An empirical study on dynamic association among gold market, crude oil market and stock market returns in India
By: Singh, Archana and Kushwaha, Shalini
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Material type: 
BookPublisher: The Indian Journal of Economics Description: 400(101), Jul, 2020: p.101-114.Subject(s): NSE, Gold market, Crude oil market, Investors, Portfolio arbitrage
In:
The Indian Journal of EconomicsSummary: The stock market is an important indicator of the economic health of a country and its movement is sensitive towards domestic as well as external factors. Stock market facilitates mobilization of capital funds within the economy. From the industries as well as investors point of view intensification of stock market is always a concern. Many macroeconomic variables effect the stock market indices. The study focuses on effect of factors like crude oil prices and gold prices on stock returns. Increase in crude oil prices increases the production cost which adversely affect the cash flow thus leads to fall in stock returns. Down fall in the stock returns pushes the investors to go for further diversified portfolio arbitrage and thus enhancing the gold investment. Based on above association, the study examines the dynamic relationship among gold market, crude oil market and stock market returns. For research secondary data is obtained from April 2009 to March 2019. For analyzing short-terlinkages among the variables VAR(Vector Auto Regressive) model is applied. To examine long term linkages, Johansen Cointegration test and Granger causality in the Vector Error Correction Model (VECM)is applied. Moreover, EGARCH model is used to examine the dynamic contemporaneous linkages among these markets and ARDL causality test being used to find out lead lag relationship. The findings of the study shows that all three markets are inter connected to each other and all three markets are integrated in short-run as well as in the long -run. This will help investors to make strategies for portfolio selection which will add value in their investment. – Reproduced
| Item type | Current location | Call number | Vol info | Status | Date due | Barcode |
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Articles
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Indian Institute of Public Administration | 400(101), Jul, 2020: p.101-114 | Available | AR126225 |
The stock market is an important indicator of the economic health of a country and its movement is sensitive towards domestic as well as external factors. Stock market facilitates mobilization of capital funds within the economy. From the industries as well as investors point of view intensification of stock market is always a concern. Many macroeconomic variables effect the stock market indices. The study focuses on effect of factors like crude oil prices and gold prices on stock returns. Increase in crude oil prices increases the production cost which adversely affect the cash flow thus leads to fall in stock returns. Down fall in the stock returns pushes the investors to go for further diversified portfolio arbitrage and thus enhancing the gold investment. Based on above association, the study examines the dynamic relationship among gold market, crude oil market and stock market returns. For research secondary data is obtained from April 2009 to March 2019. For analyzing short-terlinkages among the variables VAR(Vector Auto Regressive) model is applied. To examine long term linkages, Johansen Cointegration test and Granger causality in the Vector Error Correction Model (VECM)is applied. Moreover, EGARCH model is used to examine the dynamic contemporaneous linkages among these markets and ARDL causality test being used to find out lead lag relationship. The findings of the study shows that all three markets are inter connected to each other and all three markets are integrated in short-run as well as in the long -run. This will help investors to make strategies for portfolio selection which will add value in their investment. – Reproduced
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