Impact of Gold Price on Stock Market Return – An Econometric Analysis of BSE and NSE
Keywords:
Gold Price, Stock Market, Correlation and Multiple Regression, ADF and PP unit root test, Johansen Cointegration Test, Granger causality testAbstract
The present study examines the shock of domestic gold price on stock price indices in India for the period from January 1, 2008 to August 17, 2018 by using appropriate statistical and financial econometric techniques. The study is based on completely secondary data obtained from World Gold Council (WGC) database, BSE and NSE database and RBI database. In the process of analysis, Correlation statistics indicates the BSE-Sensex and NSE-Nifty are positively correlated with gold prices and multiple regression results is unauthentic. Further, unit root test indicates that the time series data are not stationary at levels and stationary at 1st difference. Granger causality test illustrate that no causality exists between Nifty and Gold price, Sensex and Gold price, Sensex and Nifty return, Nifty and Sensex and Bi-directional causality exists between Gold return and Nifty and Gold_Price and Sensex return.
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