International Journal of Management and Social Sciences Research (IJMSSR)

Volume 2, No. 11, November 2013

ISSN: 2319-4421

Oil Price Volatility and its Impact on The Selected Economic

Indicators in India
Dr. Kapil Jain, International Institute of Professional Studies, Devi Ahilya University, Indore, India

ABSTRACT
Crude oil is one of the most necessitated worldwide
required commodities. Any slight fluctuation in crude oil
prices can have both direct and indirect influence on the
economy of the countries. The unpredictability of crude oil
prices forced many companies away from the competition
and it influence the stock market and many other
macroeconomic variables (inflation, GDP, Import bill
etc). Crude oil prices act like any other commodity price
i.e. based on demand and supply mechanism. Studies have
conducted to observe the impression of increase in crude
oil prices to the economic growth in the OPEC
(Organization of Petroleum Exporting Countries)
countries. Any slight fluctuation in crude oil prices has its
impact on the condition of stock markets in India and
throughout the world. The stock exchanges of all the
countries keep watch on any movement of crude oil price.
The present study is aimed to measure the relationship
between crude oil price and selected macroeconomic
variable i.e. stock market (NSE) and Inflation. The study
also analysed the relationship between selected economic
indicators and crude oil price. The period 6 years from
2007-08 to 2012-13 was taken for the analysis. The study
found that there is significant positive relationship
between crude oil price and Inflation India on the other
hand Stock market of India (NSE) also affected by the
changes in the crude oil price. The study has given
evidences of other countries also to support the finding.

Keywords
Crude oil price, Indian economy, Indian Stock Market
(NSE), Inflation.

INTRODUCTION
India satisfies its crude oil requirements by importing it
from OPEC nations. India satisfies more than 80% of its
demand by importing. Therefore, any movement in prices
is closely tracked in the domestic marketplace. It has been
noted many a times that prices of necessitated products
like crude acts as a prime driver in becoming reason of up
and down movement of price of many commodities. Any
oscillation in crude oil prices affects the other industrial
segments as well. Higher crude oil price results in higher
price of energy, which negatively affects other trading
practices which are directly or indirectly depending on
crude. Crude Oil has been traded throughout the world and

there prices are behaving like any other commodity as

swinging more according to demand and supply. In the
short term, prices of crude oil is influenced by many
factors like socio and political events, status of financial
markets whereas, from medium to long run it is influenced
by the fundamentals of demand and supply which thus
results into self price correction mechanism. There are
innumerable factors which influence the price movement
of crude oil throughout the world. Like methods and
technology used for increasing the oil production. The
crude oil prices have been influenced by many factors,
which are listed below:
Production
The OPEC nations are the major producers of worlds
Crude oil. Therefore, policies introduced by such countries
in regard to the crude oil prices, exports and production
(new technologies) directly affects the crude oil prices in
India as well as all over the world. Any decision taken by
OPEC nations for increasing or decreasing production of
crude oil impacts the price level of crude oil in
International commodity market.
Natural Causes
Natural causes act as a determinant in effective trading of
commodities. In the past global communities have
witnessed many events which affect the price stability of
crude oil. For instance, the tropical cyclones have hit the
major portion of globe, which as a result driven the crude
oil prices to reach at its peak.
Inventory
Throughout the world, oil producing nations and their
importers stock crude oil for their future requirements.
This gives rise to speculation on price expectations and
sale chances in case any unexpected thing cracks during
supply and demand equations. Any upward or downward
movement in inventory level shoots up volatility in price
index of crude oil, sometimes hedging leads to increase in
crude oil prices which generate lot of changing movement
in nifty.
Demand & supply
India is a developing nation with a steep rise in
industrialization and oil acts as a primary input to these
industries. With a sharp rise in economic demand, demand
of crude oil is many times more than its limited supply.

i-Xplore International Research Journal Consortium

www.irjcjournals.org

63

International Journal of Management and Social Sciences Research (IJMSSR)

