How can I study PhD in business after masters in physics?
It is very possible to switch majors. If possible, try to talk with a faculty member with whom you are interested in working. If they are willing to work with you then the admissions process is likely to be fairly simple.

With that said, a PhD in business is meant to prepare you for teaching or a career in academia, not in actual business. If you want business skills for work outside of academia, an MBA is the way to go. Considering this, an admissions board / faculty member is probably most interested in your aptitude to publish. Your masters shows strong quantitative skills and so if you have any publications, that will likely go a long way in helping you get started.

All of these are very general statements, if you are really serious about a PhD then you should definitely contact schools you are interested in and see if you can talk with faculty.