An Analysis of Cointegration between Nifty Index, Dollar/INR and Crude Oil Price

Dr. Santosh Kumar and Dr. Ajay Kumar Patel

The study investigates the cointegration between Nifty Index, Dollar/INR and Crude oil price over the period from November 11, 2013 to June 12, 2018. We used Descriptive Analysis, Correlation Analysis, Unit Root Test, VAR, Johansen’s Cointegration Test, Granger Casualty Test and VECM to explore the long-run and short-run relationship among Nifty Index, Dollar/INR Price and Crude oil price. Secondary data has been used to conduct this research. It was found in the studies that in short run of time; Nifty Index is dependent variable while Dollar/INR and Crude oil price are independent variables as well as in leading position. There exists long run causality between Nifty Index and Dollar/INR. In this long run relationship Dollar/INR is dominating to Nifty Index. The result concluded by Johansen cointegration test and granger causality test are based on previous data, which may have been influenced by different extraneous variables.

Volume 11 | Issue 12

Pages: 151-159

DOI: 10.5373/JARDCS/V11I12/20193223