A study on the impact of crude oil prices on stock market, commodity market and select macroeconomic variables

Abstract

This study has been undertaken to understand how crude oil prices tend to impact the Indian Stock market (NIFTY 50 index), Commodity market (COMDEX) as well as India's macroeconomic variables namely Inflation (Wholesale Price Index) and Gross Domestic Product (GDP). The study is undertaken for a period ranging from 2007-2016. An effort has also been made to study the volatility of NIFTY 50 and COMDEX which are indexes of the National Stock Exchange of India Limited and Multi Commodity Exchange of India Limited respectively. The existence of relationship and Volatility was measured through various statistical and econometric tools like Unit Root test, Granger Causality Test, Correlation analysis, Ordinary Least Square (OLS) and Generalized Auto Regressive Conditional Hetroscedasticity (GARCH) Model. The study concluded that crude prices have a significant impact on the NSE, MCX, Inflation (Wholesale Price Index), and GDP. The study on crude oil price volatility provides a useful insight to consumers, policy makers, investors and even in academics.