ABSTRACT
The study aims to examine the existence of a correlation between the stock prices of the energy sector, commodities prices of the energy sector, and market indices. The study uses an empirical approach to develop various VAR (Vector Autoregression) with Variance Decomposition Models for each company under the energy sector indexed in NIFTY50 by considering daily prices for 3 years. For a comparative study, the data have been divided into two parts. The first part is considered pre-COVID era, i.e., from July 1, 2018, to December 31, 2019, and the second part is considered post-COVID era, i.e., from January 1, 2020, to June 30, 2021. While observing the estimates of VAR of different companies, it can be said that crude oil is significant in most of the models during pre-COVID whereas, during post COVID, lag term of crude oil and NIFTYENGERGY are significant. On the other hand, while observing the estimates of variance decomposition in all the VAR models, the first lag term of the particular company’s share price is strongly endogenous. In comparison, the other independent variable, i.e., lag term of the price of crude oil and natural gas, values of NIFTY50 and NIFTY ENERGY are strongly exogenous to the stock prices of the energy sector. © 2022, Econjournals. All rights reserved.
ABSTRACT
The study aims to determine the impact of Capital Adequacy Ratio, Credit Losses Ratio and Efficiency Ratio on the two significant profitability ratios, namely Return on Assets (ROA) and Return on Equity (ROE), during the pandemic. Panel Data Regression is used to model the effects of Capital Adequacy, Credit Losses and Efficiency Ratio on Return on Assets and Return on Equity of Indian banks. A suitable model has been developed by analyzing the results of the Hausman test and the p-values. It has been found that Capital Adequacy Ratio (CAR) with coefficient value of –0.664, CET1 with coefficient value of 1.83 and efficiency ratio with coefficient value of 1.825 have significantly affected the return on assets as their p-values are less than 0.05. However, the accepted relationship between CAR and ROA, efficiency ratio and ROA were inverse, but their coefficients were significant. The provision for credit losses (PCL) was not affecting the ROA significantly during the pandemic and hence was not considered while framing the model. Again, the dependent variable is the return on equity, except CAR. Other ratios, i.e., CET1, efficiency ratio, and PCL ratio have unacceptable correlations and are even non-significant as their p-values are less than 0.05. © The author(s) 2022. This publication is an open access article.
ABSTRACT
The impact of COVID-19, due to the wide-spread demand and supply destruction and downward movement of crude oil prices is of concern for all those connected with the oil and gas industry. In this study, an attempt has been made to estimate the price volatility of crude oil and natural gas listed on multi commodity exchange of India (MCX). We measured the leverage effect of COVID-19 on price volatility of crude oil and natural gas by using the daily prices of crude oil and natural gas from May 01, 2017 to April 30, 2020. The findings of the study reveal that there is a presence of leverage effect of COVID-19 on the price volatility of crude oil. However, this leverage effect is not present on the price volatility of natural gas. The findings of the study will help investors to develop investment strategies and to the policymakers to formulate appropriate policies to overcome or minimise the impact of COVID-19. The forecasting graphs of crude oil prices indicate that there is a possibility that price volatility will be higher in the future. However, it is difficult to forecast the expected price volatility of natural gas for the future because the price volatility graph is extremely fluctuating. © 2020, Econjournals. All rights reserved.