Volume 2, No. 11, November 2013

Crude oil price increases are an extension of oil market

developments originating in the 1990s. During that period,
high stock and ample surplus production capacity served
to limit oil price fluctuations. When spot market prices
moved up or down, futures contracts requiring delivery in
later months generally traded close to $20 per barrel,
consistent with a market expectation that producers would
ensure that spot prices would eventually return to that
level. However, as top OPEC members shifted toward a
tight inventory policy and global oil demand picked up
from the slowing effect of Asias financial crisis, the
global market balance tightened and inventories declined
sharply at the start of the present decade. Oil prices rose to
$30 per barrel in what might be seen as the first leg of the
upward trend. By 2003, inventories were brought down
sufficiently such that subsequent increases in global
demand brought oil production to levels near capacity. The
large, unexpected jump in world oil consumption growth
in 2004, fostered by strong growth in economic activity in
Asia, reduced surplus production capacity significantly. In
mid-2008, despite high prices, world oil consumption
growth remained strong, overall non-OPEC production
growth continued to be slow, and OPEC oil production
had not grown sufficiently to fill the gap. In addition,
geopolitical risks create considerable uncertainty about
future supplies. In 2010 prices rises to $144 per barrel,
currently crude oil price is $ 97.80 per barrel (as on Oct.
2013)

CRUDE OIL AND INDIA: AN OVERVIEW

Crude oil production in India recorded a growth of 10.33
percent in January 2009, as compared with previous years

ISSN: 2319-4421

9.8 percent. According to officially declared figures, crude

oil production reached at 11.9 per cent During AprilJanuary 2010-11 against a negative 0.1 per cent growth
observed during the same period of year 2009-10.
Petroleum refinery production has showed a growth of 8.7
per cent in January 2011 as compared to the previous
years growth of 3.8 per cent in January .The growth rate
of Petroleum refinery production was 2.4 per cent during
April-January 2010-11 against a negative growth of 0.5
per cent during the comparable period of the previous
financial year (2009-10). Core sector industrial output in
the country also shows growth trend and recorded a higher
growth rate of 7.1 per cent in January 2011 against the 5.3
per cent growth recorded in December 2010.
The six core sector industries comprising crude oil,
petroleum refinery, coal, electricity, cement and steel have
grown at a very good pace of 9.8 per cent in January 2013.
During April-January 2010-11, the six core industries
registered a growth of 5.6 per cent against 5.5 per cent
during the corresponding period of the previous year.
The data shows trend the Price of Crude Oil over the given
period of time. The crude oil price was highest in 2011-12
at 111.6$/barrel. In current year 2012-13 (Q1) the crude
oil price has down at -4.2%. Price value chart is as shown
in bellow. Crude oil price was 69.8 against the previous
year price of 83.6 in the year 2008-09. In the year 2012-13
(Q1) the price was at 106.9 at current price is decreased to
98.7 (2013-14, Q2).

Source : RBI (Economic Times )

DEMAND AND SUPPLY OF CRUDE OIL

IN INDIA
Oil accounts for 31 per cent of Indias total energy
consumption and there are very rare chances of scaling
down the dependence or usage of these fuels for the next
five to ten years. With high economic growth rates and

over 15 percent of the worlds population, India is a one of

the biggest buyer of energy resources. In 2012, India was
the fourth largest oil consumer in the world, after
the United States, China, and Japan. Despite the global
financial crisis, Indias energy demand continues to rise.
In terms of end-use, the energy required in the transport
sector is expected to be particularly high, as vehicle

i-Xplore International Research Journal Consortium

www.irjcjournals.org

64

International Journal of Management and Social Sciences Research (IJMSSR)

