Asymmetric connectedness among BSE SENSEX, INR–USD exchange rate, gold price and crude oil price: fresh evidence from nonlinear ARDL
Purpose – This paper investigates the asymmetric connectedness among the Indian stock market, crude oil price, gold price and the USD–INR exchange rate. Design/methodology/approach – We construct a nonlinear autoregressive distributed lag model that contains the four aforementioned variables. We fur...
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Emerald Publishing
2024-11-01
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| Series: | Business Analyst |
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| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/BAJ-03-2024-0012/full/pdf |
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| author | Animesh Bhattacharjee |
| author_facet | Animesh Bhattacharjee |
| author_sort | Animesh Bhattacharjee |
| collection | DOAJ |
| description | Purpose – This paper investigates the asymmetric connectedness among the Indian stock market, crude oil price, gold price and the USD–INR exchange rate. Design/methodology/approach – We construct a nonlinear autoregressive distributed lag model that contains the four aforementioned variables. We further used the pairwise Granger causality test to identify the direction of causality. Findings – The results verify an asymmetrical long-run co-movement between the Indian stock market index, exchange rate, international crude oil prices and gold prices. In the long run, the performance of the Indian stock market is mainly affected by both positive as well as negative shocks in the INR–USD exchange rate, positive shocks in gold prices and positive shocks in crude oil prices. Further, a feedback mechanism is observed between positive shocks in the INR–USD exchange rate and Indian stock market performance. Originality/value – The research paper revisited the linkage among the variables using a novel methodology proposed by Shin et al. (2014). |
| format | Article |
| id | doaj-art-4acb424435fa45188eee034cef4a09e7 |
| institution | Kabale University |
| issn | 0973-211X 2754-6721 |
| language | English |
| publishDate | 2024-11-01 |
| publisher | Emerald Publishing |
| record_format | Article |
| series | Business Analyst |
| spelling | doaj-art-4acb424435fa45188eee034cef4a09e72025-02-03T14:29:21ZengEmerald PublishingBusiness Analyst0973-211X2754-67212024-11-0145211012010.1108/BAJ-03-2024-0012Asymmetric connectedness among BSE SENSEX, INR–USD exchange rate, gold price and crude oil price: fresh evidence from nonlinear ARDLAnimesh Bhattacharjee0Faculty of Management and Commerce, ICFAI University Tripura, Agartala, IndiaPurpose – This paper investigates the asymmetric connectedness among the Indian stock market, crude oil price, gold price and the USD–INR exchange rate. Design/methodology/approach – We construct a nonlinear autoregressive distributed lag model that contains the four aforementioned variables. We further used the pairwise Granger causality test to identify the direction of causality. Findings – The results verify an asymmetrical long-run co-movement between the Indian stock market index, exchange rate, international crude oil prices and gold prices. In the long run, the performance of the Indian stock market is mainly affected by both positive as well as negative shocks in the INR–USD exchange rate, positive shocks in gold prices and positive shocks in crude oil prices. Further, a feedback mechanism is observed between positive shocks in the INR–USD exchange rate and Indian stock market performance. Originality/value – The research paper revisited the linkage among the variables using a novel methodology proposed by Shin et al. (2014).https://www.emerald.com/insight/content/doi/10.1108/BAJ-03-2024-0012/full/pdfNonlinear connectednessExchange rateCrude oil priceGold priceNARDL |
| spellingShingle | Animesh Bhattacharjee Asymmetric connectedness among BSE SENSEX, INR–USD exchange rate, gold price and crude oil price: fresh evidence from nonlinear ARDL Business Analyst Nonlinear connectedness Exchange rate Crude oil price Gold price NARDL |
| title | Asymmetric connectedness among BSE SENSEX, INR–USD exchange rate, gold price and crude oil price: fresh evidence from nonlinear ARDL |
| title_full | Asymmetric connectedness among BSE SENSEX, INR–USD exchange rate, gold price and crude oil price: fresh evidence from nonlinear ARDL |
| title_fullStr | Asymmetric connectedness among BSE SENSEX, INR–USD exchange rate, gold price and crude oil price: fresh evidence from nonlinear ARDL |
| title_full_unstemmed | Asymmetric connectedness among BSE SENSEX, INR–USD exchange rate, gold price and crude oil price: fresh evidence from nonlinear ARDL |
| title_short | Asymmetric connectedness among BSE SENSEX, INR–USD exchange rate, gold price and crude oil price: fresh evidence from nonlinear ARDL |
| title_sort | asymmetric connectedness among bse sensex inr usd exchange rate gold price and crude oil price fresh evidence from nonlinear ardl |
| topic | Nonlinear connectedness Exchange rate Crude oil price Gold price NARDL |
| url | https://www.emerald.com/insight/content/doi/10.1108/BAJ-03-2024-0012/full/pdf |
| work_keys_str_mv | AT animeshbhattacharjee asymmetricconnectednessamongbsesensexinrusdexchangerategoldpriceandcrudeoilpricefreshevidencefromnonlinearardl |