Impact of crude oil price uncertainty on indian stock market returns: Evidence from oil price volatility index

The oil price volatility index (OPVI) is a direct and more accurate measure of oil price uncertainty. The significance of the crude oil prices volatility index is used in this paper to examine the effects of crude oil uncertainty on the aggregate and market returns in various economic sectors. This research issue and the problem are determined by applying a quantile regression model (QRM), which can provide a more comprehensive investigation under different market situations. In the meantime, the asymmetric effects of ambiguity shockwaves are also investigated by applying the positive (+) and negative () fluctuations of the crude oil price volatility index (OPVI). Moreover, the paper measure whether the reform of 2012 stimulated the oil price volatility index (OPVI) stock relationship; meanwhile, this reform was the most crucial step to reduce the control of domestic crude oil prices in India. The paper outcomes disclose that the oil price volatility index (OPVI) changes mostly confirm the significant adverse effects on the aggregate and various economic sectoral stock returns in the price declines. These effects are primarily contingent on the positive shockwaves of the crude oil price volatility index rather than the negative shockwaves of the crude oil price volatility index. Moreover, the reform of 2012 reduced the impacts of the positive crude oil price volatility index shocks on Indian stock returns. Finally, the study finds that the information content of the crude price oil volatility index improves the volatility forecasts for the stock market returns.