Dynamic Relationship between Stock Index and Asset Prices: A Long-run Analysis

• 발행기관: 한국유통과학회
• 저자명: Vinodh K NATARAJAN Muhammad ABRAR UL HAQ Farheen AKRAM Jayendira P SANKAR
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.4, 601~611쪽, 전체 11쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.04.30

영문 초록

There are many asset prices which are interlinked and have a bearing on the stock market index. Studies have shown that the interrelationship among these asset prices vary and are inconsistent. The ultimate aim of this study is to examine the dynamic relationship between gold price, oil price, exchange rate and stock index. Monthly time series data has been utilized by the researcher to examine the interrelationship between four variables. The relationship among stock exchange rate index, oil price and gold price have been undertaken using regression and granger causality test. The results indicate that the exchange rate and oil price have an indirect influence on NIFTY, whereas gold price had a direct impact on NIFTY. It is evident from the results that volatility in the price of gold is mainly dependent on the exchange rate and vice versa. All the variables affect NIFTY in some way or the other. However, gold has a direct and vital relationship. From the study findings, it can be concluded that macroeconomic variables like commodity prices and foreign exchange rate, gold and oil, have a strong relationship on the return on securities at the national stock exchange of India.

목차

1. Introduction

2. Literature Review

3. Research Methods

4. Empirical Results

5. Conclusion

키워드

Asset Prices Stock Index Regression Analysis Granger Causality Test India