DO INTERNATIONAL GOLD PRICES AND NSE NIFTY 50 MOVE TOGETHER?

2021 ◽  
Vol 10 (1) ◽  
pp. 497-506
Author(s):  
A. Sidhu ◽  
R. Katoch
Keyword(s):  
Stock Market ◽  
Global Financial Crisis ◽  
Stock Market Index ◽  
Causality Test ◽  
Significant Information ◽  
Market Index ◽  
Test Study ◽  
Daily Data ◽  
Short Run ◽  
The Times

With gold’s persistence performance over erratic periods since the catastrophic event of global financial crisis in 2008, attention is focussed on gold to substitute stock market investments in the times of crisis. Exploring such causal nexus between NSE NIFTY 50 index and Gold prices in Indiapost 2008 crisis is the main focus of the present research. The daily data of International Bloom berg Gold prices and NSE NIFTY 50 Index series has been used over the time period of November 13, 2008 to January 24, 2020. By applying unit root and Toda-Yamamoto granger causality test, study primarily shows stationarity of the variables at different order. The study evidenced the significant bidirectional short-run causal relationship in between NSE NIFTY 50 prices and International Gold prices. Hence, International Gold prices hold significant information which can be used to predict NSE NIFTY 50 returns and vice-versa. The results of present study can be used by Indian stock market policymakers to implement new structural restructuring to augment efficiency of Indian equity sector. Present study is limited in scope to account for gold’s nexus with only stock market index which in future can be furthered by establishing association with other commodity markets, mutual funds, exchange rate, derivative, etc.

Local Stock Market Integration with International Gold and Oil Price

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Kanon Kumar Sen ◽  
◽  
Md. Thasinul Abedin ◽  
Ratan Ghosh ◽  
◽  
...  
Keyword(s):  
Stock Market ◽  
Market Integration ◽  
Oil Price ◽  
Policy Implications ◽  
Bounds Testing ◽  
Stock Market Index ◽  
Data Set ◽  
Stock Market Integration ◽  
Market Index ◽  
Short Run

We look for the integration of Bangladesh Stock Market with international gold and oil price using most recent monthly data set from January 2003 to December 2020 (2003m1-2020m12). We employ the bounds-testing approach to cointegration between stock market index (DSEX) and international gold and oil price and eventually find an integration and dynamic significant impact of international gold and oil price on DSEX in the long and short-run. We discuss the important policy implications of the dynamic impact of international gold and oil price on stock market index.

scholarly journals The long-Run and Short-Run Analysis between Stock Market Index and Macroeconomic Variables in Jordan: Bounds Tests Approach

2019 ◽  
Vol 12 (4) ◽  
pp. 50
Author(s):  
Raed Walid Al-Smadi ◽  
Muthana Mohammad Omoush
Keyword(s):  
Stock Market ◽  
Time Series Data ◽  
Stock Exchange ◽  
Series Data ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Market Index ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run

This paper investigates the long-run and short-run relationship between stock market index and the macroeconomic variables in Jordan. Annual time series data for the 1978–2017 periods and the ARDL bounding test are used. The results identify long-run equilibrium relationship between stock market index and the macroeconomic variables in Jordan. Jordanian policy makers have to pay more attention to the current regulation in the Amman Stock Exchange(ASE) and manage it well, thus ultimately helping financial development.

scholarly journals Impact of Macroeconomic and Demographic Variables on the Stock Market: Evidence from Tunisian Crisis

2016 ◽  
Vol 8 (8) ◽  
pp. 194
Author(s):  
Sirine Ben Yaâla ◽  
Jamel Eddine Henchiri
Keyword(s):  
Stock Market ◽  
Money Supply ◽  
Inflation Rate ◽  
Demographic Variables ◽  
Second Order ◽  
Stock Market Index ◽  
Order Difference ◽  
Market Index ◽  
Long Run ◽  
Short Run

<p>This study aims to analyze the long-run as well as the short-run relationship between macroeconomic, demographic variables and the Tunisian stock market for the period subsequent to the financial crisis. Monthly data over the period 2008-2014 and ARDL model have been employed. Results indicate that the Tunisian stock market index, macroeconomic and demographic indicators are cointegrated and, therefore, a long-run relationship exists between them. The long-run coefficients suggest that budget deficit, inflation rate and number of unemployed graduates had a negative effect, otherwise, money supply and number of non-resident entries had positive effect on the Tunisian stock market. Moreover, results from the error correction model show that the Tunisian stock market index is influenced positively by money supply and second order difference of the number of unemployed graduated and negatively by first and second order difference of money supply, inflation rate, first order difference of number of non-resident entries and number of unemployment graduates.</p>

scholarly journals Econometric Modelling: Testing of Randomness,Volatility, Casualty and Cointegration of Emerging Stock Market Indices of India and MIST Countries

