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Econometric analysis of the share premium evolution of Oil and Natural Gas Corporation Limited

Author

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  • Daniel Casado Ginard

    (Graduado en Derecho y Administración y Dirección de Empresas (“Honours Program”) CUNEF. Madrid. España.)

Abstract

This paper aims to perform a statistical and econometric analysis of the premium evolution of Oil and Natural Gas Corporation Ltd (ONGC). The expected return of ONGC will be shown to be slightly below the market return of NIFTY 50, depicting how ONGC's performance is significantly correlated with and influenced by the overall market. A financial and descriptive analysis will be performed and the CAPM model will be applied, where residuals will be analyzed (showing no serial correlation or heteroskedasticity problems), followed by an intervention analysis. Structural changes and exogenous variables (global oil prices and competitors) will be studied alongside the Fama-French Three-Factor model, reaching the final version of our CAPM model. The reader will be encouraged to consider investing in ONGC over other NIFTY 50 companies.

Suggested Citation

  • Daniel Casado Ginard, 2024. "Econometric analysis of the share premium evolution of Oil and Natural Gas Corporation Limited," Revista de Economía y Finanzas (REyF), Asociación Cuadernos de Economía, vol. 2(4), pages 61-78, Abril.
    • Handle: RePEc:cud:journ2:v:2:y:2024:i:4:p:61-78
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    File URL: https://reveyf.es/index.php/REyF/article/view/366/165
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    More about this item

    Keywords

    Oil and natural gas in India; Multinational company; Financial analysis; Extended CAPM model; Fama-French three factor model;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • F23 - International Economics - - International Factor Movements and International Business - - - Multinational Firms; International Business
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • L71 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Mining, Extraction, and Refining: Hydrocarbon Fuels

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