A dynamic causality analysis between gold price movements and stock market returns: Evidence from India
Journal Title: Journal of Management Research and Analysis - Year 2018, Vol 5, Issue 2
Abstract
Indian economy is a developing economy and one of the largest gold importers globally During the financial year 201617 India imported around 550 tonnes of the metal and during the financial year it will jump to 846 tonnes MMTCPAMP According to the Ministry of Commerce Industry August 2017 the Imports during May 2017 which were valued atUS 3546279 million Rs 22684974 crore and gold showing the highest growth rate 6890 growth in August 2017 over the corresponding month of last year This paper empirical evidence on the relationship between the gold price and the NSE Nifty stock index in India by using monthly data from January 2001 to December 2017 The Augmented DickeyFuller unit root test Granger Causality Test and Johansens Cointegration test have been applied Results of the Johansens Cointegration indicate that there is longrun equilibrium relationship between gold price and stock returns Further the Granger causality test results indicate that there is no causal relation between gold and stock return and finally the impulse response functions show that the gold and the response of the stock return is positive at each time responsive period and it can be said that the response of both the variables has a smooth fluctuation in upcoming 10th periodKeywords Gold Prices Stock Market Return Nifty Granger Causality Test and Johansens CoIntegration TestJEL Classification C32 F13 F43 G12
Authors and Affiliations
Anil Kumar Bhuyan, Ajit Kumar Dash
Keywords
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- EP ID EP514119
- DOI 10.18231/2394-2770.2018.0019
- Views 123
- Downloads 0
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