Crude oil, gold, natural gas, exchange rate and indian stock market: Evidence from the asymmetric nonlinear ARDL model

Abstract

This study investigates the nexus among natural gas price, crude oil price, gold price, exchange rate, and stock market index in Indian context using the Nonlinear Autoregressive Distributed Lag (NARDL) model on weekly data for the time period of January 1997 to June 2019. The result of the study provides empirical evidence about the presence of asymmetries in the short and long-run among these asset classes. The findings of the study confirm that gold, stock market and natural gas has an asymmetric effect on crude oil in the long-run and crude oil asymmetrically influence natural gas in the short-run. Exchange rate is observed to have no impact on crude oil and natural gas price and results indicate gold as statistically significant variable for both natural gas and crude oil in the short-run and long-run. This is the first study to delineate the dynamic simultaneous interaction among these asset markets and its findings can be extremely useful for investors, academicians, and policymakers to make financial decisions.