Effects of gold, crude oil and their volatility on Nifty 50: evidence from Indian stock market

Arpan Parashar and Peeyush Bangur

International Journal of Sustainable Economy, 2024, vol. 16, issue 2, 231-252

Abstract: This study aims to examine the impact of the gold price, crude oil price, and their respective price volatility indices, i.e., gold price volatility index (GVZ) and oil price volatility index (OVX) on the Indian stock market NSE Nifty-50. To examine the relationship among the variables, unit-root tests (ADF and PP), auto regressive distributed lag (ARDL) bounds test and followed by the Granger Causality test have been performed. The results indicate that long-run co-integration exists among the variables further; about 0.38% of the departure from the long-run equilibrium is corrected in each period in Nifty 50 that is attributed to the crude oil price, gold price, and respective volatilities. Further, it was found that all these explanatory variables Granger cause Nifty 50.

Keywords: crude oil; gold; ARDL model; volatility; Granger casualty; Nifty. (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijsuse:v:16:y:2024:i:2:p:231-252

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