Periodic Analysis of the Relationship between Gold, Crude Oil, Exchange Rate and India’s Stock Market
Journal of Business Strategy Finance and Management
; 2(1-2):28-43, 2020.
Article
in English
| ProQuest Central | ID: covidwho-2025612
ABSTRACT
Purpose:
The purpose of this paper is to find out the relationship between price of Gold, price of Crude Oil, Exchange Rate of India, and Indias stock market. The research has been done on Pre-COVID time periods to analyse the relationship in scenarios like pre-global financial crisis, during crisis and post crisis. The authors incorporate the data from pre-crisis phases i.e., 2005 to 2019, to find out the relationship between the variables using Granger causality test, Johansens Cointegration, and Vector Autoregression. To study the spill-over effect on Indias stock market, regression has been used. The empirical results indicate that for the Pre-Crisis and Post-Crisis periods, Gold does granger cause USDINR, for all three periods Crude oil does granger cause Gold, for the crisis and post crisis periods Gold does granger cause Crude oil, for the post-crisis period USDINR does granger cause Crude oil. No other causality relationship was established with the help of this empirical analysis. Johansens cointegration test revealed that no cointegration exists amongst the three variables. The impact of exchange rate on Indias stock market has changed as compared to the previous time periods. The exchange rate was inversely related to the stock markets for the Pre-Crisis and Crisis periods and is directly related to the stock market for the Post-Crisis period. This study adds to the existing literature on the variables, by using phase-wise data and performing empirical analysis to find out the relationship between the variables. Not many literatures demonstrate together the relationship among these three variables in three different periods. This is a significant gap that the study aimed to address.
Business And Economics--Management; Co-Integration; Crude Oil; Exchange Rates; Gold; Granger Causality; Spill-Over; Stock Market; Research; Stock exchanges; Hedging; Investments; Wavelet transforms; Economic crisis; American dollar; Foreign exchange rates; Global economy; Securities markets; Commodities; Volatility; Stochastic models; 21st century; International finance; Emotions; Crude oil prices; United States--US; India
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Language:
English
Journal:
Journal of Business Strategy Finance and Management
Year:
2020
Document Type:
Article
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