Assessing the Impact of COVID-19 on Interactions Among Stock, Gold and Oil Prices in India

Paramita Mukherjee and Samaresh Bardhan ()
Additional contact information
Samaresh Bardhan: Indian Institute of Technology Ropar

A chapter in Revisiting the Indian Financial Sector, 2022, pp 281-300 from Springer

Abstract: Abstract This chapter explores the relationship between stock and commodity prices in the derivatives market, in the Indian context. In order to estimate the long-term relationship, ARDL model is employed on daily data during the period of 2017–2020. The chapter also incorporates the impact of market disruptions on the relationship, following the recent COVID-19 pandemic. The findings indicate that the stock returns and the prices of crude oil and gold are closely related. Interestingly, findings also suggest that the pandemic has altered the relationship. For example, there was no evidence of cointegration among the stock, gold and crude oil prices during the pre-COVID period. However, post-pandemic, evidence of cointegrating relationships exists. Apart from that, some interesting insights from the short-run relationship between the two markets include a mutual influence on each other in the pre-pandemic period; e.g. stock returns are determined by past values of gold and oil price, whereas stock market returns affect volatility in oil price. However, during the COVID period, volatility of gold prices, in addition to crude oil prices, seems to be driving the stock returns.

Keywords: Commodity market; ARDL; Gold price; Crude oil price; Stock price; COVID-19 (search for similar items in EconPapers)
Date: 2022
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:isbchp:978-981-16-7668-0_14

Ordering information: This item can be ordered from
http://www.springer.com/9789811676680

DOI: 10.1007/978-981-16-7668-0_14

Access Statistics for this chapter

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