2019 ◽  
Vol 9 (2) ◽  
pp. 1402-1417
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Time Series Data ◽  
Global Financial Crisis ◽  
Good News ◽  
Series Data ◽  
Stock Market Index ◽  
Causality Test ◽  
Lm Test ◽  
The Impact

In general, stock market indices are widely interrelated to the other global markets to detect the impact of diversification opportunities. The present research paper empirically examines randomness and long term equilibrium affiliation amongst the emerging stock market of India and Mexico, Indonesia, South Korea and Turkey from the monthly time series data during February 2008 to October 2019. The researcher employs by the way, Run test, Pearson’s correlation test, Johnsen’s multivariate cointegration test, VECM and Granger causality test with reference to post-September 2008 Global financial crisis. The test results of the above finds that Nifty 50 and BSE Sensex is significantly cointegrated either among themselves or with MIST countries particularly during the post-September Global financial crisis. No random walk is found during the study period. The ADF (Augmented DickeyFuller) and PP (Phillips Pearson) tests evidenced stationarity at the level, but converted into non-stationarity in first difference. Symmetric and asymmetric volatility behaviors are studied using GARCH, EGARCH and TARCH models in order to test which model has the best forecasting ability. Leverage effect was apparent during the study period. So the influx of bad news has a bigger shock or blow on the conditional variance than the influx of good news. The residual diagnostic test (Correlogram-Squared residuals test, ARCH LM test and Jarque-Bera test) confirms GARCH (1,1) as the best suited model for estimating volatility andforecasting stock market index.

scholarly journals GLOBALISASI PASAR MODAL DUNIA DAN PENGARUHNYA TERHADAP PASAR MODAL INDONESIA

2017 ◽  
Vol 1 (1) ◽  
pp. 10
Author(s):  
R Adisetiawan
Keyword(s):  
Stock Market ◽  
Capital Markets ◽  
Capital Market ◽  
Stock Exchange ◽  
Global Market ◽  
Stock Market Index ◽  
Causality Test ◽  
Global Capital ◽  
Market Index ◽  
Cointegration Tests

This study aims to prove causality, cointegration and the influence of global capital markets with a market capital of Indonesia for the period 2001-2016 with a Granger causality test statistics, cointegration tests and Multiple Regression testing. These results prove that the 99% confidence interval occurred a long term relationship (cointegration) and the significant influence of global market indices with the Indonesia capital market index (CSPI) in Indonesia Stock Exchange (IDX) for the period 2001 to 2016, it indicates that Indonesia's economy has been integrated with global capital markets with varying levels of integration, but is causally there is only one country that has a causal relationship with the Indonesian stock market index (CSPI), the Taiwan stock market index (TWSE).Keywords: Capital Market Integration

scholarly journals Cointegration analysis of stock market index and exchange rate: The case of Serbian economy

2021 ◽  
pp. 59-71
Author(s):  
Milena Marjanović ◽  
Ivan Mihailović ◽  
Ognjen Dimitrijević
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Market Index ◽  
Market Index ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run ◽  
The Exchange Rate ◽  
Adf Test ◽  
Long Run Equilibrium

Since the late 90's, the existence and direction of causality between the capital market and foreign exchange market have attracted significant attention of theoretical and empirical researchers. This is because both of these financial variables have an indisputable role in the development of each country's economy. In this paper we use Johansen procedure and Granger causality test to examine the existence and direction of short-run and long-run dynamics between the leading stock market index BELEX15 and RSD/EUR exchange rate in Serbia. Using ADF test we find that both series are integrated of order one, and since the value of Johansen trace statistics confirmed the existence of cointegration, we have proceeded with estimation of the VECM model. According to our VECM model, the BELEX15 index adjusts to the long-run equilibrium relationship at a rate of 11.72% in each period, while the exchange rate adjusts to the long-run equilibrium relationship at a rate of 2.73%. We also find that there is unidirectional causality and that the market index influences the exchange rate movements in the short-run in terms of Granger.

scholarly journals The Role of Gold Prices and Interest Rate in Stock Index: Insights from Vietnam by Using the Autoregressive Distributed Lag Approach

2020 ◽  
Vol 12 (1) ◽  
pp. 178
Author(s):  
Le Thi Minh Huong ◽  
Phan Minh Trung
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Stock Index ◽  
Stock Market Index ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Market Index ◽  
Long Run ◽  
Short Run

This study aimed to determine the impact of domestic gold prices, interest rates in the stock market index (VNI) in Vietnam for the period of January 2009 to December 2018. This study employed the Autoregressive Distributed Lag (ARDL) to check the association of Independent variable gold prices and the interest rate on the dependent variable stock market index. The results show a close correlation together in the long-run. The Vietnam stock index is adversely affected by fluctuations in the credit market in the short-run. We observed that domestic gold prices and interest rates have one-way causal relations to the stock price index. Similarly, interest rates were causal for gold prices and still not yet had any particular direction. The adjustment in the short-run moves the long-run equilibrium, although the change is quite slow.

