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 134
- Downloads 0
Customer Perception towards Internet Banking Services in Sivagangai District, Tamil Nadu
Banks in India play a crucial role in the financial sector of the country. They raise deposits from the public, offer loans and advances to industry and commercial establishments, responsible for the flow of credit, offe...
A conceptual article on strike prone behaviour among labour union members
Abstract Strike acts as a defensive tool in the hands of employees when they feel exploited by their managementnbsp It empowers the employees to have a say in what is decided for them in an industrynbsp Strike generally...
Recent trends and progress of Indian banking industry
For the last five financial years the study of balance sheet operations profitability capital adequacy quality of property regional deployment of bank loans technical development customer services and financial inclusion...
Consumer retention strategies for telecom service industry in India: a theoretical perspective
The business environment in India is getting highly competitive day by day and unstable global economy is adding another flavour on it. In this situation, many firms are even finding it difficult to survive and few busin...
True brands appear less moved than counterfeits: A study on influence of demographics on acceptance of counterfeits among graduate youths in South India
Counterfeit goods appear in different forms as deceptive and non-deceptive counterfeiting. Buyer's attitude and valuation and external components constitute the buyer's intention to buy. Studies have shown that consumer...