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Abstract The study aims to examine the existence of a correlation between the stock prices of the energy sector, commodities prices of the energy sector, and market indices. The study uses an empirical approach to develop various VAR (Vector Autoregression) with Variance Decomposition Models for each company under the energy sector indexed in NIFTY50 by considering daily prices for 3 years. For a comparative study, the data have been divided into two parts. The first part is considered pre-COVID era, i.e., from July 1, 2018, to December 31, 2019, and the second part is considered post-COVID era, i.e., from January 1, 2020, to June 30, 2021. While observing the estimates of VAR of different companies, it can be said that crude oil is significant in most of the models during pre-COVID whereas, during post COVID, lag term of crude oil and NIFTYENGERGY are significant. On the other hand, while observing the estimates of variance decomposition in all the VAR models, the first lag term of the particular company's share price is strongly endogenous. In comparison, the other independent variable, i.e., lag term of the price of crude oil and natural gas, values of NIFTY50 and NIFTY ENERGY are strongly exogenous to the stock prices of the energy sector. Downloads Download data is not yet available. Author Biographies Bharat Kumar Meher, Darshan Sah College, Katihar (Under Purnea University), Bihar, India, Assistant Professor, Darshan Sah College, Katihar (Under Purnea University), Bihar, India Iqbal Thonse Hawaldar, College of Business Administration, Kingdom University, Bahrain Professor Santosh Kumar , Darshan Sah College, Katihar (Under Purnea University), Bihar, India, Assistant Professor, Darshan Sah College, Katihar (Under Purnea University), Bihar, India Email ID: [email protected] Abhishek Kumar Gupta, Darshan Sah College, Katihar (Under Purnea University), Bihar, India, Assistant Professor, Darshan Sah College, Katihar (Under Purnea University), Bihar, India Email ID: [email protected] Downloads FULL TEXT Published 2022-07-19 How to Cite Meher, B. K., Hawaldar, I. T., Kumar , S. ., & Gupta, A. K. . (2022). Modelling Market Indices, Commodity Market Prices and Stock Prices of Energy Sector using VAR with Variance Decomposition Model. International Journal of Energy Economics and Policy, 12(4), 122–130. https://doi.org/10.32479/ijeep.13161 More Citation Formats ACM ACS APA ABNT Chicago Harvard IEEE MLA Turabian Vancouver Download Citation Endnote/Zotero/Mendeley (RIS) BibTeX Issue Vol. 12 No. 4 (2022) Section Articles License Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication. Most read articles by the same author(s) Bharat Kumar Meher, Iqbal Thonse Hawaldar, Mathew Thomas Gil, Deebom Zorle Dum, Measuring Leverage Effect of Covid 19 on Stock Price Volatility of Energy Companies Using High Frequency Data , International Journal of Energy Economics and Policy: Vol. 11 No. 6 (2021) Bharat Kumar Meher, Iqbal Thonse Hawaldar, Latasha Mohapatra, Cristi Spulbar, Ramona Birau, The Effects of Environment, Society and Governance Scores on Investment Returns and Stock Market Volatility , International Journal of Energy Economics and Policy: Vol. 10 No. 4 (2020) Bharat Kumar Meher, Iqbal Thonse Hawaldar, Latasha Mohapatra, Adel M. Sarea, 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: Vol. 10 No. 5 (2020) K. Abhaya Kumar, Prakash Pinto, Iqbal Thonse Hawaldar, Shaheem Shaikh, Sharan Bhagav, B. Padmanabha, Investigating the Nexus between Crude Oil Price and Stock Prices of Oil Exploration Companies , International Journal of Energy Economics and Policy: Vol. 12 No. 4 (2022) K. Abhaya Kumar, Prakash Pinto, Iqbal Thonse Hawaldar, K. G. Ramesh, Can Crude Oil Futures be the Good Hedging Tool for Tyre Equities? Evidence from India , International Journal of Energy Economics and Policy: Vol. 11 No. 6 (2021) K. Abhaya Kumar, Prakash Pinto, Iqbal Thonse Hawaldar, B.R. Pradeep Kumar, Biogas from Cattle Dung as a Source of Sustainable Energy: A Feasibility Study , International Journal of Energy Economics and Policy: Vol. 10 No. 6 (2020) Iqbal Thonse Hawaldar, T. M. Rajesha, Lokesha Lokesha, Adel M. Sarea, Causal Nexus between the Anamolies in the Crude Oil Price and Stock Market , International Journal of Energy Economics and Policy: Vol. 10 No. 3 (2020) Make a Submission Make a Submission Dergi Kapağı

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