; Crude oil; Index of industrial production; Auto Regressive Distributed Lag Model

JEL Classification: E2, E6, F4, L16, O24

Suggested Citation

S, Baranidharan, Dynamic Changes of Economics Fundamentals on BSE Oil Price by Using an ARDL Bound Test Approach (September 9, 2019). Adalya Journal, (October 2019), High Technology Letters, 2019, Available at SSRN: https://ssrn.com/abstract=3689508

Baranidharan S (Contact Author)

SRM Institute of Science and Technology ( email )

Kattankulathour
Potheri
Chennai, TN Tamilnadu 603203
India

SRM Institute of Science and Technology ( email )

Kattankulathour
Potheri
Chennai, TN SRMIST 603203
India

SRM Institute of Science and Technology ( email )

Mahatma Gandhi Road, SRM Nagar
Potheri, Kattankulathur, Kancheepuram District
Chennai, TN Tamil Nadu 603203
India

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
12
Abstract Views
86
PlumX Metrics