Volume 2, No. 11, November 2013

ownership, particularly of four-wheel vehicles, is forecast

to increase rapidly in the years ahead. According to Oil &
Gas Journal (OGJ), India had approximately 5.6 billion
barrels of proven oil reserves as of January 2010, the
second-largest amount in the Asia-Pacific region
after China.
India produced roughly 880 thousand barrels per day
(bbl/d) of total oil in 2009 from over 3,600 operating oil
wells. Approximately 680 thousand bbl/d was crude oil;
the remainder was other liquids and refinery gain. In
2012, India consumed more than 3 million bbl/d, making it
the fourth largest consumer of oil in the world. EIA
expects approximately 100 thousand bbl/d annual

ISSN: 2319-4421

consumption growth through 2011. India accounted for

more than 11 per cent of Asia/Pacific regional oil demand
by 2012, while providing 10.8 per cent of supply, as
suggested by Business Monitor International in the India
Oil and Gas Report. Currently, of the six core industries
identified in India, the oil and gas sector has propelled the
growth of Indian economy most and the Government is
looking for more investors in the sector. India is currently
worlds fifth biggest energy consumer and the need is
continuously growing, according to KPMGs Oil and
Natural Gas Overview 2010,To keep up to the rising
demand the Government of India has initiated policies that
have helped investors in this sector and also facilitated
exploration and production of oil and gas in the country.

Figure 2: Production and Import of Crude Oil in India

The combination of rising oil consumption and relatively

flat production has left India increasingly dependent on
imports to meet its petroleum demand. In 2009, India was
the sixth largest net importer of oil in the world, importing
nearly 2.1 million bbl/d, or about 70 percent, of its oil
needs. The EIA expects India to become the fourth largest
net importer of oil in the world by 2025, behind the United
States, China, and Japan.
Nearly 70 percent of Indias crude oil imports come from
the Middle East, primarily from Saudi Arabia, followed
by Iran. The Indian government expects this geographical
dependence to rise in light of limited prospects for
domestic production.
India meets 80% of its oil requirement by imports. As
shown in the above graph, Indias consumption level is
very high as compared to the production so its a burden
on Indian economy and increases fiscal deficit, have
negative impact on countrys growth and inflation also
rises.

OBJECTIVE OF THE STUDY

The study was aimed to measure the relationship between
crude oil price and Indian stock market and Inflation. It

was aimed to analyse the impact of crude oil prices

changes on Indian stock market (NSE) and Inflation rate.

RESEARCH HYPOTHESIS
a. Null Hypothesis:
H0 =There is no significant relationship between crude
oil price and Indian Stock Market (NSE).
Alternative Hypothesis:
Ha = There is significant relationship between crude
oil price and Indian Stock Market (NSE).
b.

Null Hypothesis:
H0 =There is no significant relationship between
crude oil price and inflation.

Alternative Hypothesis:
Ha = There is significant relationship between crude
oil price and inflation.

LITERATURE REVIEW
The relationship between oil prices and economic activity
has been investigated by a number of researchers .To
review some of the most important studies, the Financial

i-Xplore International Research Journal Consortium

www.irjcjournals.org

65

International Journal of Management and Social Sciences Research (IJMSSR)

