Are Energy Prices and Stock Market Returns Dynamically Linked? Evidence from Emerging Markets

The purpose of this paper is to find out the relationship and volatility persistence between price of crude oil, price of natural gas and India?s stock market. The research has been done from 2008 to 2023 considering daily prices of these variables using Granger causality test, ARCH, GARCH, DCC GARCH and Vector Auto Regression models.It is found that there is a unidirectional causality from natural gas prices to crude oil price and from the stock market to natural gas prices. Crude oil, natural gas and stock have Autoregressive Conditional Heteroskedasticity effect. The correlations between financial market and energy market are strongly persistent over time. By providing valuable insights into the linkages between energy prices and the Indian stock market, our findings provide a better understanding of these dynamics, helping investors and financial practitioners make informed decisions.