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
Related Articles
- EP ID EP514119
- DOI 10.18231/2394-2770.2018.0019
- Views 95
- Downloads 0
A dynamic causality analysis between gold price movements and stock market returns: Evidence from India
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 tonne...
Marketing and innovations in different eras
The paper researches the various marketing strategies in different generations. There have been many innovations in the recent past so this paper tries to categorize the different strategies involved in eras. Different i...
Redesigning of value proposition with changing ecosystem
Innovation is the main pillar of success for any organization. The fundamental aspect is creativity. The organization that cater to creativity in designing new products are successful in long run .Innovation is important...
Workers’ perception towards statutory labour welfare benefits with special reference to engineering sector
In classical economics labour is one of the three factors of production along with capital and land The word welfare has historically been related to happiness and prosperity Labour welfare implies the adoption of measur...
Evidence based practice and its importance in nursing students
Evidence based practice constitutes one of the most important professional qualities in Nursing Evidence based practice is the practice in nursing in which interventions are given to patients based on the current availab...