Dynamic Of Financial Asset Prices: An Econometric Analysis Done In Energy Sector
Priya Lakshmi Narayanan
Sri Krishna Institutions, Coimbatore 641008, India
Abstract
We study the long-run and short-run dynamics of stock prices and exchange rates in energy sector. The exogenous shocks and its impact on these markets are studied with Johansen (1991) co integration test and unit root tests. We apply the unit root test to find out the unity among the market price and shares traded in energy sector from 2004 to 2013. The result suggests that stock and foreign exchange markets are positively related to volume of the shares and share traded on the period .The average deviation between the volume and shares traded is 11.84 percentages .Finally, through the application of recursive estimation the result shows that the financial crisis had a temporary effect on the long-run co movement of these markets