Revisiting the Cointegration and Casual Relationship between Different Financial Markets
Authors/Creators
- 1. School of Management, Presidency University, India
- 2. Institute of Commerce, Nirma University, India
Description
Abstract: This study aims to examine the causal link among USD/INR exchange rates, domestic gold prices, crude oil prices, and NIFTY 50 index taking a long period of 13 years from September 2010 to September 2023. We use Augmented Dickey–Fuller (ADF) unit root test, Autoregressive Distributed Lag Model (ARDL) and Granger causality test for the analysis. ARDL results indicate the existence of a long-run relationship among USD/INR, NIFTY 50 and crude prices but absence in gold prices. Granger causality test result reveals a bidirectional causality between the NIFTY index and the USD/INR exchange rate and a unidirectional causality between the gold prices and NIFTY index. This study benefits investors and policymakers to diversify their portfolio, mitigate risk and maintain economic stability.
Keywords: NIFTY 50 Index Prices, Crude Oil Price, Gold Price, Exchange Rate, ARDL Model, Granger Causality Test
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