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Abstract
The present study examines the linkages between International crude oil prices (WTI), exchange rate (INR/USD) and Indian equity index (BSE-Sensex). Cointegration analysis of Johansen-Juselius with daily data from January 2010 to October 2018 suggests that there is no cointegrating vector as per the Trace statistic and Max- Eigen tests. Also, results of pairwise cointegration test indicate that BSE is not cointegrated with USD and WTI. Results of Granger causality reveal that past returns of exchange rate and Oil Prices influence future returns of Stock index. In addition, results of Granger causality on conditional variance series show there is two-way volatility spillovers between the exchange rate (USD) and returns on Stock market of India (BSE). Also, there is unidirectional volatility spillover from India stock market (BSE) to Crude oil index (WTI). Thus, we conclude that future equity index returns in India are influenced by changes in exchange rate and oil prices.