Crude complexities: sectoral asymmetries in the Indian stock market response to oil price changes

Title

Crude complexities: sectoral asymmetries in the Indian stock market response to oil price changes

Creator

Gopal, Suresh; Naveen Kumara, R.; R. V, Naveenan

Description

While many studies have examined the impact of oil price changes on stock market returns, most overlook the asymmetric impact on disaggregated sectoral indices. This study addresses this gap by examining the sector-specific impact of oil price changes in India, one of the largest oil-importing economies. Using monthly data from April 2008 to July 2025 collected from the Bloomberg database, we employed both linear and Non-linear ARDL models to explore the asymmetric impact in short- and long-run relationships. The findings reveal significant heterogeneity in the sectoral responses to oil price changes. While the FMCG, media and pharma sectors do not exhibit cointegration with oil prices, other sectors, namely banking, auto, metal, energy, IT, financial services, and real estate, asymmetrically responded to oil price changes. The negative oil price changes cause stronger and short-run sectoral responses than the positive changes, as confirmed by the Wald test and GIRFs. The error correction terms are negative and statistically significant for all the sectors, which confirms a long-run equilibrium and mean-reverting behaviour. This establishes that sectors react differently to positive and negative oil price changes in the long run. Investors must account for the non-linear relationship between these variables and take appropriate action when forming portfolio strategies. The results suggest that policymakers should monitor and find alternative energy sources to avoid sector-specific vulnerabilities during oil price fluctuations. 2025 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.

Source

Cogent Economics and Finance;Volume;13;Issue;1;Article No.;2588921;

Date

01-01-2025

Publisher

Cogent OA

Subject

asymmetric impact; emerging markets; non-linear ARDL; Oil price shocks; quantile regression; sectoral indices

Coverage

Gopal S., Symbiosis Institute of Business Management (SIBM), Symbiosis International (Deemed University), Karnataka, Bengaluru, India; Naveen Kumara R., Department of Commerce, School of Commerce, Finance and Accountancy, CHRIST University, Karnataka, Bangalore, India; R. V N., School of Business and Management, Christ University, Karnataka, Bengaluru, India

Rights

All Open Access; Gold Open Access; Green Open Access

Relation

ISSN: 23322039;

Format

online

Language

English

Type

Article

Identifier

https://doi.org/10.1080/23322039.2025.2588921

https://www.scopus.com/pages/publications/105022455862?origin=resultslist