Impact of Stock Market Volatility on Gold prices during the Covid-19 pandemic

Q3 Social Sciences
Garishma Gulyani, P. Gupta, Ramanpreet Singh
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引用次数: 1

Abstract

The present research study examines the impact of Stock marketson Gold prices using daily data for pre and during COVID-19 period (January-October 2020). This study uses Unit root test, Granger causality test, GARCH method and Johansen’s co-integration test to evaluate difference in the Volatility as well as the relationship between them. The findings show that no causal relationship exists between Gold Prices and Stock market prices in the short run. The result of the Johansen Co-integration test for the long-run relationship between theGold price and Nifty Indices showno co-integration at all, but low co-integration inshort-run cannot be ruled out. With this study, an attempt has been made to reveal the relationship that exists between Gold and stock markets with empirical findings using the time series analysis which reveals the original side of work during the pandemic. The ARCH and GARCH coefficient explain significantly the persistence of information on stock return volatility. The present study recommends that the integration between Gold and Stock market price entails the need for investors globally to follow a portfolio stock selection strategy to add value from the investments in India.These findings have important implication for the investors seeking portfolio diversification.
2019冠状病毒病大流行期间股市波动对金价的影响
本研究利用2019冠状病毒病之前和期间(2020年1月至10月)的每日数据,考察了股市对黄金价格的影响。本研究采用单位根检验、格兰杰因果检验、GARCH方法和Johansen协整检验来评价波动性的差异及其之间的关系。研究结果表明,短期内黄金价格与股市价格之间不存在因果关系。对黄金价格与Nifty指数之间的长期关系进行约翰森协整检验的结果显示根本没有协整,但不能排除短期内低协整的可能性。通过这项研究,我们试图利用时间序列分析的实证结果揭示黄金和股票市场之间存在的关系,该分析揭示了大流行期间工作的原始方面。ARCH和GARCH系数显著地解释了股票收益波动信息的持久性。本研究建议,黄金和股票市场价格之间的整合需要全球投资者遵循投资组合股票选择策略,以增加印度投资的价值。这些发现对寻求投资组合多元化的投资者具有重要的启示意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Transnational Marketing Journal
Transnational Marketing Journal Social Sciences-Communication
CiteScore
1.60
自引率
0.00%
发文量
22
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