IDEAS home Printed from https://ideas.repec.org/h/spr/eurchp/978-3-031-84319-8_14.html
   My bibliography  Save this book chapter

Does the Indian Festival of Dhanteras Affect the London Gold Market?

Author

Listed:
  • Parizad Phiroze Dungore

    (University of Dubai)

Abstract

This study investigates import demand for gold traits in India specifically during the Indian festival of Dhanteras. The distribution pattern of monthly gold price realized returns are modelled by substantiating the expectation/standard deviation/volatility of the Indian gold import price series (RJD) and London gold market. As gold is purchased typically in the form of jewellery and utensils on Dhanteras, gold demand is estimated in the form of non-monetary precipitate and semi-manufactured forms of gold import in India. The effect of the gold rush in the Indian market is tested specifically during the festive season, to see the effect on London Bullion Market Association (LBMA). The dummy variable proxy to capture the effect of the gold rush during the festive season using the GJR GARCH model is highly significant. Furthermore, the Indian gold import series reflects mean reversion as tested by the Trend Stationary Process (TSP) model. Also, the intensity of price fluctuations is modelled by the ARJI GARCH and the Jump Diffusion Models. Compared to the other models, the time varying jump diffusion model provides the best results.

Suggested Citation

  • Parizad Phiroze Dungore, 2025. "Does the Indian Festival of Dhanteras Affect the London Gold Market?," Eurasian Studies in Business and Economics,, Springer.
    • Handle: RePEc:spr:eurchp:978-3-031-84319-8_14
    DOI: 10.1007/978-3-031-84319-8_14
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:eurchp:978-3-031-84319-8_14. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.