Dynamic relationship between Indian stock index and commodity derivatives: with special reference to metals

Debasis Mohanty, Jakki Samir Khan, Subhasish Das and Shakti Ranjan Mohapatra

International Journal of Economics and Accounting, 2021, vol. 10, issue 4, 394-409

Abstract: 'Investment in stocks or derivatives' is always a topic of debate. Therefore, a research on this topic is as important as investment in these avenues. This paper aimed at finding the relationship among Sensex, the oldest stock index of India and metals. To analyse the relationship, data for five years of Sensex and six metals' prices were taken into consideration. The tools used to find the relationship among variables is co-integration, vector autoregression and impulse-response function. The result reveals there is a long-run relationship among the variables and there is no short-run relationship in ceteris paribus under ordinary least square. This paper will help individual as well as institutional investors to construct a diversified portfolio by including those metals which show a negative response and exclude those which show a positive response to the impulse of the stock index.

Keywords: derivatives; stock index; Sensex; VAR; co-integration; relationship; impulse-response. (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijecac:v:10:y:2021:i:4:p:394-409

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