IS THERE SPILLOVER AMONG CRUDE OIL PRICES AND SHARE PRICES OF OIL AND GAS INDUSTRIES IN INDIA?

This paper investigates the volatility in crude price and the persistence level of spill-over effect among share prices of Hindustan Petroleum Corporation Limited (HPCL), Bharat Petroleum Corporation Ltd (BPCL), GAIL India Ltd, Indian Oil Corporation (IOC), and Oil and Natural Gas Corporation (ONGC) by using Multivariate GARCH Model. For the study daily time series data of crude oil price and the share price of ten years period (April 1, 2008, to 31 March 2018) were collected. There is a Clustering Effect among the variance of Crude Oil Prices and Share Prices. The Persistence level is very strong between Crude Oil prices and Bharat Petroleum Corporation Ltd (BPCL), Crude Oil Prices and GAIL India Ltd and finally Crude oil prices and Oil and Natural Gas Corporation (ONGC). On the other hand there is no or low Persistence between Crude oil prices and Indian Oil Corporation (IOC) and Crude Oil prices and Hindustan Petroleum Corporation Limited(HPCL). The portfolio managers should carefully investment decisions in the Shares of Petroleum and Gas Industry.