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The Impact of COVID-19 on Price Volatility of Crude Oil and Natural Gas Listed on Multi Commodity Exchange of India

Author

Listed:
  • Bharat Kumar Meher

    (Department of Commerce, D.S. College, Katihar, Under Purnea University, Purnia, Bihar, India,)

  • Iqbal Thonse Hawaldar

    (Department of Accounting and Finance, College of Business Administration, Kingdom University, Sanad, Bahrain,)

  • Latasha Mohapatra

    (Department of Commerce, Manipal Academy of Higher Education, Manipal, Karnataka, India,)

  • Adel M. Sarea

    (College of Business and Finance, Ahlia University, Manama, Bahrain.)

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.

Suggested Citation

  • Bharat Kumar Meher & Iqbal Thonse Hawaldar & Latasha Mohapatra & Adel M. Sarea, 2020. "The Impact of COVID-19 on Price Volatility of Crude Oil and Natural Gas Listed on Multi Commodity Exchange of India," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 422-431.
    • Handle: RePEc:eco:journ2:2020-05-49
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    Cited by:

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    5. Daniel Stefan Armeanu & Stefan Cristian Gherghina & Jean Vasile Andrei & Camelia Catalina Joldes, 2023. "Evidence from the nonlinear autoregressive distributed lag model on the asymmetric influence of the first wave of the COVID-19 pandemic on energy markets," Energy & Environment, , vol. 34(5), pages 1433-1470, August.
    6. Suresh Kumar & Ankit Kumar & Gurcharan Singh, 2023. "Causal relationship among international crude oil, gold, exchange rate, and stock market: Fresh evidence from NARDL testing approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 47-57, January.
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    More about this item

    Keywords

    COVID-19; Asymmetric Volatility; Leverage Effect; Crude Oil; Natural Gas; MCX Limited.;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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