P. Lakshmi and S. Visalakshmi. Reconnoitering the Causal Relationship in Crude Oil Market during Crisis.
. 2013; 1(6):128-132. doi: 10.12691/JBMS-1-6-2
crude oil, MCX, VAR, Variance Decomposition, impulse response
This work is licensed under a Creative Commons Attribution 4.0 International License. To view a copy of this license, visit
[1] | Biswas, S., &Rajib, P. (2011),"Testing price volume relationships for Indian commodity futures", Journal of Indian Business Research, Vol. 3 Iss: 2 pp. 117-131. |
|
[2] | Ekeland, I., Lautier, D., & Villeneuve, B. (2012).A simple equilibrium model for a commodity market with spot trades and futures contracts. |
|
[3] | Frankel JA and AK Rose (2009),‘Determinants of Agricultural and Mineral Commodity Prices’, in R Fry, C Jones and C Kent (eds), Inflation in an Era of Relative Price Shocks, Proceedings of a Conference, Reserve Bank of Australia, Sydney, pp 9-43. |
|
[4] | Garbade, K.D. and Silber, W.L. (1983), ‘‘Price movement and price discovery in futures and cash markets’’, The Review of Economics and Statistics, Vol. 65 No. 2, pp. 289-97. |
|
[5] | Granger, C. (1969), “Investigating causal relations by econometric models and cross-spectral methods”, Econometrica, Vol. 37, pp. 424-38. |
|
[6] | Iyer, V., &Pillai, A. (2010),"Price discovery and convergence in the Indian commodities market", Indian Growth and Development Review, Vol. 3 Iss: 1 pp. 53-61. |
|
[7] | Karpoff, J. (1987), “The relation between price changes and trading volume: a survey”, Journal of Financial and Quantitative Analysis, Vol. 22, pp. 109-26. |
|
[8] | Kumar, S. (2004), ‘‘Price discovery and market efficiency: evidence from agricultural commodities futures markets’’, South Asian Journal of Management, Vol 11 No. 2. |
|
[9] | Liyan, L. (2011) FDI and Economic Development in China: 1978-2008, Management and Service Science (MASS), 2011 International Conference on 2011, IEEE, pp. 1-4. |
|
[10] | Miller, J. I., &Ratti, R. A. (2009). Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31(4), 559-568. |
|
[11] | Moosa I A (2002), “Price Discovery and Risk Transfer in the Crude Oil Futures. Market: Some Structural Time Series Evidence”, Economic Notes, Vol. 31, pp. 155-165. |
|
[12] | Pavabutr, P., &Chaihetphon, P., (2010), Price discovery in the Indian gold futures market, Journal of Economics and Finance 34:455-467. |
|
[13] | Shihabudheen M T and Padhi P (2010), “Price Discovery and Volatility Spillover Effect in Indian Commodity Market”, Indian Journal of Agricultural Economics, Vol. 65, No.1, pp. 101-117. |
|
[14] | Praveen D G and Sudhakar A (2006), “Price Discovery and Causality in the Indian Derivatives Market”, ICFAI Journal of Derivatives Markets, Vol. 3, No.1, pp. 22-29. |
|
[15] | Srinivasan P (2009), “An Empirical Analysis of Price Discovery in the NSE Spot and Future Markets of India”, The ICFAI Journal of Applied Finance, Vol. 15, No.11, pp. 24-36. |
|
[16] | Srinivasan, P., Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market (September 27, 2012). The IUP Journal of Behavioral Finance, Vol. IX, No. 1, March 2012, pp. 70-85. |
|
[17] | Gokhale, M. S., &Raju, J. R. (2012). Empirical Analysis of the Causal Relationship between Nominal Exchange Rate and Foreign Direct Investment in India Using VAR (Vector Autoregression Model). Global Journal of Management And Business Research, 12(22). |
|
[18] | Weiguo, X., & Yang, Z. (2010, December). Empirical research on the influence of real exchange rate volatility on US FDI in China. In Information Science and Engineering (ICISE), 2010 2nd International Conference on (pp. 222-225). IEEE. |
|
[19] | Tsai, B. H., & Li, S. H. (2004). The effect of foreign ownership restrictions on the price dynamics of depositary receipts—evidence from the Taiwan and Hong Kong markets. Journal of Accounting, Auditing & Finance, 19(3), 301-330. |
|
[20] | Dwyer, A., Holloway, J., & Wright, M. (2012). Commodity market financialisation: A closer look at the evidence. The Recent Economic Performance of the States 1 Trends in National Saving and Investment 9 The Distribution of Household Wealth in Australia: Evidence from the 2010 HILDA Survey 19 India’s Steel Industry 29, 65. |
|
[21] | Gujarati, D., 1995. Basic Econometrics, New York: McGraw Hill, Inc. |
|
[22] | Davidson, R., and J. G. MacKinnon, Estimation and Inference in Econometrics. Oxford University Press, 1993. |
|