Abstract
This paper explores the long run relationship between the oil price index and the stock price index in China and India during mid 1996 to 2007. We utilize three new tests for cointegration that allow for two unknown structural breaks. Our test results show that the null hypothesis of no cointegration in the presence of two unknown structural breaks can not be rejected by any test in both countries. We find that there is no long-run relationship between the oil price and the stock price index in both China and as well as India. We interpret these finds as empirical support for the efficient market hypothesis in semi-strong form.
| Original language | English |
|---|---|
| Pages (from-to) | 163-169 |
| Number of pages | 7 |
| Journal | Corporate Ownership and Control |
| Volume | 8 |
| Issue number | 2 D |
| DOIs | |
| Publication status | Published - 2011 |
Keywords
- China
- Cointegration
- India
- Multiple breaks
ASJC Scopus subject areas
- Business, Management and Accounting(all)