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

2021 ◽  
Vol 9 (3) ◽  
Author(s):  
Garishma Gulyani ◽  
Priyanka Gupta ◽  
Ramanpreet Singh
Keyword(s):  
Stock Market ◽  
Market Price ◽  
Unit Root Test ◽  
Selection Strategy ◽  
Stock Market Volatility ◽  
Stock Selection ◽  
Causality Test ◽  
Integration Test ◽  
The Impact ◽  
The Relationship

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.

scholarly journals The Linkage between Sentiments and Stock Market Dynamics New Evidence from Iran

2020 ◽  
Vol 9 (2) ◽  
pp. 29
Author(s):  
Heshmatollah Asgari ◽  
Hamed Najafi
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Screening Method ◽  
Market Price ◽  
Investor Sentiment ◽  
Financial Assets ◽  
Causality Test ◽  
Research Criteria ◽  
The Impact ◽  
The Relationship

In recent years, the issue of financial behaviour and the impact of investors’ sentiments on their decision making have become such a popular issue. The sentiments of financial activists affect the market price of financial assets and particularly stocks, and therefore it is included in the new pricing models of capital assets. In this article, we seek the effect of investors’ sentiments on the dynamics of the Iranian stock market (TSE). To do this, among the companies accepted in the stock market we select 120, considering the research criteria and screening method, we examined TSE specifics throughout 2010-2018 using regression analysis and causality test. Our results show that firstly investors’ sentiments have a direct effect on the stock returns and there is a bilateral relationship between them. Secondly, inflation has the opposite effect and economic growth has a direct and positive effect on the relationship between investor sentiment and stock returns. Finally, government spending has no significant effect on the relationship between investor sentiment and stock returns.

scholarly journals COINTEGRATING RELATION BETWEEN EXCHANGE RATE AND GOLD PRICE

2017 ◽  
Vol 5 (10) ◽  
pp. 263-269
Author(s):  
Ranjusha ◽  
Devasia ◽  
Nandakumar
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Gold Price ◽  
Series Data ◽  
Annual Data ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
The Relationship

The very purpose of this paper is to analyse the relationship between gold price and Rupee – Dollar exchange rate in India. The study utilises the annual data of exchange Rate (ER) and Gold Price (GP) from 1970 to 2015 to determine the relationship. Different econometric tools like Unit root test, Johansen co integration test, Vector error correction model, Granger causality test are used for detecting the long run relation, if any between the mentioned variables. The result shows that there exists a long run cointegrating relation between the variables. That is we can stabilise the Gold Price movement by controlling the exchange rate fluctuations. Likewise it also shows that Exchange rate doesn’t Granger cause to Gold price and vice versa. It means that the time series data of one vasriable cannot be used to predict another.

The Relationship Between Stock Market Indices of the Biggest Six Economies of the European Union and BIST 100

2020 ◽  
pp. 257-275
Author(s):  
Serdar Ögel ◽  
Fatih Temizel
Keyword(s):  
European Union ◽  
Stock Market ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Var Model ◽  
The European Union ◽  
Causality Test ◽  
Integration Test ◽  
Causality Relationship ◽  
The Relationship

This chapter examines the relationship between stock market indices of the biggest six economies of the European Union and BIST 100. In this context, this study used the daily time series regarding indices of DAX for Germany, CAC 40 for France, FTSE MIB for Italy, IBEX 35 for Spain, AEX for Holland, FTSE 100 for United Kingdom, and BIST 100 for Turkey from 2014 to 2018. To test whether there is a co-integration relationship among indices, Johansen co-integration test was used. Since a co-integration relationship was not found between series, causality relationship between the European stock market indices and Turkey was tested with Granger causality test by establishing standard VAR model. As a result, a unidirectional Granger causality relationship was found from DAX, FTSE 100, CAC 40, IBEX 35, and AEX to BIST 100 according to lag length 1 and 2. However, a unidirectional Granger causality relationship was only found from FTSE MIB to BIST 100 for lag length 1. For lag length 1 and 2, no causality relationship was found from BIST 100 to the selected European stock market indices.

