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Gold & Stock Relation: Investors’ Reaction During Covid-19 Outbreak

Author

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  • SUBRATA ROY

    (Department of Commerce, School of Commerce & Management Sciences, Mahatma Gandhi Central University)

Abstract

The present study tries to examine the relationship between stock and gold during COVID-19 pandemic along with investors’ investment preference during COVID-19 lockdown by considering three macroeconomic variables (BSE, NSE & Gold) with their daily data over a period from 30 January 2019 to 31 July 2020 under VAR environment. The time series data are normally distributed and stationary after first difference with same order of integration without co-integrated equations with optimum lag length one. The long run equilibrium relationship is absent during COVID-19 outbreak but short run association is found when lagged gold price influences gold itself. Bi-directional Granger causality exists between BSE and NSE only. The investors prefer stock investment as compared to gold during COVID-19 lockdown. Finally, the VAR models are valid and stable based on various residuals tests.

Suggested Citation

  • Subrata Roy, 2020. "Gold & Stock Relation: Investors’ Reaction During Covid-19 Outbreak," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 26, pages 29-52, December.
    • Handle: RePEc:aic:revebs:y:2020:j:26:roys
    DOI: 10.47743/rebs-2020-2-0002
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    References listed on IDEAS

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    More about this item

    Keywords

    Co-integration; VAR; COVID-19; Gold; BSE; NSE;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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