05503nam 2200517In 450 991113815100332120170606085048.097817863555391786355531(CKB)3710000000920949(MiAaPQ)EBC4717051(UtOrBLW)ovld002108127(Perlego)387212(EXLCZ)99371000000092094920170606d2016 uy 0engurun|||||||||rdacontentrdamediardacarrierDynamic linkages and volatility spillover effects of oil prices on exchange rates, and stock markets of emerging economies /Bhaskar Bagchi, Dhrubaranjan Dandapat, Susmita ChatterjeeFirst edition.Bingley, England :Emerald,2016.©20161 online resource (225 pages) illustrations (some color), graphs9781786355546 178635554X Includes bibliographic references and index.Front Cover -- Dynamic Linkages and Volatility Spillover -- Copyright Page -- Contents -- Foreword -- Abstract -- Chapter 1 Introduction -- 1.1. Background of the Study -- 1.2. Research Questions -- 1.3. Data Set and Methodology -- Chapter 2 Literature Review -- Chapter 3 New Oil Price Shock: Effect on the Emerging Economies -- 3.1. Geopolitical Implications -- 3.2. Theoretical Modeling -- 3.2.1. Static Model -- 3.2.2. Flexible Exchange Model -- 3.3. South Africa -- 3.4. Brazil -- 3.5. Russia -- 3.6. China -- 3.7. Implications of Sustained Low Oil Prices for the Chinese Economy -- 3.8. South Korea -- Appendix: Derivation of the Comparative Static Effects -- Chapter 4 Crude Oil Price, Exchange Rates, and Stock Markets of Emerging Economies -- 4.1. Relationship between Crude Oil Prices and Stock Returns -- 4.2. Stock Markets of Emerging Economies -- 4.2.1. Brazilian Stock Market -- 4.2.2. Russian Stock Market -- 4.2.3. Stock Market of China -- 4.2.4. Indian Stock Market -- 4.2.5. South African Stock Exchange -- 4.2.6. South Korean Stock Market -- Chapter 5 Interdependence and Interrelationship between Crude Oil Prices, Exchange Rates, and Indian Stock Market -- 5.1. Test of Stationarity: Unit Root Test -- 5.2. Johansen Cointegration Test -- 5.3. Vector Error Correction Model (VECM) -- 5.4. Granger Causality Test -- 5.5. Variance Decomposition Analysis -- 5.6. Structural Vector Autoregression (SVAR) Model -- 5.7. Impulse Response Analysis (IRA) -- Chapter 6 Dynamic Linkages between Crude Oil Prices, Exchange Rates, and Stock Markets of Other Emerging Economies -- 6.1. Introduction -- 6.2. Results and Discussion -- 6.2.1. Test of Stationarity: ERS Unit Root Test -- 6.2.2. Johansen Cointegration Test -- 6.2.3. Vector Error Correction Model (VECM) -- 6.2.4. Granger Causality Test -- 6.2.5. Variance Decomposition Analysis.6.2.6. Structural Vector Autoregression (SVAR) Model -- 6.2.7. Impulse Response Analysis (IRA) -- Chapter 7 Volatility Spillovers between Crude Oil Price, Exchange Rate, and Stock Market of India -- 7.1. Volatility Modeling -- 7.2. APARCH Analysis -- 7.3. Multivariate GARCH Model -- 7.4. Constant Conditional Correlation Model -- Chapter 8 Volatility Spillovers between Crude Oil Price, Exchange Rate, and Stock Market of Other Emerging Economies -- 8.1. Data Set and Preliminary Analysis -- 8.2. APARCH Model -- 8.3. APARCH Estimates -- 8.4. Multivariate CCC-GARCH Model -- 8.5. BEKK-GARCH Model -- 8.6. Conclusion -- Chapter 9 Conclusions -- 9.1. Limitations of the Study -- 9.2. Scope for Further Research -- Acknowledgments -- References -- Index.This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Although considerable literature on relationship between exchange rates and stock markets as well as affiliation between oil prices and stock markets is available, unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India covering pre-recession, recession and post-recession period. More particularly, a clear research gap has been found in analyzing the volatility spillovers between above three variables in respect of India irrespective of the importance of oil prices and exchange rates as essential parameters for economic recovery and growth of the capital markets. Furthermore, the stock returns volatility is partly explained by volatility in crude oil prices and exchange rates. The volatility in stock markets is partly due to foreign interference that persuades a correlation with international markets through crude oil prices and exchange rates. Hence, a new publication on this topic is needed at this time.Petroleum productsPricesDeveloping countries. Business & EconomicsInternationalEconomicsbisacshInternational financebicsscPetroleum productsPricesBusiness & EconomicsInternationalEconomics.International finance.338.23Bagchi Bhaskar856376Dandapat DhrubaranjanChatterjee SusmitaUtOrBLWBOOK9911138151003321Dynamic linkages and volatility spillover4852299UNINA