Causal relationship among international crude oil, gold, exchange rate, and stock market: Fresh evidence from NARDL testing approach

Abstract

Abstract There is a continuous debate on how commodity prices affect the stock prices of emerging countries. We contribute to this debate by study the causal relationship between international prices of crude oil, gold, exchange rate, and Indian stock market. India is one of the major oil and gold importing and major petroleum products exporting country. On the daily prices of all the above mentioned variables from “January 1994 to December 2019”, the nonlinear autoregressive distributed lag model (NARDL) is employed to examine cointegration (Shin et al., 2014). The findings of the study revealed that crude oil prices positively affect the Indian stock market and exchange rate negatively affects the stock market in the short run. Stock market is unaffected by gold prices. Our findings have essential implications for the various policymakers, investors, and traders.

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