Is the Effect of Coal and Electricity Price Shocks Asymmetric on the Stock Market at the Firm Level A Panel SVAR Approach
To fulfill the objectives of this research work, we consider companies on Indian stock exchanges. Although, Bombay Stock Exchange (BSE) has more listed companies than the National Stock Exchange of India (NSE), based on turnover we select NSE, covering the period from January 1995 to December 2016. The large unbalanced panel of 1786 firms and 143 diverse sectors of monthly frequency are extracted from the Centre for Monitoring Indian Economy (CMIE) Prowess database. For analysis, we consider only energy intensive firms, making a final data set of 1168 firms. We exclude sectors such as finance, trade, Community welfare services from the study. Wholesale Price Index (WPI) number for coal and electricity are taken as a proxy for coal and electricity prices, respectively. We take electricity for industrial use for the analysis. Core inflation is considered by excluding energy prices. Inflation is used as dependent variables in this study to channel the impact of oil price shock on stock returns. These variables are extracted on a monthly frequency from Handbook of statistics of Reserve Bank of India. Before proceeding for any pre-tests, we bring data series about energy price under one constant price of 2004-05 prices using splicing method. Most of the electricity price shock specifications show an asymmetric impact on stock returns. All coal price shock specifications are asymmetric towards stock returns. •On the other hand, electricity price and its specifications have symmetric impact on inflation. Coal price and its various shock specifications have an expected (symmetric) influence on inflation.