Nexus Between Crude Oil Price, Exchange Rate and Stock Market

Download or read book Nexus Between Crude Oil Price, Exchange Rate and Stock Market written by Muhammad Ashiq Am and published by . This book was released on 2017 with total page 3 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between stock prices and macroeconomic variables like crude oil price, exchange rate, gold price, GDP, Inflation etc. have been widely studied in the context of developed countries and few studies on emerging and developing countries are also done. An attempt is made here to study specifically the impact of crude oil price volatility on stock prices and exchange rates on the basis of crude oil export and import volume. Monthly data from January 2004 to December 2015 has been collected for nine countries from the list of top 20 oil importing and exporting countries for stock prices, exchange rate of each country against US dollar. We use the Johansen Fisher Panel Cointegration Test to ensure the existence of long-run relation and Fully Modified OLS (FMOLS) to estimate the Cointegrating parameters. Results reveals that there is a long run equilibrium relationship among Stock price, Exchange rate and Oil price in the case of both panels of selected countries.