Authors: Shruthi Murali; S. Thiyagarajan; Naresh Gopal
Addresses: Samarth Life Management, Gurgaon, 122001, India ' Department of International Business, Pondicherry University, Puducherry 605014, India ' Department of Accounting and Finance, Indian Institute of Management Ranchi, Jharkhand, India
Abstract: This study examines the relationship between Dubai Financial Market General Index (DFMGI) and two important crude oil price indices, West Texas Intermediate (WTI) and Brent. Granger causality tests followed by a robustness check using the vector autoregression model are run on daily logarithmic returns of the variables during the period 2008-2015 with particular attention paid to two quarters before, during and after the two major oil price crashes during the period (in 2008 and in 2014). The results show that DFMGI is affected by crude oil prices only during periods of low oil prices. Furthermore, Dubai Financial Market is affected by WTI prices rather than Brent prices. The study also reveals that WTI spot prices cause Brent spot prices.
Keywords: DFMGI; West Texas Intermediate; WTI; Brent; volatility; vector autoregression model; Granger causality.
International Journal of Management Practice, 2021 Vol.14 No.1, pp.107 - 127
Received: 06 May 2019
Accepted: 17 Jan 2020
Published online: 14 Dec 2020 *