IDEAS home Printed from https://ideas.repec.org/a/agr/journl/vxxvy2018ispecialp147-162.html
   My bibliography  Save this article

Impact of the Volatility of Indian oil prices on sectoral returns in Indian Equity Markets

Author

Listed:
  • Rinku JAIN
  • Kirti AREKAR
  • Aayesha TAHERAH

Abstract

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.

Suggested Citation

  • Rinku JAIN & Kirti AREKAR & Aayesha TAHERAH, 2018. "Impact of the Volatility of Indian oil prices on sectoral returns in Indian Equity Markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(Special), pages 147-162.
    • Handle: RePEc:agr:journl:v:xxv:y:2018:i:special:p:147-162
    as

    Download full text from publisher

    File URL: http://store.ectap.ro/suplimente/International_Finance_and_Banking_Conference_FIBA_2018_XVI.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Checherita-Westphal, Cristina & Rother, Philipp, 2010. "The impact of high and growing government debt on economic growth: an empirical investigation for the euro area," Working Paper Series 1237, European Central Bank.
    2. Alberto Alesina & Silvia Ardagna, 2010. "Large Changes in Fiscal Policy: Taxes versus Spending," NBER Chapters, in: Tax Policy and the Economy, Volume 24, pages 35-68, National Bureau of Economic Research, Inc.
    3. Quaicoe, Alexander & Aboagye, Anthony Q.Q. & Bokpin, Godfred A., 2017. "Assessing the impact of export processing zones on economic growth in Ghana," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1150-1163.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Aurora Elena DINA (MANOLACHE), 2018. "Comparative Assessment of Risk-Based Capital, Solvency II and Swiss Solvency Test," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(Special), pages 61-72.
    2. Chiricu Cosmina-Ștefania, 2018. "The economic impact of indirect taxes on economic growth in European context," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(Special), pages 113-120.
    3. Cristina Irina PARASCHIV, 2018. "How do unemployment benefits and minimum wage affect poverty?," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(Special), pages 91-112.
    4. Sandina Maria JELOAICA, 2018. "Determinants of fiscal discipline in Romania – the IMF and the EU," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(Special), pages 135-146.
    5. Cosmin SERBANESCU & Adrian VINTILESCU & Lacramioara CORCHES, 2018. "Redesigning Optimal Mechanisms in Social Assistance," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(Special), pages 73-90.
    6. Hilmar Þór HILMARSSON, 2018. "Iceland and its participation in European economic integration: advantages and disadvantages of European Union and Euro Area membership," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(Special), pages 15-30.
    7. George PASMANGIU, 2018. "The role of fiscal policies in maintaining macroeconomic stability. A DSGE model approach," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(Special), pages 31-44.
    8. Ionuț JIANU, 2018. "The impact of government health and education expenditure on income inequality in European Union," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(Special), pages 121-134.
    9. Elda MARZAI (ABLIZ), 2018. "Bancassurance – one of the most important distribution channels in Europe," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(Special), pages 49-60.
    10. Ana-Maria URÎȚESCU, 2018. "Evolution of the main macroeconomic indicators as a result of Romania's integration into the EU," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(Special), pages 163-174.
    11. Bofinger, Peter & Franz, Wolfgang & Schmidt, Christoph M. & Weder di Mauro, Beatrice & Wiegard, Wolfgang, 2010. "Chancen für einen stabilen Aufschwung. Jahresgutachten 2010/11 [Chances for a stable upturn. Annual Report 2010/11]," Annual Economic Reports / Jahresgutachten, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, volume 127, number 201011, February.
    12. Carmen M. Reinhart & M. Belen Sbrancia1, 2015. "The liquidation of government debt," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 30(82), pages 291-333.
    13. Francesco Forte & Cosimo Magazzino, 2014. "Optimal size of governments and the optimal ratio between current and capital expenditure," Chapters, in: Francesco Forte & Ram Mudambi & Pietro Maria Navarra (ed.), A Handbook of Alternative Theories of Public Economics, chapter 15, pages 342-367, Edward Elgar Publishing.
    14. Timothy P. Sharpe, 2013. "Institutional arrangements and public debt threshold limits," International Review of Applied Economics, Taylor & Francis Journals, vol. 27(6), pages 707-728, November.
    15. Andrei Stănculescu, 2018. "A new approach to corporate governance," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(Special), pages 45-48.
    16. Nicola Acocella, "undated". "The theoretical roots of EMU institutions and policies during the crisis," Working Papers 126/14, Sapienza University of Rome, Metodi e Modelli per l'Economia, il Territorio e la Finanza MEMOTEF.
    17. Szilárd Benk & Zoltán M. Jakab, 2012. "Non-Keynesian Effects of Fiscal Consolidation: An Analysis with an Estimated DSGE Model for the Hungarian Economy," OECD Economics Department Working Papers 945, OECD Publishing.
    18. Atish R. Ghosh & Jun I. Kim & Enrique G. Mendoza & Jonathan D. Ostry & Mahvash S. Qureshi, 2013. "Fiscal Fatigue, Fiscal Space and Debt Sustainability in Advanced Economies," Economic Journal, Royal Economic Society, vol. 0, pages 4-30, February.
    19. Jelena TOSKOVIC & Jovana KISIN, 2018. "Review of effects of economic reforms on economic development of the countries in transition," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(Special), pages 7-14.
    20. Steininger, Lea & Hesse, Casimir, 2024. "Buying into new ideas: The ECB’s evolving justification of unlimited liquidity," Department of Economics Working Paper Series 357, WU Vienna University of Economics and Business.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agr:journl:v:xxv:y:2018:i:special:p:147-162. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mircea Dinu (email available below). General contact details of provider: https://edirc.repec.org/data/agerrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.