Nonlinear Granger causality between oil price and stock returns in India

The nonlinear causal dimension in oil price and stock returns aspect is less explored in literature. This study provides such evidence by applying Hiemstra and Jones (1994) nonlinear Granger causality test to the VAR residuals in case of India. Our result indicates that there exists bi‐directional n...

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Bibliographic Details
Published inJournal of public affairs Vol. 21; no. 1
Main Authors Bal, Debi Prasad, Dash, Devi Prasad
Format Journal Article
LanguageEnglish
Published London Wiley Subscription Services, Inc 01.02.2021
Subjects
Causality
Petroleum
Prices
India
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Summary:The nonlinear causal dimension in oil price and stock returns aspect is less explored in literature. This study provides such evidence by applying Hiemstra and Jones (1994) nonlinear Granger causality test to the VAR residuals in case of India. Our result indicates that there exists bi‐directional nonlinear causality between oil price and stock returns. It implies that the lagged information of oil price and stock returns can be able to predict each other efficiently.
ISSN:1472-3891
1479-1854
DOI:10.1002/pa.2137