Volume 2, No. 11, November 2013

Times on August 21, 2006, attributed the decline of the

U.S. stock market to an increase in crude oil prices caused
by concerns about the political stability in the Middle East
(including the Iranian nuclear program, the fragility of the
ceasefire in Lebanon, and terrorist attacks by Islamic
militants). The same newspaper on October 12, 2006,
argued that the strong rallies in global equity markets were
due to a slide in crude oil prices that same day.
Notwithstanding such widely held views in the financial
press, there is no consensus about the relation between the
price of oil and stock prices among economists.
Kling Hamilton (1983) documents a significant negative
relation between quarterly oil price changes and future
GDP growth in the United States. Hamilton also finds that
all but one of the US recessions since World War II have
been preceded, typically with a lag of three quarters, by a
dramatic increase in the price of crude petroleum.
Subsequent research by Gasser & Goodwin (1986) and
Darby (1982) largely confirms Hamiltons findings while
Burbidge & Harrison (1984) report similar, although
slightly weaker, results using data from five OECD
countries. Murk (1989) extends Hamiltons results and
documents an asymmetric relation between quarterly oil
price changes and output growth. However, Hooker (1996)
finds that the oil price-macroeconomic relationship and the
evidence for asymmetric impact of oil price changes on
output growth are considerably weaker in the 1990s.
Glob (1983) examines exchange rate reactions to oil price
changes and notes that a countrys dependence on
imported oil and the direction of wealth transfer associated
with the oil price change explains the reaction. Among the
many other studies finding that oil price shocks impact the
economy are Davis & Haltiwanger (2001), and Keane &
Prasad (1996) for employment effects; Hamilton &
Herrera (2004), Bernanke, Gertler & Watson (1997) and
Barsky & Kilian (2001) on the role of monetary policy
responses to oil price shocks; Lee & Ni (2002) on demand
and supply effects on industries and Hooker (2002) on
the inflationary effects of oil price shocks.
Hamilton & Herrera (2004) provide a comprehensive list
of studies conducted on oil shocks. On the issue of the
effect of oil price shocks on stock market returns, Jones
and Kaul (1996), Sadorsky (1999) and Ciner (2001) report
a significant negative connection, while Chen et al. (1986)
and Huang et al. (1996) do not. A negative association
between oil price shocks and stock market returns has
been reported in several recent papers. Nandha and Faff
(2008) find oil prices rises have a detrimental effect on
stock returns in all sectors except mining and oil and gas
industries, ONeil et al. (2008) find that oil price increases

ISSN: 2319-4421

lead to reduced stock returns in the United States, the

United Kingdom and France, and Park and Ratti (2008)
report that oil price shocks have a statistically significant
negative impact on real stock returns in the U.S. and 12
European oil importing countries.
Kling (1985),
concluded that crude oil price increases are associated
with stock market declines. Chen, Roll and Ross (1986), in
contrast, suggested that oil price changes have no effect on
asset pricing. Jones and Kaul (1996) reported a stable
negative relationship between oil price changes and
aggregate stock returns. Huang, Masulis, and Stoll (1996),
however, found no negative relationship between stock
returns and changes in the price of oil futures, and Wei
(2003) concluded that the decline of U.S. stock prices in
1974 cannot be explained by the 1973/74 oil price
increase.

RESEARCH METHODOLOGY
DATA DESCRIPTION
To study the market movement we have collected the
secondary data from various sources. In the present study
we have taken the last six year (2007-2013) NSE monthly
wise closing data from the NSE. And the monthly wise
crude oil closing data and the monthly wise crude oil price
from the energy information administration year (20072013)and we have taken the of GDP, inflation and
remittances inflow in India data movement from RBI. And
the past event the stock market and crude oil information
has been taken from various news bulletins, magazines,
journal, and websites.
METHOD
In this study we have taken the NSE as dependent variable
and crude oil price as independent variable. To find out the
relation between dependent variable and independent
variable, we have run the regression model with the help
of SPSS software and also we find the correlation between
dependent variable and independent variable, regression
analysis is used, by using these statistical tools we will
prove whether all the independent variable impact the
dependent variable or not.

DATA ANALYSIS AND INTERPRETATION

CORREALATION AND REGRESSION ANALYSIS
OF INFLATION RATE AND CRUDE OIL PRICES
To find out correlation and regression between inflation
and crude oil prices data sample of 72 months has been
collected , the main objective of the project is to find out
the impact of independent variable on the dependent
variable.

i-Xplore International Research Journal Consortium

www.irjcjournals.org

66

International Journal of Management and Social Sciences Research (IJMSSR)

