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Gold, crude oil, bitcoin and Indian stock market: recent confirmation from nonlinear ARDL analysis

Author

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  • Suresh Kumar
  • Ankit Kumar
  • Gurcharan Singh

Abstract

Purpose - This paper investigates the causality among gold prices, crude oil prices, bitcoin and stock prices by using daily data from January 2014 to December 2021. The study also examines the data during the COVID-19 outbreak from January 2020 to December 2021. Design/methodology/approach - To estimate the long- and short-run causality, this study considers the nonlinear autoregressive distributed lag (NARDL) cointegration test. Findings - The analysis found the existence of an asymmetric long-run cointegration among selected assets. Findings indicate that positive changes in bitcoin do not affect stock market in the long term. Changes in crude oil prices have a significant impact on stock prices. Moreover, it is observed that variations in the stock prices trigger a negative impact on gold prices. During the COVID-19 period, the study notices the presence of an asymmetric long-term cointegration between selected assets except bitcoin. Besides, findings revealed that negative price adjustments in gold lead to significant positive shocks in stock market. Originality/value - These results provide critical information for policy performers and researchers to develop new strategies. Policy regulators can also consider the potential effects of the COVID-19 outbreak while developing strategies for investment decisions.

Suggested Citation

  • Suresh Kumar & Ankit Kumar & Gurcharan Singh, 2022. "Gold, crude oil, bitcoin and Indian stock market: recent confirmation from nonlinear ARDL analysis," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 50(4), pages 734-751, June.
    • Handle: RePEc:eme:jespps:jes-01-2022-0007
    DOI: 10.1108/JES-01-2022-0007
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    Cited by:

    1. Nashirah Abu Bakar & Sofian Rosbi & Kiyotaka Uzaki, 2022. "GARCH Model for Evaluating Volatility Based on the Share Price of Airlines Company During the COVID-19 Outbreak," International Journal of Management Science and Business Administration, Inovatus Services Ltd., vol. 9(1), pages 42-52, November.

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