Does the Indian Festival of Dhanteras Affect the London Gold Market?

Parizad Phiroze Dungore ()
Additional contact information
Parizad Phiroze Dungore: University of Dubai

A chapter in Eurasian Business and Economics Perspectives, 2025, pp 237-249 from Springer

Abstract: Abstract This study investigates import demand for gold traits in India specifically during the Indian festival of Dhanteras. The distribution pattern of monthly gold price realized returns are modelled by substantiating the expectation/standard deviation/volatility of the Indian gold import price series (RJD) and London gold market. As gold is purchased typically in the form of jewellery and utensils on Dhanteras, gold demand is estimated in the form of non-monetary precipitate and semi-manufactured forms of gold import in India. The effect of the gold rush in the Indian market is tested specifically during the festive season, to see the effect on London Bullion Market Association (LBMA). The dummy variable proxy to capture the effect of the gold rush during the festive season using the GJR GARCH model is highly significant. Furthermore, the Indian gold import series reflects mean reversion as tested by the Trend Stationary Process (TSP) model. Also, the intensity of price fluctuations is modelled by the ARJI GARCH and the Jump Diffusion Models. Compared to the other models, the time varying jump diffusion model provides the best results.

Keywords: LBMA; Indian gold market; Festival of Dhanteras; GJR GARCH model; ARJI GARCH model; Jump diffusion model (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurchp:978-3-031-84319-8_14

Ordering information: This item can be ordered from
http://www.springer.com/9783031843198

DOI: 10.1007/978-3-031-84319-8_14

Access Statistics for this chapter

More chapters in Eurasian Studies in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().