Studying the historical context of a story, you can better understand the historical time and details which the writer includes in his story. You can better understand some actions of characters, their moves or acts. Knowing the historical context you would know the social, religious, economic, and political conditions. That can be very important for the story if the story reflects this specifics historical time. If a reader can understand historical events, context helps explain the motivation of characters.
There are many examples in which knowledge of historical events can be an advantage. If you know what is Romanticism and that this time was a time of rapid social and political reversal and how technology affects people's lives, you will understand Frankenstein.
