Gold, crude oil, bitcoin and Indian stock market: recent confirmation from nonlinear ARDL analysis

Suresh Kumar, Ankit Kumar and Gurcharan Singh

Journal of Economic Studies, 2022, vol. 50, issue 4, 734-751

Abstract: Purpose - This paper investigates the causality among gold prices, crude oil prices, bitcoin and stock prices by using daily data from January 2014 to December 2021. The study also examines the data during the COVID-19 outbreak from January 2020 to December 2021. Design/methodology/approach - To estimate the long- and short-run causality, this study considers the nonlinear autoregressive distributed lag (NARDL) cointegration test. Findings - The analysis found the existence of an asymmetric long-run cointegration among selected assets. Findings indicate that positive changes in bitcoin do not affect stock market in the long term. Changes in crude oil prices have a significant impact on stock prices. Moreover, it is observed that variations in the stock prices trigger a negative impact on gold prices. During the COVID-19 period, the study notices the presence of an asymmetric long-term cointegration between selected assets except bitcoin. Besides, findings revealed that negative price adjustments in gold lead to significant positive shocks in stock market. Originality/value - These results provide critical information for policy performers and researchers to develop new strategies. Policy regulators can also consider the potential effects of the COVID-19 outbreak while developing strategies for investment decisions.

Keywords: Gold; Crude oil; Indian stock market; Bitcoin; NARDL cointegration (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jespps:jes-01-2022-0007

DOI: 10.1108/JES-01-2022-0007

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