Faculty Publications
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Item The oil price uncertainty effect on stock returns of the Indian renewable energy firms under different market conditions(John Wiley and Sons Inc, 2022) Mishra, L.; Rajesh Acharya, R.H.This study investigates the oil price uncertainty effect on stock return of the Indian renewable energy firms under different market conditions. We use the Oil Volatility Index (OVX) as a proxy of oil price uncertainty. All renewable energy companies listed on the National Stock Exchange of India are considered. Monthly data are analysed from January 2009 to December 2019 using panel quantile regression. In the whole sample of the renewable energy firms, we find that the impact of oil price volatility on stock return is negative only in extreme market conditions. In subgroups of renewable energy firms, oil price volatility has negative coefficients in most quantiles. The oil price volatility change is decomposed into positive and negative changes to investigate the asymmetric effect. In subgroups of renewable energy firms' analysis, most of the asymmetric effects of oil price volatility are seen in the bearish market condition. The policymakers can use the findings to formulate policies as per the oil price volatility movement to ensure the growth of the renewable energy sector. Investors and portfolio managers can make appropriate strategies based on oil price volatility to maximise the investment return across market conditions. © 2022 Organization of the Petroleum Exporting Countries.Item Oil price effect on asset pricing of renewable energy firms in India: a panel quantile regression approach(Emerald Publishing, 2023) Mishra, L.; Rajesh Acharya, R.H.Purpose: This study aims to investigate the relationship between oil prices and stock returns of renewable energy firms in India under different market conditions. Design/methodology/approach: The authors use the panel quantile framework with Fama–French–Carhart’s (1997) four-factor asset pricing model. All renewable energy firms listed in the National Stock Exchange of India are considered in this study. Three oil prices, such as West Texas Intermediate spot price, Europe Brent oil price and Indian basket oil price, are used in the regression. The analysis is done for the whole sample and its subgroups. Findings: In the whole sample, stock returns of renewable energy firms respond positively to oil price changes in extreme market conditions only. In the subgroups of the renewable energy firms, the relationship between stock returns and oil price is positive and more robust in higher quantiles across all subgroup firms. Originality/value: The contribution of the study is explained as follows. First, this study helps to explore the relationship between oil and stock returns of the renewable energy sector under different market conditions in the Indian context. Second, existing studies explore the effect of oil prices on stock returns of the renewable energy sector at the industry level, and most of the studies are in developed countries. To the best of the authors’ knowledge, this is the first study in the context of India. Third, this is a firm-level study. © 2022, Emerald Publishing Limited.Item The effect of structural oil shocks on stock returns of Indian renewable energy companies across market conditions(Emerald Publishing, 2024) Mishra, L.; Rajesh Acharya, H.Purpose: This study aims to evaluate the structural oil shocks effect on stock returns of Indian renewable energy companies across market conditions. Design/methodology/approach: This study applies the structural vector autoregression model to estimate sources of oil shocks such as oil supply shock, aggregate demand shock and oil price-specific demand shock. In the next step, the panel quantile regression model estimates the effect of these oil shocks on stock return across market conditions. Monthly data are collected from January 2009 to December 2019. All renewable energy companies listed on the National Stock Exchange of India are considered for the analysis. Findings: In the whole sample analysis, this study finds that oil shocks negatively affect stock returns in most of the market conditions except oil price-specific demand shock. In sub-groups, oil shocks driven by supply and aggregate demand also negatively affect stock return in most market conditions. This study finds the positive interaction of oil price-specific demand shock. A majority of these positive interactions happen in bearish market conditions. In the whole sample, the asymmetric effects of shocks driven from oil supply and oil price-specific demand are seen in most quantiles or market conditions. At the same time, aggregate demand shock does not affect asymmetrically. In the sub-group analysis, standalone renewable energy companies stock returns are least asymmetrically affected by these oil shocks. The asymmetries of oil supply-driven shock on stock returns of the renewable energy sub-group companies are found in most quantiles. Originality/value: First, this is a company-level study of the stock returns response to the structural oil shocks in the renewable energy sector. Second, to the best of the authors’ knowledge, this type of study is the first in the Indian context. Third using panel quantile regression model along with capital asset pricing model framework, the authors investigate these effects across market conditions. © 2024, Emerald Publishing Limited.Item The Asymmetric Interaction Between Oil Price Change and Stock Returns of the Renewable Energy Companies in India: A Panel NARDL Approach(Springer, 2025) Mishra, L.; Rajesh Acharya, R.H.This study aims to investigate the oil price asymmetric effect on stock return of renewable energy companies. We apply panel Non-linear Autoregressive Distributed Lag to examine the effect of positive and negative changes in the oil price. The monthly data of all renewable energy companies listed in the National Stock Exchange of India are considered for the analysis. We find the oil price asymmetric effect only on stock returns of the standalone renewable products and services companies in the long run. This asymmetric effect is not found in the whole sample and other sub-groups of renewable energy companies. The findings would be useful to investors, portfolio managers, corporate managers and policymakers. © The Author(s), under exclusive licence to Springer Japan KK, part of Springer Nature 2024.