LEADER 05503nam 2200517In 450 001 9911138151003321 005 20170606085048.0 010 $a9781786355539 010 $a1786355531 035 $a(CKB)3710000000920949 035 $a(MiAaPQ)EBC4717051 035 $a(UtOrBLW)ovld002108127 035 $a(Perlego)387212 035 $a(EXLCZ)993710000000920949 100 $a20170606d2016 uy 0 101 0 $aeng 135 $aurun||||||||| 181 $2rdacontent 182 $2rdamedia 183 $2rdacarrier 200 10$aDynamic linkages and volatility spillover $eeffects of oil prices on exchange rates, and stock markets of emerging economies /$fBhaskar Bagchi, Dhrubaranjan Dandapat, Susmita Chatterjee 205 $aFirst edition. 210 1$aBingley, England :$cEmerald,$d2016. 210 4$dİ2016 215 $a1 online resource (225 pages) $cillustrations (some color), graphs 311 08$a9781786355546 311 08$a178635554X 320 $aIncludes bibliographic references and index. 327 $aFront 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. 327 $a6.2.6. 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. 330 $aThis 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. 606 $aPetroleum products$xPrices$zDeveloping countries. 606 $aBusiness & Economics$xInternational$xEconomics$2bisacsh 606 $aInternational finance$2bicssc 615 0$aPetroleum products$xPrices 615 7$aBusiness & Economics$xInternational$xEconomics. 615 7$aInternational finance. 676 $a338.23 700 $aBagchi$b Bhaskar$0856376 702 $aDandapat$b Dhrubaranjan 702 $aChatterjee$b Susmita 801 0$bUtOrBLW 906 $aBOOK 912 $a9911138151003321 996 $aDynamic linkages and volatility spillover$94852299 997 $aUNINA