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AN EMPIRICAL INVESTIGATION BETWEEN OIL PRICES AND THE STOCK PRICE IN CHINA AND INDIA
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Abdulnasser Hatemi-J 
, Harminder Singh, Mohan Nandha
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.
Keywords: Multiple breaks, Cointegration, China, India
How to cite this paper: Hatemi-J, A., Singh, H., & Nandha, M. (2011). An empirical investigation between oil prices and the stock price in China and India. Corporate Ownership & Control, 8(2-1), 163-169. https://doi.org/10.22495/cocv8i2c1p1
