Co - Movements and Dynamic Linkages between Gold Price and CNX Nifty

International Journal of Mechanical and Production Engineering Research and Development, Vol. 10, Issue 1, 959–980, 2021

27 Pages Posted: 30 Jun 2021

See all articles by Kalungan Perumal

Kalungan Perumal

Bharathiar University

Ramanujam Veluchamy

BSMED, Bharathiar University

Kasilingam Lingaraja

Thiagarajar College, Madurai -09, Tamil Nadu, India

Date Written: February 17, 2021

Abstract

This paper an attempt to examine the movement and linkages (relationship) between Gold price and CNX Nifty index during the period from 2000 to 2018. By testing the normality, stationary, movements and linkages of sample variables through the econometric tools like descriptive statistics, ADF, ARMA and granger causality. It is found that the test results of granger causality are statistically significant at 5 % confidence level. Hence, there is a relationship between gold price and stock market index (CNX Nifty). It is find that the individual investors have often trusted gold as a better investment. Therefore our findings suggest that investors may design appropriate investments with gold and stock market are best investment alternatives during the study period.

Keywords: Co- Movements, Dynamic Linkages, Gold Price, CNX Nifty, Granger Causality, ARMA, Augmented Dickey–Fuller (ADF) and Descriptive Statistics

JEL Classification: C10; E27; G11; O16; R15; Q01

Suggested Citation

Perumal, Kalungan and Veluchamy, Ramanujam and Lingaraja, Kasilingam, Co - Movements and Dynamic Linkages between Gold Price and CNX Nifty (February 17, 2021). International Journal of Mechanical and Production Engineering Research and Development, Vol. 10, Issue 1, 959–980, 2021, Available at SSRN: https://ssrn.com/abstract=3862992 or http://dx.doi.org/10.2139/ssrn.3862992

Kalungan Perumal

Bharathiar University

State Highway 167
COIMBATORE, Tamil Nadu 641046
India

Ramanujam Veluchamy

BSMED, Bharathiar University ( email )

Coimbatore, Tamil Nadu 641 046
India
09500786791 (Phone)

Kasilingam Lingaraja (Contact Author)

Thiagarajar College, Madurai -09, Tamil Nadu, India ( email )

Madurai
India
9790381933 (Phone)

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