 Exploring the Relevance of Crude Oil Prices and Installed Generation Capacity in Prognosticating the NIFTY Energy IndexAvik Ghosh and Suvajit Banerjee Millennial Asia, 2023, vol. 14, issue 4, 560-581 Abstract: The article brings a new approach with a proficient rendition of the existing literature emphasizing the stock and oil prices (OP) nexus, and it uniquely incorporates the demand-side impact of the domestic electricity installed capacity (IC) on India’s benchmark NIFTY Energy Index (NEI). The study undertakes a multivariate time series analysis consisting of a dual-cointegration exercise with the Johansen test and the Bounds test followed by a comprehensive residual analysis. From the multivariate analysis, the study found that the underlying variables are having a significant long-run association among them, while with Granger causality test, it detects a bidirectional causality in the case of IC and energy index pair, and no significant causality in the case of crude OP and energy stock returns pair. After this, the study proceeds with a univariate analysis of a long time series and establishes that the NEI can be foreseen with a suitable ARMA model and residual heteroscedasticity EGARCH analysis even in the presence of exogenous shocks. Keywords: NIFTY Energy Index; crude oil price; electricity installed capacity; dual-cointegration analysis; residual analysis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sae:millen:v:14:y:2023:i:4:p:560-581 DOI: 10.1177/09763996221081196 Access Statistics for this article More articles in Millennial Asia |
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