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This research paper utilizes a combination of the GARCH model and Quantile regression analysis to investigate the influence of the BSE Oil and Gas Index on the stock prices of oil-dependent companies in the Indian market. The dataset spans from January 2008 to January 2024, consisting of monthly data. Specifically, the study focuses on eight selected oil-dependent companies, evenly distributed between the public and private sectors. Prior to employing the Quantile regression and GARCH model, rigorous testing for the presence of ARCH effects, normality of residuals, and structural breaks was conducted. The findings demonstrate a robust relationship between the BSE Oil and Gas Index and the stock prices of the selected petroleum corporations. Furthermore, the study sheds light on the impact of the SENSEX on the volatility of these key petroleum corporations’ stock prices.

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Examining the Influence of Crude Oil Price Volatility on the Stock Performance of Key Petroleum Corporations in the Indian Stock Exchange: A Quantitative Analysis

  • 章节

  • 发表日期：

    2025年

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  • Sandesh Ramakant Bhat,
  • K. K. Garg,
  • M. P. Sarvanan,
  • B. C. Ruchitha,
  • Madhu Druvakumar,
  • M. S. Shruti

摘要

This research paper utilizes a combination of the GARCH model and Quantile regression analysis to investigate the influence of the BSE Oil and Gas Index on the stock prices of oil-dependent companies in the Indian market. The dataset spans from January 2008 to January 2024, consisting of monthly data. Specifically, the study focuses on eight selected oil-dependent companies, evenly distributed between the public and private sectors. Prior to employing the Quantile regression and GARCH model, rigorous testing for the presence of ARCH effects, normality of residuals, and structural breaks was conducted. The findings demonstrate a robust relationship between the BSE Oil and Gas Index and the stock prices of the selected petroleum corporations. Furthermore, the study sheds light on the impact of the SENSEX on the volatility of these key petroleum corporations’ stock prices.