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Co-Integration of Gold Price Movement with Nifty Indices: A Study in Indian Context

Author

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  • Raman Preet Singh

    (Guru Gobind Singh Indraprashtha University, Pitam Pura, Delhi)

  • Nawal Kishor

    (Indira Gandhi National Open University, New Delhi, India)

Abstract

India is the world¡¯s largest importer of gold and imported about 830 tons of gold in 2012-13. In this paper, an attempt has been made to investigate the existence of unidirectional or bi-directional relationship between the gold price and Nifty Indices. The relationship has been investigated using the gold prices and Nifty statistics for the period 2002-2013. Augmented Dickey Fuller Test (ADF) and Johansen Co-integration Tests were applied to find whether variables are stationary and whether there were any long-term relationships between them. Granger Causality Test shows that there is no causality between the gold price and Nifty Indices.

Suggested Citation

  • Raman Preet Singh & Nawal Kishor, 2014. "Co-Integration of Gold Price Movement with Nifty Indices: A Study in Indian Context," Transnational Corporations Review, Ottawa United Learning Academy, vol. 6(1), pages 42-57, March.
    • Handle: RePEc:oul:tncr09:v:6:y:2014:i:1:p:42-57
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    Cited by:

    1. Kolte, Ashutosh & Roy, Jewel Kumar & Vasa, László, 2023. "The impact of unpredictable resource prices and equity volatility in advanced and emerging economies: An econometric and machine learning approach," Resources Policy, Elsevier, vol. 80(C).

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