Contribution of StockMarket Towards Economic Growth: An Empirical Study on Bangladesh Economy

2017 ◽  
Vol 13 (4) ◽  
pp. 238 ◽  
Author(s):  
Sonia Rezina ◽  
Nusrat Jahan ◽  
Mohitul Ameen Ahmed Mustafi
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Market Performance ◽  
Unit Root Test ◽  
Causality Test ◽  
Stock Market Development ◽  
Stock Market Performance ◽  
Augmented Dickey Fuller ◽  
Johansen Cointegration Test ◽  
The Impact

The economic growth of a country is influenced by many different factors. This study aims to investigate the causal relationship between stock market development and economic growth in Bangladesh as well as the impact of stock market performance upon the economic growth of Bangladesh. The stock market performance has been measured by market capitalization ratio, number of listed companies, total value traded and turnover ratio; and the economic growth was represented by real gross domestic product. The periods taken for study were from year 1994 to year 2015.The effect of the stock market reform will also be addressed to explain the relationship. The study has been conducted using Augmented Dickey- Fuller Unit Root Test, Johansen Cointegration Test and the Granger Causality Test. The findings of the research should help the policy makers and regulators to look after their interest in the financial sector of the country.

scholarly journals The Relationship between Gold Prices and Exchange Value of US Dollar in India

2015 ◽  
Vol 5 (1) ◽  
pp. 17-25 ◽  
Author(s):  
Girish Karunakaran Nair ◽  
Nidhi Choudhary ◽  
Harsh Purohit
Keyword(s):  
Exchange Rate ◽  
Currency Markets ◽  
Causality Test ◽  
Exchange Value ◽  
Integration Test ◽  
Recession Analysis ◽  
Us Dollar ◽  
The Impact ◽  
The Relationship

The inverse relationship between the value of U.S. dollar and that of gold is one of the most talked about relationships in currency markets. The present study is an attempt to understand the impact of recession of 2008 on relationship between exchange rate of US dollar in INR and gold prices in India. The study uses Johansen Co- Integration test to check the long term association between exchange rate of US dollar in INR and gold prices in India and it further uses the Granger Causality Test to check the lead lag relationship between the variables. A separate pre, during and post recession analysis of the variables is done to understand the impact of recession on this relationship. The study highlights how this relationship has changed since the global turmoil.

scholarly journals Financial Deepening and Domestic Investment in Nigeria

2016 ◽  
Vol 8 (3) ◽  
pp. 40 ◽  
Author(s):  
Frances N. Obafemi ◽  
Chukwuedo S. Oburota ◽  
Chukwunonso V. Amoke
Keyword(s):  
Structural Break ◽  
Unit Root Test ◽  
Secondary Data ◽  
Financial Deepening ◽  
Domestic Investment ◽  
Causality Test ◽  
Interest Rate Spread ◽  
Integration Test ◽  
The Relationship ◽  
The Empirical Analysis

The study examined the relationship between financial deepening and investment in Nigeria. Secondary data spanning from 1970 to 2013 was used for the empirical analysis. It adopted the Gregor-Hansen Endogenous structural break methodology and the supply-leading hypothesis in building the model. The study also employed the Unit Root Test, Co Integration Test and Granger Causality Test. It discovered a unidirectional causality, running from financial deepening to investment. It also found that the financial deepening has a statistically significant impact on domestic investment. Based on these empirical findings, the study recommended increased integration of the credit and thrift societies, cooperatives, rural saving organization etc into the mainstream formal financial sector in order to shore up the mobilization of savings for investment. It also recommended subsidizing the operational cost of financial intermediation so as to narrow the gap in interest rate spread. These steps when judiciously executed will ultimately promote financial deepening by easing the rigidities involved in mobilizing and accessing of credit for investment purpose.

An Empirical Study of the Relationship between Urbanization and the Real Estate Investment in China

2011 ◽  
Vol 361-363 ◽  
pp. 1099-1104 ◽  
Author(s):  
Gui Wen Liu ◽  
Qin Zheng
Keyword(s):  
Real Estate ◽  
Research Effort ◽  
Unit Root Test ◽  
Interaction Mechanism ◽  
Real Estate Investment ◽  
Causality Test ◽  
The Real ◽  
The Real Estate ◽  
Integration Test ◽  
The Relationship

As two of debatable social topics in China, urbanization and the real estate investment draw more and more attention. So research effort is worth making to clarify the relationship between them. The authors make an organizing and summarizing of china’s urbanization and the present state of real estate investment by referring the documents on the same topic to a better understanding of the relationship between them in China. To further analyze the relationship and interaction mechanism of the two economic variables, this paper conducts an empirical analysis on the causality between urbanization and real estate investment through econometrics models including unit root test, co-integration test and Granger causality test, and studies the relationship of real estate investment growth and urbanization level growth from 1986-2008.