Analyzing the Impact of Oil Price Fluctuations on Vietnam Stock Market

2018 ◽  
pp. 229-245
Author(s):  
Huynh Viet Khai ◽  
Le Minh Sang ◽  
Phan Thi Anh Nguyet
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Economic Crisis ◽  
Oil Prices ◽  
Stock Market Index ◽  
Market Index ◽  
Crude Oil Prices ◽  
Long Run ◽  
Short Run ◽  
The Impact

This chapter covers a study that was conducted to find out the impact of crude oil prices on the Vietnam stock market in the period from March 2006 to June 2015 by using the autoregressive-distributed lag (ARDL) model with dummy variables of the economic crisis. The results revealed that the crude oil prices had positive impacts on VN-Index and HNX-Index in short-run, but negatively in long-run. In addition, the study also found that the economic crisis has affected the relationship between the crude oil prices and the stock market index in the short-run. During the crisis period, the crude oil prices related to the VN-Index and HNX-index more closely than the other stages. However, in the long-run the relationship between oil prices and stock market index was not affected by the economic crisis.

scholarly journals The impact of GST implementation on the Malaysian stock market index volatility

2019 ◽  
Vol 26 (1) ◽  
pp. 17-33
Author(s):  
Razali Haron ◽  
Salami Mansurat Ayojimi
Keyword(s):  
Stock Market ◽  
Global Financial Crisis ◽  
Stock Index ◽  
Empirical Estimation ◽  
Stock Market Index ◽  
Content Type ◽  
Noticeable Increase ◽  
Market Index ◽  
The Government ◽  
The Impact

Purpose The purpose of this paper is to examine the impact of the Goods and Service Tax (GST) implementation on Malaysian stock market index. Design/methodology/approach This study used daily closing prices of the Malaysian stock index and futures markets for the period ranging from June 2009 to November 2016. Empirical estimation is based on the generalised autoregressive conditional heteroscedasticity (1, 1) model for pre- and post-announcement of the GST. Findings Result shows that volatility of Malaysian stock market index increases in the post-announcement than in the pre-announcement of the GST which indicates that educative programs employed by the government before the GST announcement did not yield meaningful result. The volatility of the Malaysian stock market index is persistent during the GST announcement and highly persistent after the implementation. Noticeable increase in post-announcement is in support with the expectation of the market about GST policy in Malaysia. Practical implications The finding of this study is consistent with expectation of the market that GST policy will increase the price of the goods and services and might reduce standard of living. This is supported by a noticeable increase in the volatility of the Malaysian stock market index in the post-announcement of GST which is empirically shown during the announcement and after the implementation of GST. Although the GST announcement could be classified as a scheduled announcement, unwillingness to accept the policy prevails in the market as shown by the increase in the market volatility. Originality/value Past studies on Malaysian stock market index volatility focus on the impact of Asian and global financial crisis whereas this study examines the impact of the GST announcement and implementation on the volatility of the Malaysian stock market index.

DISTRIBUTION OF DETRENDED STOCK MARKET DATA

2010 ◽  
Vol 09 (03) ◽  
pp. 245-257 ◽  
Author(s):  
BOON LEONG LAN ◽  
EE VON YEOH ◽  
JIN AUN NG
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Empirical Distribution ◽  
Characteristic Exponent ◽  
Principal Component ◽  
Stock Market Index ◽  
Market Data ◽  
Market Index ◽  
Daily Data ◽  
Stock Volume

For stock market data, the empirical distribution of the return for stock price and the empirical distribution of the return for stock market index are well known. However, for the detrended data (defined as data divided by trend), which is a different fluctuating quantity compared to the return, only the distribution of detrended daily stock volume is known so far. In this paper, we show that for both stock price and stock market index, the detrended daily data is well fitted by a stable probability density with characteristic exponent parameter less than 2. The trend was modeled using either cubic smoothing spline or principal component analysis. The significance of our results for stock market modeling is discussed.

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