Identifying the relationship between the gold price, crude oil price and stock market index with reference to India
Main Article Content
Abstract
Purpose
This study aims to investigate the trend of historical prices of Crude oil, gold and Nifty points. Further, this study aims to identify the relationship amongst the three variables and attempts to establish the estimating model using Nifty points and crude oil prices as independent variables creating significant impact on prices of Gold.
Design/methodology/approach
This research explores the relationship amongst gold prices and Nifty and crude oil prices in India, focusing on their dynamic interaction over time. Using historical data for the period of 11 years ranging from 2013 to 2023, and statistical methods such as correlation analysis, this study examines how the changes in gold prices correlate with the fluctuations in major stock indices like the NIFTY 50. The study uses the ADF test for the presence of unit root, Johansen cointegration test for estimating the cointegration among the variables. The study employed the correlation tests to identify pair wise relationship among the variables. The study also conducted tests for multiple regression and tried to predict the impact of Nifty index points and crude oil on the prices of gold.
Findings
The results revealed that the trend of the data collected for all the variables was stationary. There does not exist any co-integration in all the three variables in long run. While pair wise correlation coefficients indicate significant positive relationship between gold prices and Nifty and weak correlation among gold price and crude oil.
Research limitations/implications
The scope of this study is limited focusing on the two major macro-economic variables like Crude oil and capital market represented by Nifty. The researchers can explore the scope by covering other variables like GDP, exchange rates, etc.
Originality/value
This study is entirely original and provides a comprehensive analysis of the relationship between crude oil prices and the Indian stock market, with gold prices and a specific focus is done on examining the causal links between these variables.