Need Tally
for Clients?

Contact Us! Here

  Tally Auditor

License (Renewal)
  Tally Gold

License Renewal

  Tally Silver

License Renewal
  Tally Silver

New Licence
  Tally Gold

New Licence
 
Open DEMAT Account with in 24 Hrs and start investing now!
« Latest Circulars »
Open DEMAT Account in 24 hrs
 Auction of State Government Securities Feb 23, 2024
 RBI imposes monetary penalty on The Adinath Co-Operative Bank Limited, Dist. Surat, Gujarat
 The Relevance of SEACEN in a Turbulent World (Closing remarks by Michael Debabrata Patra, Deputy Governor, Reserve Bank of India - February 15, 2024 - at the 59th SEACEN Governors' Conference
  Business restrictions imposed on Paytm Payments Bank Limited vide Press Releases dated January 31 and February 16, 2024
 Extension of validity of Directions under Section 35A read with section 56 of the Banking Regulation Act, 1949 (As Applicable to Co-operative Societies) - HCBL Co-operative Bank Ltd., Lucknow (U.P.)
 Business restrictions imposed on Paytm Payments Bank Limited vide Press Releases dated January 31 and February 16, 2024
 Directions under Section 35 A read with section 56 of the Banking Regulation Act, 1949 Shimsha Sahakara Bank Niyamitha, Maddur, Mandya District Extension of Period
 Reserve Bank of India (Government Securities Lending) Directions, 2023
 Building resilient brand India amidst global uncertainty (Speech by Shri Swaminathan J, Deputy Governor, Reserve Bank of India - December 28, 2023 - at the 10th SBI Banking and Economic Conclave in Mumbai)
 Trade Credit for imports into India Submission of return on issuance of bank guarantees for Trade Credits on the Centralised Information Management System (CIMS)
 Minutes of the Monetary Policy Committee Meeting, December 6 to 8, 2023

RBI Working Paper No. 01/2023: Measuring Contagion Effects of Crude Oil Prices on Sectoral Stock Price Indices in India
January, 13th 2023

Today the Reserve Bank of India placed on its website a Working Paper titled, “Measuring Contagion Effects of Crude Oil Prices on Sectoral Stock Price Indices in India” under the Reserve Bank of India Working Paper Series1. The paper is co-authored by Madhuchhanda Sahoo, Arvind Kumar Shrivastava, Jessica Maria Anthony and Thangzason Sonna.

The need for a deeper understanding of the contagion effects of extreme changes in global crude oil prices on sectoral stock indices for an oil import-dependent economy like India cannot be overstated. Since studies on global crude oil price contagion at sectoral stock levels for India are rare, the paper is expected to contribute both to literature and understanding of the subject. The paper uses the generalised Pareto distribution (GPD) for estimating excess returns or exceedances, defined as deviations – above and below, thresholds. The multinomial logit model (MNL) framework is then used for determining the probability of contemporaneous exceedances or co-exceedances, occurring the same day for 10 sectoral Indian stocks and global crude oil returns during the period from January 2007 to December 2020. The literature defines this probability of co-exceedances as contagion effect. The following are the major conclusions from the paper:

  1. There exists a significant likelihood of a contagion effect or simultaneous exceedances for the 10 sectoral stock returns when faced with extreme changes in global crude oil returns;

  2. The evidence of positive co-exceedances is stronger;

  3. The results are found more robust when relevant control variables are introduced – exchange rate returns (INR-USD), 10-year G-sec yield, and differential stock returns, (i.e., small firms minus big firms); and

  4. The contagion effect on all sectoral indices, irrespective of their direct and indirect exposure to oil price dynamics, highlights the need for hedging by investors as mere diversification of portfolios may not be sufficient to protect their assets from an adverse oil price shock.

(Yogesh Dayal)      
Chief General Manager

Press Release: 2022-2023/1538


1 The Reserve Bank of India (RBI) introduced the RBI Working Papers series in March 2011. These papers present research in progress of the staff members of the RBI and at times also those of external co-authors, when the research is jointly undertaken. They are disseminated to elicit comments and further debate. The views expressed in these papers are those of the authors and not necessarily those of the institution(s) to which they belong. Comments and observations may please be forwarded to the authors. Citation and use of such papers should take into account its provisional character.

Home | About Us | Terms and Conditions | Contact Us
Copyright 2024 CAinINDIA All Right Reserved.
Designed and Developed by Ritz Consulting