Crude oil, gold, natural gas, exchange rate and indian stock market: Evidence from the asymmetric nonlinear ARDL model. (October 2021)

• Record Type: Journal Article
• Authors: Kumar, Suresh; Choudhary, Sangita; Singh, Gurcharan; Singhal, Shelly
• Is Part Of: Resources policy. Volume 73(2021)
• Publication Date: 2021-10
• Subjects: Mines and mineral resources -- Periodicals; Ressources minérales -- Périodiques; Ressources naturelles -- Gestion -- Périodiques; Environnement -- Politique gouvernementale -- Périodiques; 333.8
• DOI: 10.1016/j.resourpol.2021.102194
• Languages: English
• ISSNs: 0301-4207

Abstract

Abstract: This study investigates the nexus among natural gas price, crude oil price, gold price, exchange rate, and stock market index in Indian context using the Nonlinear Autoregressive Distributed Lag (NARDL) model on weekly data for the time period of January 1997 to June 2019. The result of the study provides empirical evidence about the presence of asymmetries in the short and long-run among these asset classes. The findings of the study confirm that gold, stock market and natural gas has an asymmetric effect on crude oil in the long-run and crude oil asymmetrically influence natural gas in the short-run. Exchange rate is observed to have no impact on crude oil and natural gas price and results indicate gold as statistically significant variable for both natural gas and crude oil in the short-run and long-run. This is the first study to delineate the dynamic simultaneous interaction among these asset markets and its findings can be extremely useful for investors, academicians, and policymakers to make financial decisions. Highlights: Indian government aims to make a significant shift form crude oil to natural gas. Empirical evidence about the presence of asymmetries among crude oil, gold, natural gas, exchange rate and stock market in Indian context. Nonlinear ARDL bounds test has been used on weekly data (January 1997 to June 2019) Current work offers significant insights for academia, financial regulators, crude oil & natural gas traders and policymakers.