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

Author

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  • ROY Subrata

    (Mahatma Gandhi Central University Motihari)

Abstract

This research tries to examine the association 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 30th January 2019 to 31st 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. Furthermore, two-way Granger responses exist 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

  • ROY Subrata, 2020. "Gold & Stock Relation: Investors Reaction During Covid-19 Outbreak," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 72(3), pages 103-126, November.
    • Handle: RePEc:blg:reveco:v:72:y:2020:i:3:p:103-126
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    File URL: http://economice.ulbsibiu.ro/revista.economica/archive/72309roy.pdf
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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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