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Investigating the Nexus between Crude Oil Price and Stock Prices of Oil Exploration Companies

Author

Listed:
  • K. Abhaya Kumar

    (Department of MBA, Mangalore Institute of Technology & Engineering, Moodabidri, Karnataka, India)

  • Prakash Pinto

    (Department of Business Administration, St. Joseph Engineering College, Mangalore, Karnataka, India)

  • Iqbal Thonse Hawaldar

    (3Department of Accounting and Finance, College of Business Administration, Kingdom University, Bahrain)

  • Saheem Shaikh

    (Department of MBA, Mangalore Institute of Technology & Engineering, Moodabidri, Karnataka, India)

  • Shravan Bhagav

    (Department of MBA, Mangalore Institute of Technology & Engineering, Moodabidri, Karnataka, India)

  • B. Padmanabha

    (Department of MBA, Sahyadri College of Engineering & Management, Mangalore Karnataka, India)

Abstract

In emerging economies, examining the linkage between different markets has become crucial. We have examined the linkage between crude oil and Indian oil exploration companies' equity prices. The augmented Dickey-Fuller method is used to test the stationarity of the series. The Granger causality test, Vector autoregression (VAR), and correlation methodologies are used to examine the causality between the markets. The p-values of Granger causality tests are less than 0.05, which confirms that the crude oil price causes the price movements of Indian oil exploration equities. The VAR (2) model confirmed that the prices of HOCE, OIL, and ONGC follow the first and second lag, Reliance and PETRONET equities follow the first lag of International crude price. The impulse response function shows a positive response of Indian oil exploration equity returns for the positive shocks of crude oil return. The findings of this study may help the traders and investors in the equity market, energy equity investors.

Suggested Citation

  • K. Abhaya Kumar & Prakash Pinto & Iqbal Thonse Hawaldar & Saheem Shaikh & Shravan Bhagav & B. Padmanabha, 2022. "Investigating the Nexus between Crude Oil Price and Stock Prices of Oil Exploration Companies," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 40-47, July.
    • Handle: RePEc:eco:journ2:2022-04-5
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    References listed on IDEAS

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    More about this item

    Keywords

    Energy equity; Causality; Oil price; VAR; impulse response function;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General

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