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Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests
16 references·16 citing·33 second hopsampled
Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests (2014)Co-movement of international crude oil pr…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Bounds testing approaches to the analysis of level relationships (2001)Bounds testing approaches to …What is an Oil Shock? (2000)What is an Oil Shock?Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …This is what happened to the oil price-macroeconomy relationship (1996)This is what happened to the …Oil and the Stock Markets (1996)Oil and the Stock MarketsStatistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results (1989)Oil and the Macroeconomy When…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data (2022)Does geopolitical risk matter…A bibliometric review of financial market integration literature (2022)A bibliometric review of fina…The nexus between oil price and stock market: Evidence from South Asia (2021)The nexus between oil price a…Relationship between green investments, energy markets, and stock markets in the aftermath of the global financial crisis (2021)Relationship between green in…Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain (2021)Oil, natural gas and BRICS st…The linkages between oil market uncertainty and Islamic stock markets: Evidence from quantile-on-quantile approach (2020)The linkages between oil mark…Risk spillovers between oil and stock markets: A VAR for VaR analysis (2019)Risk spillovers between oil a…Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach (2019)Impacts of oil implied volati…Oil Prices and Chinese Stock Market: Nonlinear Causality and Volatility Persistence (2018)Oil Prices and Chinese Stock …Oil price and automobile stock return co-movement: A wavelet coherence analysis (2018)Oil price and automobile stoc…Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective? (2017)Time-varying causality betwee…Nonparametric panel data model for crude oil and stock market prices in net oil importing countries (2017)Nonparametric panel data mode…Extreme dependence and risk spillovers between oil and Islamic stock markets (2017)Extreme dependence and risk s…Asymmetric impact of oil price on Islamic sectoral stocks (2017)Asymmetric impact of oil pric…Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries (2016)Volatility transmission from …Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis (2015)Oil volatility shocks and the…Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The saving and investment nexus for China: evidence from cointegration tests (2005)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Comparing alternative tests of causality in temporal systems (1983)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Testing for a Unit Root in Time Series Regression (1988)Tourism as a long-run economic growth factor: the Spanish case (2002)Energy consumption, income, and carbon emissions in the United States (2006)Energy consumption, carbon emissions, and economic growth in China (2009)Time Series Analysis: Forecasting and Control (1977)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Introductory Econometrics for Finance (2008)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 2001Bounds testing approaches to the analysis of level relationships20,339 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 2000What is an Oil Shock?2,194 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 1996This is what happened to the oil price-macroeconomy relationship1,684 cited
  • 1996Oil and the Stock Markets1,611 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1989Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results1,557 cited
  • Cited by

    • 2019Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach156 cited
    • 2017Nonparametric panel data model for crude oil and stock market prices in net oil importing countries147 cited
    • 2015Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis145 cited
    • 2020The linkages between oil market uncertainty and Islamic stock markets: Evidence from quantile-on-quantile approach141 cited
    • 2021The nexus between oil price and stock market: Evidence from South Asia136 cited
    • 2019Risk spillovers between oil and stock markets: A VAR for VaR analysis133 cited
    • 2017Asymmetric impact of oil price on Islamic sectoral stocks129 cited
    • 2017Extreme dependence and risk spillovers between oil and Islamic stock markets128 cited
    • 2017Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?119 cited
    • 2022A bibliometric review of financial market integration literature118 cited
    • 2021Relationship between green investments, energy markets, and stock markets in the aftermath of the global financial crisis115 cited
    • 2016Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries111 cited
    • 2022Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data110 cited
    • 2018Oil price and automobile stock return co-movement: A wavelet coherence analysis96 cited
    • 2018Oil Prices and Chinese Stock Market: Nonlinear Causality and Volatility Persistence93 cited
    • 2021Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain88 cited