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
Date Written: February 17, 2021
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: Suggested Citation