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Index
Cover
Title Page
Copyright Page
Contents
Foreword
Abstract
Chapter 1 Introduction
1.1. Background of the Study
1.2. Research Questions
1.3. Data Set and Methodology
Chapter 2 Literature Review
Chapter 3 New Oil Price Shock: Effect on the Emerging Economies
3.1. Geopolitical Implications
3.2. Theoretical Modeling
3.2.1. Static Model
3.2.2. Flexible Exchange Model
3.3. South Africa
3.4. Brazil
3.5. Russia
3.6. China
3.7. Implications of Sustained Low Oil Prices for the Chinese Economy
3.8. South Korea
Appendix: Derivation of the Comparative Static Effects
Chapter 4 Crude Oil Price, Exchange Rates, and Stock Markets of Emerging Economies
4.1. Relationship between Crude Oil Prices and Stock Returns
4.2. Stock Markets of Emerging Economies
Chapter 5 Interdependence and Interrelationship between Crude Oil Prices, Exchange Rates, and Indian Stock Market
5.1. Test of Stationarity: Unit Root Test
5.2. Johansen Cointegration Test
5.3. Vector Error Correction Model (VECM)
5.4. Granger Causality Test
5.5. Variance Decomposition Analysis
5.6. Structural Vector Autoregression (SVAR) Model
5.7. Impulse Response Analysis (IRA)
Chapter 6 Dynamic Linkages between Crude Oil Prices, Exchange Rates, and Stock Markets of Other Emerging Economies
6.1. Introduction
6.2. Results and Discussion
6.2.1. Test of Stationarity: ERS Unit Root Test
6.2.2. Johansen Cointegration Test
6.2.3. Vector Error Correction Model (VECM)
6.2.4. Granger Causality Test
6.2.5. Variance Decomposition Analysis
6.2.6. Structural Vector Autoregression (SVAR) Model
6.2.7. Impulse Response Analysis (IRA)
Chapter 7 Volatility Spillovers between Crude Oil Price, Exchange Rate, and Stock Market of India
7.1. Volatility Modeling
7.2. APARCH Analysis
7.3. Multivariate GARCH Model
7.4. Constant Conditional Correlation Model
Chapter 8 Volatility Spillovers between Crude Oil Price, Exchange Rate, and Stock Market of Other Emerging Economies
8.1. Data Set and Preliminary Analysis
8.2. APARCH Model
8.3. APARCH Estimates
8.4. Multivariate CCC-GARCH Model
8.5. BEKK-GARCH Model
8.6. Conclusion
Chapter 9 Conclusions
9.1. Limitations of the Study
9.2. Scope for Further Research
Acknowledgments
References
Index
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