Impact of Stock Market Volatility on Gold prices during the COVID-19 pandemic

Garishma Gulyani, Priyanka Gupta and Ramanpreet Singh
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Garishma Gulyani: Vivekananda Institute of Professional studies, School of Business studies, India.
Priyanka Gupta: Vivekananda Institute of Professional studies, School of Business studies, India.
Ramanpreet Singh: Vivekananda Institute of Professional studies, School of Business studies, India.

Transnational Marketing Journal, 2021, vol. 9, issue 3, 681-692

Abstract: The present research study examines the impact of Stock marketson Gold prices using daily data for pre and during COVID-19 period (January-October 2020). This study uses Unit root test, Granger causality test, GARCH method and Johansen’s co-integration test to evaluate difference in the Volatility as well as the relationship between them. The findings show that no causal relationship exists between Gold Prices and Stock market prices in the short run. The result of the Johansen Co-integration test for the long-run relationship between theGold price and Nifty Indices showno co-integration at all, but low co-integration inshort-run cannot be ruled out. With this study, an attempt has been made to reveal the relationship that exists between Gold and stock markets with empirical findings using the time series analysis which reveals the original side of work during the pandemic. The ARCH and GARCH coefficient explain significantly the persistence of information on stock return volatility. The present study recommends that the integration between Gold and Stock market price entails the need for investors globally to follow a portfolio stock selection strategy to add value from the investments in India.These findings have important implication for the investors seeking portfolio diversification.

Keywords: Stock market price; Gold Price; Coronavirus (COVID-19); Co-integration test; Volatility (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:mig:tmjrnl:v:9:y:2021:i:3:p:681-692

DOI: 10.33182/tmj.v9i3.1321

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