Page 30 - Faculty Research Publication Booklet_Apr 2022_Mar 2023_Final

Agnihotri, S., & Chauhan, K. (2022). Modeling tail risk in Indian commodity markets using conditional EVT-

VaR and their relation to the stock market. Investment Management & Financial Innovations, 19(3), 1.

Investment in commodity markets in India accelerated after

2007; this was accompanied by large price variability; hence, it
becomes imperative to measure commodity price risk precisely.

It becomes equally important to study the relationship between
commodity price variability and the stock market. Hence, this study

aims to calculate the tail risk of highly traded Indian commodity
futures returns using the conditional EVT-VaR method for risk

measurement. Secondly, the linkage between commodity markets
and the stock market is also studied using the Delta CoVaR method.

Results highlight the following points. There is risk transfer from the
extreme increase/decrease in crude oil futures returns to the Nifty

Index returns. Both extreme price increase or decrease of crude oil
futures driven either by financial or a combination of financial and

economic shocks affect the stock market. Zinc and Natural gas
futures are not linked to the stock market, which means they can

be useful in portfolio diversification. The findings suggest that, in
Indian commodity markets, EVT-VaR is a useful tool for measuring

risk. Only Crude oil futures shocks affect the stock market, and
extreme integration between them becomes more prominent

when oil shocks are driven by financial factors. Commodities other
than Crude oil are not integrated with stock markets in India.

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