TY - JOUR
T1 - A Quantile Dependence among Exchange Rate, Stock Prices and Oil Prices
T2 - An Empirical Evidence from India
AU - Aldawsari, Salem Hamad
AU - Tan, Wei Shuen
AU - Elsherazy, Tarek Abbas
AU - Chang, Bisharat Hussain
AU - Alzoubi, Haitham M.
AU - Ognjanović, Ivana
N1 - Publisher Copyright:
© World Scientific Publishing Company.
PY - 2024/9/1
Y1 - 2024/9/1
N2 - This study investigates the dynamic relationship between exchange rates, oil prices, and stock prices in the Indian market, considering bearish, bullish, and neutral market states. By utilizing the Quantile ARDL method, we explore long- and short-run relationships in differing market states. The variations in sensitivities of oil prices and exchange rates with stock prices across diverse quantiles reflect significant variations in the Indian equity markets. Importantly, our study provides actionable insights for policymakers and stakeholders within India, empowering them with specific strategies for managing currency, stock prices, and oil prices under diverse market states. These insights are not just theoretical but directly applicable to real-world economic and financial decision-making, enhancing the ability of policymakers and stakeholders to navigate the complex Indian market.
AB - This study investigates the dynamic relationship between exchange rates, oil prices, and stock prices in the Indian market, considering bearish, bullish, and neutral market states. By utilizing the Quantile ARDL method, we explore long- and short-run relationships in differing market states. The variations in sensitivities of oil prices and exchange rates with stock prices across diverse quantiles reflect significant variations in the Indian equity markets. Importantly, our study provides actionable insights for policymakers and stakeholders within India, empowering them with specific strategies for managing currency, stock prices, and oil prices under diverse market states. These insights are not just theoretical but directly applicable to real-world economic and financial decision-making, enhancing the ability of policymakers and stakeholders to navigate the complex Indian market.
KW - India
KW - Oil prices
KW - exchange rate
KW - quantile ARDL model
KW - stock prices
UR - http://www.scopus.com/inward/record.url?scp=85210393887&partnerID=8YFLogxK
U2 - 10.1142/S2010495224500106
DO - 10.1142/S2010495224500106
M3 - Article
AN - SCOPUS:85210393887
SN - 2010-4952
VL - 19
JO - Annals of Financial Economics
JF - Annals of Financial Economics
IS - 3
M1 - 2450010
ER -