Exploring the Dynamic Linkage Between Gold Price, Exchange Rate and Stock Market Indices: Evidence From An Emerging Economy, India

Authors

  • Paromita Dutta The Institute of Cost Accountants of India

DOI:

https://doi.org/10.33516/rb.v47i1-2.81-104p

Keywords:

Gold Price, Nifty, Johansen Co-Integration, Vector Error Correction Model (VECM), Granger Causality, India.

Abstract

his paper examines the dynamic linkage between gold price, exchange rates and stock market indices in an emerging market context, India. Consumption of gold is mostly common in household sector of India. Moreover, it can also be contemplated as an alternative investment route mainly to safeguard against financial risk obligations. The study considers 232 monthly observations of each of these variables from 1st January 2000 to 30th April 2019. Using Johansen Co-integration, we find a long run co-integration among gold price, exchange rate and stock market indices. The Vector Error Correction Model (VECM) shows the unilateral causality from stock market index and exchange rates to gold prices. Pairwise Granger causality exhibited bidirectional causality between exchange rate and gold prices. Our findings have important implications for financial market analysts, investors, regulators and policy makers in understanding the role of monthly stock price movement and exchange rates on gold prices in India.

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Published

2022-01-27

How to Cite

Dutta, P. (2022). Exploring the Dynamic Linkage Between Gold Price, Exchange Rate and Stock Market Indices: Evidence From An Emerging Economy, India. Research Bulletin, 47(1-2), 81–104. https://doi.org/10.33516/rb.v47i1-2.81-104p

Issue

Volume 47, Issue 1-2, April-July 2021

Section

Articles
Crossref
Scopus
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Europe PMC

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