Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices
Elie Bouri (),
P.C. Biswal and
Resources Policy, 2017, vol. 52, issue C, 201-206
The emerging economy of India counts gold and oil amongst its top imports, suggesting that the prices of these resources affect the domestic inflation and stock market. Expectations on future volatility in these prices might lead to changes in the expected (implied) volatility of the Indian stock market. Unlike prior studies, we use implied volatility indices to examine the cointegration and nonlinear causality amongst international gold, crude oil, and the Indian stock market. Results indicate the presence of cointegration relationships and a nonlinear and positive impact of the implied volatilities of gold and oil on the implied volatility of the Indian stock market. Interestingly, there is evidence of an inverse bi-directional causality between the implied volatilities of gold and oil prices.
Keywords: Implied volatility; Gold; Crude oil; Indian stock market; Cointegration; Nonlinear causality (search for similar items in EconPapers)
JEL-codes: C13 G15 Q40 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:52:y:2017:i:c:p:201-206
Access Statistics for this article
Resources Policy is currently edited by R. G. Eggert
More articles in Resources Policy from Elsevier
Series data maintained by Dana Niculescu ().