Journal of Business and Management Sciences
ISSN (Print): 2333-4495 ISSN (Online): 2333-4533 Website: http://www.sciepub.com/journal/jbms Editor-in-chief: Heap-Yih Chong
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Journal of Business and Management Sciences. 2013, 1(6), 128-132
DOI: 10.12691/jbms-1-6-2
Open AccessArticle

Reconnoitering the Causal Relationship in Crude Oil Market during Crisis

P. Lakshmi1, and S. Visalakshmi1

1Department of Management Studies, National Institute of Technology, Tiruchirappalli

Pub. Date: November 22, 2013

Cite this paper:
P. Lakshmi and S. Visalakshmi. Reconnoitering the Causal Relationship in Crude Oil Market during Crisis. Journal of Business and Management Sciences. 2013; 1(6):128-132. doi: 10.12691/jbms-1-6-2

Abstract

The purpose of this paper is to study in Indian context, whether there is significant impact of Crude Oil future trading on crude spot prices or there is no such impact. We examine the effect of futures trading volume of crude oil to crude oil spot prices in the Multi Commodity Exchange of India (MCX) from January 2005 until May 2012. The vector autoregressive model (VAR), Granger Causality Wald test, Variance Decomposition and Impulse Response Function are applied to the data collected. The results exhibited that unidirectional causality runs from crude spot prices to futures trading volume. Further we do not have sufficient evidence to support that future markets lead to higher fluctuations in spot prices.

Keywords:
crude oil MCX VAR Variance Decomposition impulse response

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