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Karpoff, J. (1987), “The relation between price changes and trading volume: a survey”, Journal of Financial and Quantitative Analysis, Vol. 22, pp. 109-26.

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Article

Reconnoitering the Causal Relationship in Crude Oil Market during Crisis

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


Journal of Business and Management Sciences. 2013, Vol. 1 No. 6, 128-132
DOI: 10.12691/jbms-1-6-2
Copyright © 2013 Science and Education Publishing

Cite this paper:
P. Lakshmi, 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.

Correspondence to: P.  Lakshmi, Department of Management Studies, National Institute of Technology, Tiruchirappalli. Email: plakshmi.nitt@gmail.com

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.

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