Measurement of Effect of Volatility in Crude Oil Prices on Share Prices of Major Petroleum Companies in the Indian Stock Market

Abstract

Crude Oil is a common word that makes the headlines frequently. It is an essential natural resource for any country. Crude Oil price is one of the most crucial and essential macroeconomic variables which are volatile due to fluctuation in the crude oil prices. Investment in stock market involves future uncertainties and unexpected risks. Irregularity in stock market also called as volatility. It is associated with the changeability as well as future uncertainty of the prices of various financial instruments. Consequently the stock market comprises maximum volatility which leads to maximum risk in the stock market.  Therefore, this study mainly related to measurement of effect of volatility in crude oil prices on share prices of major petroleum companies in the Indian stock market. The study considers the daily closing price of crude oil, Sensex and major petroleum companies in India to evaluate the daily returns. For analysing the objectives the data has been composed from secondary source for the duration of 10 years from October 1, 2011 to September 30, 2021. Different tools like mean, stand deviation, skewness, kurtosis, correlation, t test and regression are used to study the volatility pattern of petroleum companies in Indian stock market.