This study aims to examine the relationships among the constituents of the Indian stock market, specifically, to examine the relationship between the S&P BSE Oil & Gas index and four other sectors, such as, S&P BSE IT, S&P BSE energy, S&P BSE auto, and S&P BSE power are being specifically explored. The aim of this study is to understand the potential effects of variations in the BSE Oil & Gas index on these industries. For a variety of stakeholders, including investors, politicians, and market analysts, this study is vital because it offers critical insights into the economies that form the basis of India. With the help of various methodologies, this study examines historical stock price fluctuations by using statistical methods and data analysis, with a focus on time series modelling. In order to assess and comprehend the possible effects of changes in the Indian stock market, this study carefully looks at important financial indicators and pertinent market trends. Examining any asymmetries in these relationships will help determine if the oil and gas business experiences positive or negative shocks, and which ones have distinct effects on the various sectors under consideration. This study is one of various contributions into the global discourse on market interdependence that provides useful guidelines for the Indian stakeholder in handling their vital segments of the markets in India.