Volume 2, No. 11, November 2013

ISSN: 2319-4421

Table1:Descriptive Statistics
Inflation
Crude Oil

Mean

Std. Deviation

.7101
65.6794

.85294
19.78597

72
72

Table2:Correlations
Pearson Correlation
Sig. (1-tailed)
N

Inflation

CrudeOil

Inflation

1.000

.209

CrudeOil

.209

1.000

Inflation

.042

CrudeOil

.042

Inflation

72

72

CrudeOil

72

72

Correlation Analysis: The above box, correlation analysis moderate relationship exists between movement of crude
is performed to study the correlation between two oil prices and inflation, that is if crude oil prices will go up
variables that is crude oil and inflation. We can see that then inflation will also rise and vice versa.
the correlation coefficient r = .209, this indicates that a
Table3:Variables Entered/Removed
Model

Variables Entered

Crude Oil

Variables Removed

Method

Enter

a. All requested variables entered.

b. Dependent Variable: Inflation
Table4:Model Summary
Model

R Square

Adjusted R Square

Std. Error of the Estimate

.209a

.044

.030

.84025

a. Predictors: (Constant), Crude Oil

Table5:ANOVAb
Model
1

Sum of Squares

Df

Mean Square

Sig.

Regression

2.167

2.167

3.069

.04a

Residual

47.303

67

.706

Total

49.470

68

a. Predictors: (Constant), Crude Oil

b. Dependent Variable: Inflation
Table6:Coefficientsa
Unstandardized Coefficients

Standardized
Coefficients

Std. Error

Beta

(Constant)

.118

.353

Crude Oil

.09

.005

Model
1

.209

Sig.

.333

.740

1.752

.04

a. Dependent Variable: Inflation

i-Xplore International Research Journal Consortium

www.irjcjournals.org

67

International Journal of Management and Social Sciences Research (IJMSSR)

Volume 2, No. 11, November 2013

Regression Analysis
R square is the coefficient of determination, R square
denotes the strength of the model and relationship between
independent and dependent variable, here R square is .044,
that indicates that a relationship exists between crude oil
price movement and inflation. A unit change in crude oil
causes 4.4% in inflation.
The beta coefficient describes you that how strongly
independent and dependent variable are correlated. Here
(beta=.009, sig=.04) that is significant and indicating a

ISSN: 2319-4421

positive indicating direct relationship between crude oil

prices and inflation.
Model: Inflation=0.118+.09*Crude oil
CORRELATION AND REGRESSION ANALYSIS
OF CRUDE OIL PRICE MONTHLY AVERAGE
AND NSE INDEX MONTHLY AVERAGE
To find out the correlation between the two variables
correlation analysis is applied and to find impact of
independent variable on dependent variable regression
analysis is also applied.

Table7:Correlations
NSE_Index_Monthly_ CrudeOilPrices_Monthly
Avg
_Avg
Pearson Correlation
Sig. (1-tailed)
N

NSE Index Monthly Average

1.000

.581

Crude Oil Prices Monthly Average

.581

1.000

NSE Index Monthly Average

.000

Crude Oil Prices Monthly Average

.000

NSE_Index_Monthly_Avg

72

72

CrudeOilPrices_Monthly_Avg

72

72

CORRELATION ANALYSIS: The above box shows the results of correlation analysis. We can see that the correlation
coefficient r = .581, this indicates that a significant positive relationship exists between both the variables.
Table8:Variables Entered/Removed
Model

Variables Entered

Variables Removed

Crude Oil Prices Monthly

.
Average

Method
Enter

a. All requested variables entered.

b. Dependent Variable: NSE Index Monthly Average
Table9:Model Summary
Model

R Square

Adjusted R Square

Std. Error of the Estimate

.581a

.338

.328

950.94997

a. Predictors: (Constant), Crude Oil Prices Monthly Average

Table10:Anova
Model
1

Sum of Squares

Df

Mean Square

Sig.

