Proceedings of The 4th International Conference On Business, Management and Finance
Response of the Indian Stock Market to Oil Price Shocks With Respect To a Financial Crisis
Niranjan Ashok Jahagirdar and Rahul Suresh Bhagtani
The purpose of this study is to investigate how Indian equity stock returns respond to changes in oil prices before, during and after a financial crisis. We refer to firm level data from 2019 to 2021. The financial crisis we are considering is the 2020 economic crisis caused due to the Covid-19 pandemic. This study will be using 245 stocks represented in the NIFTY index of the National Stock Exchange (NSE), India. We use daily prices of Indian Crude Basket for the aforementioned period to determine the oil price shocks. We also determine whether the size of the firm, measured by its market capitalization, plays a role in terms of its stock returns in response to the oil price shocks. Furthermore, we examine whether the effects of an oil price shock are homogenous across industries or whether the nature of the industry, in terms of its oil dependence and intensity, influences the response to the oil price shock. Lastly, we also try to understand of whether the direction of the shock plays a role in how the stock prices react to it.
keywords: oil price shocks, NIFTY, Covid-19 pandemic, firm size.