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Research Article

JCR. 2020; 7(13): 3164-3181


A COLLABORATIVE ALLIANCE BETWEEN THE CLUSTER OF OIL & GAS INDICES GLOBALLY

Pratap Chandra Sahoo, Dr. Arya Kumar.

Abstract
The present paper establishes the relationship between the eighteen oil & gas indices of the world.
The study applied two types of test i.e. primary tests for data normality and stationary that explains the
characteristics of data and the secondary tests to identify the relationship and direction movement of the indices.
The analysis is conducted on the monthly return series of all the indices i.e. from April 2008 to March 2020. After
the test outcome it confirms that it shows a significant result where all the series are found positively correlated in
addition to this the series shows a relationship of more than 50 per cent with each other. Interestingly some of the
indices explain a strong relationship while AEX- Amsterdam and TA- Israel oil and gas indices are the only
indices that show a remarkable impact on the relationship with almost five different stock indices. A further
analysis of understanding the directional movement which will be useful to predict the movement of others, a test
of Granger Causality is implemented that signifies unidirectional causality with few indices but a bi-directional
causality is only confirmed between FTSE-London and the TSX-Toronto indices. However, the present study
holds uniqueness as several studies were conducted on stock exchanges and global indices but few studies hold on
indices analysis. It is observed from the past performance that indices influences the stock performances which are
not always true rather the present study confirm that prediction of stock performances should be an indices centric.
Hereafter, it can be accepted that this kind of analysis will create awareness among the practitioners and
policymakers and change the mind-set while implementing a new policy or applying any investment strategies.

Key words: Oil & Gas Indices, Global stock market, Granger Causality, Correlation, Price prediction



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