Exploring the Relevance of Crude Oil Prices and Installed Generation Capacity in Prognosticating the NIFTY Energy Index

IF 1.3 Q1 AREA STUDIES

Millennial Asia Pub Date : 2022-04-01 DOI:10.1177/09763996221081196

Avik Ghosh, Suvajit Banerjee

引用次数: 1

Abstract

The article brings a new approach with a proficient rendition of the existing literature emphasizing the stock and oil prices (OP) nexus, and it uniquely incorporates the demand-side impact of the domestic electricity installed capacity (IC) on India’s benchmark NIFTY Energy Index (NEI). The study undertakes a multivariate time series analysis consisting of a dual-cointegration exercise with the Johansen test and the Bounds test followed by a comprehensive residual analysis. From the multivariate analysis, the study found that the underlying variables are having a significant long-run association among them, while with Granger causality test, it detects a bidirectional causality in the case of IC and energy index pair, and no significant causality in the case of crude OP and energy stock returns pair. After this, the study proceeds with a univariate analysis of a long time series and establishes that the NEI can be foreseen with a suitable ARMA model and residual heteroscedasticity EGARCH analysis even in the presence of exogenous shocks.

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原油价格与装机容量在NIFTY能源指数预测中的相关性探讨

本文引入了一种新的方法，通过对现有文献的熟练演绎，强调股票和石油价格(OP)关系，并独特地将国内电力装机容量(IC)对印度基准NIFTY能源指数(NEI)的需求侧影响纳入其中。本研究进行了多变量时间序列分析，包括双协整练习与约翰森检验和边界检验，然后是综合残差分析。从多变量分析中，研究发现基础变量之间存在显著的长期相关性，而通过格兰杰因果检验，发现IC与能源指数对存在双向因果关系，原油OP与能源股收益对不存在显著因果关系。在此之后，研究继续进行长时间序列的单变量分析，并确定即使在存在外源冲击的情况下，也可以使用合适的ARMA模型和剩余异方差EGARCH分析来预测NEI。

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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来源期刊

Millennial Asia AREA STUDIES-

CiteScore

4.50

自引率

12.50%

发文量

期刊介绍： Millennial Asia: An International Journal of Asian Studies is a multidisciplinary, refereed biannual journal of the Association of Asia Scholars (AAS)–an association of the alumni of the Asian Scholarship Foundation (ASF). It aims to encourage multifaceted, multidisciplinary and interdisciplinary research on Asia, in order to understand its fast changing context as a growth pole of global economy. By providing a forum for Asian scholars situated globally, it promotes dialogue between the global academic community, civil society and policy makers on Asian issues. The journal examines Asia on a regional and comparative basis, emphasizing patterns and tendencies that go beyond national borders and are globally relevant. Modern and contemporary Asia has witnessed dynamic transformations in cultures, societies, economies and political institutions, among others. It confronts issues of collective identity formation, ecological crisis, rapid economic change and resurgence of religion and communal identifies while embracing globalization. An analysis of past experiences can help produce a deeper understanding of contemporary change. In particular, the journal is interested in locating contemporary changes within a historical perspective, through the use of interdisciplinary and multidisciplinary approaches. This way, it hopes to promote comparative studies involving Asia’s various regions. The journal brings out both thematic and general issues and the thrust areas are: Asian integration, Asian economies, sociology, culture, politics, governance, security, development issues, arts and literature and any other such issue as the editorial board may deem fit. The core fields include development encompassing agriculture, industry, regional trade, social sectors like health and education and development policy across the region and in specific countries in a comparative perspective.