Oil Price Dynamics and Sectoral Indices in India – Pre, Post and during COVID Pandemic: A Comparative Evidence from Wavelet-based Causality and NARDL

International Journal of Economics and Financial Issues Pub Date : 2024-07-03 DOI:10.32479/ijefi.16231

Koushik Mandal, Radhika Prosad Datta

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Abstract

Due to the COVID pandemic, the stock market has been affected adversely around the globe and investment decisions are now more challenging and riskier. Hence, in this paper, we aim to investigate the impact of oil prices on the Indian stock market and eight sectoral indices for the period of pre, post, and during the COVID pandemic. The maximal overlap discrete wavelet transform (MODWT) is used to decompose and to denoise the original time series data as oil price and market return are found to be noisy. We employ the wavelet-based Granger causality (WGC) and non-linear, autoregressive distributed lag model (NARDL) to investigate the causality in the frequency domain as well as the short-run and long-run asymmetry of oil price impact. Our analysis shows a feedback relation between low frequency (higher investment horizon) and the long-run asymmetric impact of oil prices on all sectors during all three periods. We discuss the dynamic time-varying relationship between the oil price and sectoral return along with the investment implications in detail.

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印度的石油价格动态和部门指数--COVID 大流行之前、之后和期间：基于小波的因果关系和 NARDL 的比较证据

由于 COVID 大流行，全球股市都受到了不利影响，投资决策变得更具挑战性和风险性。因此，本文旨在研究 COVID 大流行之前、之后和期间石油价格对印度股市和八个行业指数的影响。由于发现石油价格和市场回报率存在噪声，因此使用最大重叠离散小波变换 (MODWT) 对原始时间序列数据进行分解和去噪。我们采用基于小波的格兰杰因果关系（WGC）和非线性自回归分布滞后模型（NARDL）来研究频域的因果关系以及油价影响的短期和长期非对称性。我们的分析表明，在所有三个时期，低频（较高的投资期限）与石油价格对所有行业的长期非对称影响之间存在反馈关系。我们详细讨论了油价与行业回报率之间的动态时变关系以及对投资的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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International Journal of Economics and Financial Issues

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期刊介绍： International Journal of Economics and Financial Issues (IJEFI) is the international academic journal, and is a double-blind, peer-reviewed academic journal publishing high quality conceptual and measure development articles in the areas of economics, finance and related disciplines. The journal has a worldwide audience. The journal''s goal is to stimulate the development of economics, finance and related disciplines theory worldwide by publishing interesting articles in a highly readable format. The journal is published Bimonthly (6 issues per year) and covers a wide variety of topics including (but not limited to): Macroeconomcis International Economics Econometrics Business Economics Growth and Development Regional Economics Tourism Economics International Trade Finance International Finance Macroeconomic Aspects of Finance General Financial Markets Financial Institutions Behavioral Finance Public Finance Asset Pricing Financial Management Options and Futures Taxation, Subsidies and Revenue Corporate Finance and Governance Money and Banking Markets and Institutions of Emerging Markets Public Economics and Public Policy Financial Economics Applied Financial Econometrics Financial Risk Analysis Risk Management Portfolio Management Financial Econometrics.