Impact of the Volatility of Indian oil prices on sectoral returns in Indian Equity Markets
The stock market of any country indicates the health of a country. It also indicates the confidence of the population of the country in its economy. India, being an emerging country, has exhibited a substantial rate of growth over past years. One of the parameters that determine the growth rate and...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2018-03-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/suplimente/International_Finance_and_Banking_Conference_FIBA_2018_XVI.pdf#page=147
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| Summary: | The stock market of any country indicates the health of a country. It also indicates the
confidence of the population of the country in its economy. India, being an emerging country, has
exhibited a substantial rate of growth over past years. One of the parameters that determine the
growth rate and health of the economy of a nation is its stock market.
The aim of this research is to find the volatility in the global oil price, its impact on various sectoral
indices listed on the Indian Stock Exchange. BSE SENSEX and other sectoral Indices listed on the
Bombay Stock Exchange (BSE) such as BSE Realty, BSE Power, BSE Oil and Gas, BSE Metal, BSE
Consumer Durables, BSE Capital Goods, BSE BANKEX, BSE AUTO, BSE Utilities, BSE telecom, BSE
Information Technology, BSE Industrials, BSE Finance, BSE Fast Moving Consumer Goods, BSE
Energy, BSE Basic Materials are considered to determine the impact of fluctuation of oil price in the
stocks of various sectors. The index BSE SENSEX has been considered to determine the performance
of the Indian Equity market with respect to the oil price fluctuations. Log normal of the daily closing
prices of each of the stock indices and the oil prices have been considered to carry out the research.
Techniques such as unit root test, Jarque beta test, correlation test, Granger Causality test, Impulse
response and Vector decomposition test have been applied on the closing prices of indices between 1st
April, 2010 to 31st December 2017 (1st Financial quarter of the year 2010, in India to the 3rd
Financial quarter of the year 2017).
The tests show that the average stock returns for the sectors Auto, Bankex, Basic Materials, Capital
Goods, Energy, Finance, FMCG, IT, Oil and Gas, Sensex, Industrials is positive whereas for others
sectors, average return is negative. Although oil is one of the largest consumers of oil in the world, its
stock market returns does not depend on the fluctuation in the oil prices. |
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| ISSN: | 1841-8678 1844-0029 |