IMPACT OF CRUDE OIL PRICE VOLATILITY ON INDIAN STOCK MARKET RETURNS: A QUANTILE REGRESSION APPROACH

Zubair Munawwara

Economic Annals, 2024, vol. 69, issue 242, 93 - 128

Abstract: This paper examines the heterogenous effect of oil price volatility on Indian sectoral stock returns for the period January 2011 to September 2022 using the quantile regression method, which helps us to analyse the impact in bearish, normal, and bullish periods. The results show that total and sectoral stock returns are negatively affected by oil price fluctuations and the negative effect is stronger during the bearish period. In the normal and bullish periods, oil price volatility does not affect stock returns greatly. The interest rate and exchange rate changes have a stronger effect on sectoral returns in the bearish period in the pharmaceutical, healthcare, banking and finance, IT, fast-moving consumer goods (FMCG), and consumer durables sectors. The study shows that the impact of oil price volatility on sectoral returns is less than the impact of interest rate and exchange rate changes. The study also shows that oil price volatility directly impacts market portfolio returns initially, which subsequently spills over to sectoral returns, which implies that sectoral returns are impacted by oil price volatility through an indirect channel.

Keywords: oil price volatility; sectoral returns; quantile regression; bearish; bullish (search for similar items in EconPapers)
JEL-codes: C32 E44 G10 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.ekof.bg.ac.rs/wp-content/uploads/2015/12/242-04.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:beo:journl:v:69:y:2024:i:242:p:93-128

Ordering information: This journal article can be ordered from
http://ea.ekof.bg.ac.rs/

Access Statistics for this article

Economic Annals is currently edited by Will Bartlett

More articles in Economic Annals from Faculty of Economics and Business, University of Belgrade Contact information at EDIRC.
Bibliographic data for series maintained by Goran Petrić ().