scholarly journals Analysis on the Impact of the Fluctuation of the International Gold Prices on the Chinese Gold Stocks

2014 ◽  
Vol 2014 ◽  
pp. 1-6
Author(s):  
Jiankang Jin ◽  
Chen Jie ◽  
Quanda Zhang
Keyword(s):  
Price Change ◽  
Impulse Response Function ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Var Model ◽  
Causality Test ◽  
Gold Futures ◽  
The Impact ◽  
The Relationship ◽  
A Share

Five gold stocks in Chinese Shanghai and Shenzhen A-share and Comex gold futures are chosen to form the sample, for the purpose of analysing the impact of the fluctuation of the international gold prices on the gold stocks in Chinese Shanghai and Shenzhen A-share. Using the methods of unit root test, Granger causality test, VAR model, and impulse response function, this paper has analysed the relationship between the price change of the international gold futures and the price fluctuation of gold stocks in Chinese Shanghai and Shenzhen comprehensively. The results suggest the fluctuation of the international gold futures has a strong influence on the domestic futures.

scholarly journals Money Supply and Stock Prices – A Case Study of Nigeria

2021 ◽  
Vol 04 (10) ◽  
Author(s):  
Dr. Ogbonna Udochukwu Godfrey ◽  
Keyword(s):  
Money Supply ◽  
Stock Prices ◽  
Stock Exchange ◽  
Market Price ◽  
Unit Root Test ◽  
Causality Test ◽  
Long Run ◽  
Augmented Dickey Fuller ◽  
Short Run ◽  
The Relationship

This study examined the relationship between money supply and stock prices, using E-view version 10. The empirical results of the Augmented Dickey Fuller (ADF) unit root test at 5 percent critical levels indicates that all the variables (M2 and MCAP) were not stationary at levels. However, all the variables became stationary after first differencing. Hence, the variables are of the same order of integration I (1). A cointegration test tells us that there exists a long run relationship between or among the variables and that they will not wander far apart away even though on the short run they exhibit random walk behavior. The Vector Error Correction test shows that Money supply (M2) has a significant relationship with market capitalization of the Nigerian stock exchange. The value of the Adjusted R-Squared of 0.726710 implies that Money supply (M2) explained about 72.67% systematic variations in the dependent variable (MCAP) over the observed years while the remaining 27.33% variations are explained by other determining variables outside the model. In order to further establish the relationship between money supply and stock market price, a granger causality test was carried out and it was established that there is a bi-directional causality between money supply and stock prices. The researcher therefore recommends that there should be collaboration among agencies of government in charge of money supply and stock exchange in order to make sure that sound policies are made to achieve the objective of government. Furthermore, that there should be a deliberate and concerted policy and effort to improve the Nigerian stock exchange market in line with other stock exchanges of the world, since stock prices cause money supply and vice versa.

scholarly journals Effect of Foreign Aids on Economic Growth in Nigeria

2020 ◽  
pp. 194-204
Author(s):  
Isiaka Najeem Ayodeji ◽  
Makinde Wasiu Abiodun
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Unit Root Test ◽  
Secondary Data ◽  
Least Square ◽  
Series Data ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
The Impact

This study investigated the impact of foreign aids on economic growth in Nigeria using time series data spanned from 1990 to 2017. The research considered the secondary data that were gathered from CBN statistical bulletin 2017 and World Bank Data Indictors. Ordinary Least Square techniques was adopted in the study and used Augmented Dickey-Fuller Unit Root Test, co integration test, granger causality test, ECM to estimates data employed. The findings revealed that all the variables employed were stationary at first difference and integrated at the same order1(I), the co-integration test shows that variables are co-integrated at one co-integrating equation which means that there is a long run relationship. The Error Correction Model established that the error that caused disequilibrium in the short run is being corrected in the long-run at a speed of adjustment at 6%. The findings revealed real gross domestic product responds inversely to changes in official development assistance and foreign direct investment. Based on these findings the study concluded that foreign aids have a significant impact on economic growth in Nigeria. Different diagnostic tests are applied in order to confirm the major assumption of multiple regression analysis like multicollinearity, heteroskedasticity and autocorrelation. Therefore, the study recommends among others that government needs to formulate strong and effective education and healthcare policies to facilitate and attract investment in the sectors and improve their efficiency in the long-run that will influence productivity.

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