Regression

3.227E7

3.227E7

35.682

.000a

Residual

6.330E7

70

904305.848

Total

9.557E7

71

a. Predictors: (Constant), Crude Oil Prices Monthly Average.

b. Dependent Variable: NSE_Index_Monthly_Avg

i-Xplore International Research Journal Consortium

www.irjcjournals.org

68

International Journal of Management and Social Sciences Research (IJMSSR)

Volume 2, No. 11, November 2013

ISSN: 2319-4421

Table11:Coefficients
Unstandardized Coefficients Standardized Coefficients
Model
1

(Constant)

Std. Error

1905.170

394.480

Crude Oil Prices Monthly

33.943
Average
a. Dependent

5.682

Beta

.581

Sig.

4.830

.000

5.973

.000

Variable:NSE_Index_Monthly_Avg

As mentioned above R square is coefficient of

determination, it signifies the strength of the model and
strength of relationship between two variables. In this
analysis table R square is showing a value of .338, which
indicates that relationship exists between two variables, a
unit change in crude oil price movement will cause 33.8%
change in NSE index.
Here crude oil (beta=33.943, sig=0.00) is significant and
its affecting dependent variable in appositive way.
Model: NSE=1905.17+33.943*Crude oil

DISCUSSIONS
R2 is a statistic that will give some information about the
goodness of fit model. In regression, the R2 coefficient of
determination is a statistical measure of how well the
regression line approximates the real data points. An R2of
1.0 indicates that the regression line perfectly fits the data.
The range of R2 is from 0 to 1. In model 1 of inflation
coefficient of correlation is .291. It shows a low positive
relationship between crude oil prices and inflation rate in
India. R2 indicates one unit change in crude oil prices
leads to 4.4% change in inflation. The impact of crude oil
prices on inflation is significant. Here the level of
significance is .04 proving the relationship between
inflation rate and crude oil prices.
In model 2, coefficient of correlation (R) is .581 indicating
that a moderate positive correlation exists between crude
oil prices and NSE index. R2 is 33.8%. And the
significance level is 0 in the model 2 that shows that there
is relationship between both the variables which implies
that there is relation between independent and dependent
variables. Value of t test is also significant which is 5.173
that is also significant proving the relationship between
two variables.

see that prices of crude oil are increasing and as well as

inflation in India. Inflation rate in India has increased from
10.90 in 2011-12 to 11.70 in 2012-13 and the crude oil
prices average is also presenting the same trend it has
increased from 62.45 $ to 75.35$ from 2011-12 to 20122013.

CONCLUSION
An effort has been made in the study to check out the
impact of crude oil prices on NSE (national stock
exchange) and on inflation in India, over the period of 6
years that is (2007-2013). Indian economy is a developing
economy and to meet its major crude oil requirement,
India has to major rely on imports. Central bank across
Asia and in India also has raised rates many times to fight
against inflation. The data presented above indicates that a
increase in crude oil price results in increase of NSE
index, in June 2007, NSE index gained 6.59% as a result
of 14.54% increase in crude oil prices. The figures of
April 2009, May 2011 and March 2012 also show the
similar trends. The data collected for inflation and crude
oil prices also indicate that when crude oil prices move up
inflation rate also moves in the same direction in India.
Correlation and regression analysis has been put on to
unveil the relationship, and the test exposes a positive
correlation between crude oil prices and NSE (national
stock exchange) and in regression model to the coefficient
is significant. Another relationship between crude oil
prices and inflation is also explored, and the result of
which indicates a moderate relationship between two
variables.

