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Relationship between Gold Price and Stock Market-An Evidence of India: Gold Price and Stock Market - Softcover
Synopsis
This book examines the relationship between gold price and stock prices indices of Indian stock exchanges. This study is based on secondary time series daily data obtained from world gold council database, Bombay stock exchange database and national stock exchange database for the period from January 1, 1991 to August 10, 2012 using descriptive statistics, correlation statistics, ADF and PP unit root test, Johansen cointegration test and Granger causality test methods. The primary findings of the study is that there is a presence of high value of R, R2, Adjusted R2, F value and Durbin-Watson statistics. VIF value authenticates that there is an existence of serial correlation or multi-collinearity between the independent variables. At the same time, Durbin-watson statistics authenticates that the residuals are independent. Unit root test discloses that time series are not stationary at levels. but the selected series are stationary at 1st difference [1(1)]. Pairwise Granger causality test result indicates that no causality exists between (i) Nifty and Gold price, (ii) Gold price and Sensex and (iii) Nifty and Sensex. Bidirectional causality exists between (i) Gold_Price and Nifty, (ii) Sensex and Gold Price and (iii) Sensex and Nifty. Bivariate cointegration trace test result illustrates that there are no long-term relationship exists between the selected variables. Multivariate cointegration test results assure the long-term relationship between the selected variables. The result confirms that the series is cointegrated, as both the trace and the maximum eigenvalue tests reject the null hypothesis of no co-integration, suggesting that there is one significant co-integrating vector in the model.
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- PublisherCreateSpace Independent Publishing Platform
- Publication date2015
- ISBN 10 1508686173
- ISBN 13 9781508686170
- BindingPaperback
- Number of pages106
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