Faculty Publications
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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.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.