REFERENCES

From the monthly data, we can observe that in march price

of crude oil increased from 86.64 to 96.94 $ and inflation
in that month also shown the same trend, it rose from .75
to 1.48. And the same we can observe in October 2012,
March 2011 and in September 2011.And now also we can

i-Xplore International Research Journal Consortium

[1] Barsky, B. Robert, and Lutz Kilian (2001), Do We

Really Know that Oil Caused the Great Stagflation?
A Monetary Alternative, NBER Working Paper
Series 8389
[2] Bernanke, S. Ben, Gertler, Mark and Watson,
(1997), Systematic Monetary Policy and the
Effects of Oil Price Shocks Brookings Papers on
Economic Activity Vol.1, pp91-157

www.irjcjournals.org

69

International Journal of Management and Social Sciences Research (IJMSSR)

Volume 2, No. 11, November 2013

[3] Burbidge, John and Alan Harrison, (1984), Testing

for the Effects of Oil-Price Rises Using Vector
Auto
regressions, International
Economic
Review, Vol. 25, No.2 pp 459-484
[4] Chen, N., Roll, R., and Stephen A. Ross, (1986),
Economic Forces and the Stock Market, the
Journal of Business, Vol. 59, No.3 pp 383-403
[5] Davis, J Steven., and John Haltiwanger (2001).
Sectoral Job Creation and Destruction Responses
to Oil Price Changes. Journal of Monetary
Economics 48, 465512.
[6] Darby, R. Michael, (1982), The Price of Oil and
World Inflation and Recession, the American
Economics Review, Vol. 72, No. 4 pp 738-751
[7] Gisser, Micha, and Goodwin, Thomas H., (1986),
Crude Oil and the Macroeconomy: Tests of Some
Popular Notions: Note, Journal of Money, Credit
and Banking, Vol. 18, No.1 pp 95-103
[8] Golub, Stephen S. (1983), Oil Prices and
Exchange Rates, The Economic Journal, Vol.93,
No. 371,pp 576-593
[9] Hamilton, James D. (1983), Oil and the Macro
economy since World War II, The Journal of
Political Economy, Vol 91, No.2, pp 228-248
[10] Hamilton, James D., Herrera, M. Ana (2004), Oil
Shocks and Aggregate Macroeconomic Behaviour:
The Role of Monetary Policy, Journal of Money,
Credit & Banking Vol 36, No.2, pp 265
[11] Hong, H., Torous, W., and Rossen Valkanov.
(2002), Do Industries Lead the Stock Market?
Gradual Diffusion of Information and Cross-Asset
Return Predictability, Working Paper, Stanford
Univeristy & UCLA

i-Xplore International Research Journal Consortium

ISSN: 2319-4421

[12] Hooker, Mark A., (1996), What happened to the

oil price-macro economy relationship?, Journal of
Monetary Economics, No.38, pp 195-213
[13] Hooker, Mark A., (2002), Are Oil Shocks
Inflationary?
Asymmetric
and
Nonlinear
Specifications versus Changes in Regime, Journal
of Money, Credit and Banking, Vol 34, No.2, pp
540-561
[14] Huang, R.D.; Masulis, R.W.; Stoll, H.R. (1996),
Energy shocks and financial markets, Journal of
Futures Markets, 16, 1-27
[15] Jones, Charles M., and Gautam Kaul, (1996), Oil
and the Stock Markets, The Journal of Finance,
Vol LI, No.2, pp 463-491
[16] Koenker, R. and Gilbert Basset, (1978),
Regression Quantiles, Econometrica, Vol. 46,
No.1, pp 33-50
[17] Lee, Kiseok and Shawn Ni (2002). On The
Dynamic Effects of Oil Shocks: A Study Using
Industry Level Data, Journal of Monetary
Economics.
[18] Mork, A. Knut, (1989), Oil and the Macro
economy When Prices Go Up and Down: An
Extension of Hamiltons Results, The Journal of
Political Economy, Vol. 97, No. 3, pp 740-744
[19] Mork, K.A., Olsen, O. and Mysen, H.T. (1994),
Macroeconomic responses to oil price increases and
decreases in seven OECD countries. Energy
Journal 15 4, 19-35.
[20] Sadorsky, P. (1999), Oil price shocks and stock
market activity, Energy Economics, No. 2, pp 449
469.

www.irjcjournals.org

70