Co-Integration of Gold Price Movement with Nifty Indices: A Study in Indian Context

Raman Preet Singh () and Nawal Kishor ()
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Raman Preet Singh: Guru Gobind Singh Indraprashtha University, Pitam Pura, Delhi
Nawal Kishor: Indira Gandhi National Open University, New Delhi, India

Transnational Corporations Review, 2014, vol. 6, issue 1, 42-57

Abstract: India is the world¡¯s largest importer of gold and imported about 830 tons of gold in 2012-13. In this paper, an attempt has been made to investigate the existence of unidirectional or bi-directional relationship between the gold price and Nifty Indices. The relationship has been investigated using the gold prices and Nifty statistics for the period 2002-2013. Augmented Dickey Fuller Test (ADF) and Johansen Co-integration Tests were applied to find whether variables are stationary and whether there were any long-term relationships between them. Granger Causality Test shows that there is no causality between the gold price and Nifty Indices.

Keywords: Gold prices; stock market return; NSE; volatility; co-integration. (search for similar items in EconPapers)
Date: 2014
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