The purpose of the study is to examine the causal nexus between various sources of energy consumption, viz. Coal, Crude Oil, Electricity and Natural Gas, CO2 emissions, economic growth and trade in India using the Perron unit root test, Gregory and Hansen cointegration test and Vector Error...

The present study investigates the weak-form efficiency of Indian stock markets using both parametric and non-parametric tests, viz., auto-correlation test, augmented Dickey-Fuller test, runs test and variance ratio test. To test the market efficiency, the study considers the daily closing...

This paper investigates the causal nexus between energy consumption, CO₂ emissions, economic growth and trade in India using the Perron (1989) unit root test, Gregory and Hansen (1996) cointegration test and Vector Error Correction Model. The study results exhibit a long-run relationship between...

The paper investigates the causal nexus between gold price, stock price and exchange rate in India using Autoregressive Distributed Lag (ARDL) bounds testing approach and Granger causality test on monthly time series data for the period from June 1990 to April 2014. The results reveal that gold...

The link between stock market development and economic activity has always been the subject of considerable debate in the field of economics and it raises empirical question whether stock market development influences economic activity or whether it is a consequence of increased economic...

This paper investigates empirically the day-of-the-week effect on stock returns and volatility of the Indian stock markets. The GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models were employed to examine the existence of daily anomalies over the period of 1st July, 1997 to 29th June, 2012. The...

The aim of the present study is to investigate the causal nexus between tourism expansion and economic growth for the panel of 13 selected Asia-Pacific nations over the period 1995-2014. Using econometric techniques like tests for panel unit root, panel cointegration and Panel Vector...

Bitcoins are evolving as a modern class of investment assets and it is crucial for investors to manage their investment risk. This paper examines the impact of macroeconomic-financial indicators on Bitcoin price using symmetric and asymmetric version of autoregressive distributed lag (ARDL)...

The present paper examines the price discovery process and volatility spillovers in Indian spot-futures commodity markets through Johansen cointegration, Vector Error Correction Model (VECM) and the bivariate EGARCH model. The study uses four futures and spot indices of the Multi Commodity...

This paper uses Johansen and Juselius (1990) multivariate cointegration technique to explore the long-run relationships between NSE-Nifty share price index and certain other crucial macroeconomic variables, namely, index of industrial production, money supply, interest rate, exchange rate,...