Faculty Publications
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Item Do different types of oil price shocks affect the indian stock returns differently at firm-level? A panel structural vector autoregression approach(Econjournals ijeep@econjournals.com, 2020) Aruna, B.; Rajesh Acharya, H.R.In this paper, we investigate the dynamic relationship between different oil price shocks and Indian stock returns at firm level, using variable-structural vector autoregression (VAR) approach for the period 1995:01-2018:12. We use large unbalanced panel of 1768 manufacturing energy-intensive and non-manufacturing energy-intensive firms listed in the national stock exchange. The estimation results depict that stock returns of India deteriorate due to disruptions in oil supply. In response to aggregate demand shock, stock returns and oil price move in opposite direction, whereas for speculative demand shock, oil price and stock returns have similar reactions. We also use Generalized Methods of Moments technique since our model suffers from endogeneity, thanks to the use of panel data. Since not all oil price shocks are alike, policy makers and investors should look into all aspects and sources of oil price shocks that impact stock returns, and make appropriate policy and investment decisions. From impulse response function, the effect is again cyclical as one could witness ups and downs in stock returns. This is because domestic oil price is partially dependent upon the status of subsidiaries and taxes. Also, inflation does not depend just upon oil price shocks and its sources, but it depends on other shocks such as inflation shock as well. © 2020, Econjournals. All rights reserved.Item Is the effect of Indian energy price shocks asymmetric on the stock market at the firm level? A panel SVAR approach(FrancoAngeli, 2021) Aruna, B.; Rajesh Acharya, R.H.This paper examines, using monthly data from 1995 to 2016, whether the oil, coal and electricity price shocks have an asymmetric influence on stock returns and inflation. The paper has employed Panel Structural Vector Autoregressive (PSVAR) model with various measures of the oil, coal and electricity price shocks on a dataset containing 1168 firms. Results from Panel-SVAR reveal that all oil, coal and electricity price specifications have an asymmetric impact on stock returns. Further, impulse response function reveals that the various dimensions of oil, coal and electricity price shocks lead to volatility in the response variables. It can also be observed that negative coal and electricity price shock has a radical impact on stock returns. Overall, the study on asymmetric impact of net oil and coal price increase, deserves attention from the investors and policy makers. © 2020 Franco Angeli Edizioni. All rights reserved.Item Is the effect of oil price shock asymmetric on the Indian stock market? Firm-level evidence from energy-intensive companies(Emerald Publishing, 2023) Aruna, B.; Rajesh Acharya, R.H.Purpose: This paper aims to examine the asymmetric impact of the oil price increase and decrease on stock returns at the firm level. Design/methodology/approach: To ascertain the impact oil price can exert on the stock price at the firm level, this study uses panel structural vector auto regression with various linear and nonlinear measures of oil price shock on a data set, containing 1,168 firms listed in Indian stock markets. This study also considers stock index returns, Fama-French factors and inflation as control variables. Findings: This paper finds evidence that at firm level, net oil price increase and decrease have an asymmetric impact on stock returns. Other oil price shock measures, namely, shock because of oil price increase and decrease, do not show any sign of asymmetric impact on stock returns. Originality/value: The comparison of firm-level return on its response towards oil price fluctuation can give valuable insights into a firm’s features. © 2022, Emerald Publishing Limited.