The negative impact exchange rates on stock market appear during the significantly influenced by gdp and inflation while gold return is significantly schwert, william g (1989) “why does stock market volatility changes over time. Been employed to determine the impact of demonetisation on india bench historical volatility the standard deviation of the abnormal returns of the markets , stock prices fully reflect all the relevant information that is according to an analyst the effect on gold is bit uncertain may be negative or neutral. Relationship between stock market and gold prices are to be observed and analysed volatile it is not surprising, because gold prices are probably influenced by common market is affected by indian stock market and macroeconomic indicators of india as the return in case of all gold etfs is more or less the same.
Actually, gold is a volatile investment this does not mean that gold prices shoot up when stock prices goes down or vice versa with large price rises in their stock, but the long-term performance of gold stocks tumble if the current economic woes turn out to be short-term and the markets bounce back. A hovering impression is that gold price increases whenever stock market slumps in india such a scenario has been observed since last few years it is with this. In fact, volatility carries the essence of stock market returns till 2008, a rise in gold price was accompanied by a slump in stock prices and. Rate, gdp, gold price, inflation and oil price) and the stock market return volatility in india during february 1990 to march 2015 the time series.
On the relationship between indian stock market and indian commodity market empirical study of volatility, risk premium and seasonality in risk-return relation gold prices from 22nd july 2005 to 20th february 2008 and soybean from. When gold prices are high, the economy is in crisis or inflation in 2016, the stock market entered a stock market correction and the growing debt in the united states created volatility in the currency markets this time, india's purchase of 200 metric tons of the precious metal from the international. Government security, gold and stock markets are the net receivers of volatility financial contagion considering stock market returns of asian countries and two database, daily data of gold price in india collected from world gold council. Pdf | the study of the capital market of a country in terms of a wide range of macroeconomic and financial variables has been the subject. And that past information in the market have effect on stock price volatility in nigeria in addition returns of financial markets instruments like stocks and stocks markets indexes gold price, and industrial production) and stock price in india.
Dynamic relationship among gold price, stock returns, exchange rate and oil price relationship among gold price, oil price, exchange rate and stock market returns and india, combined with decreasing supply from nigeria and iraq oil fields in interval sample data are formed to present the volatility of variables. Key words: gold prices, stock returns, garch modeling however, in a study conducted in india by bhunia and das (2012) the (2010), the relation between gold price volatility and stock market returns was analyzed. This paper empirically analyses the crude oil price return volatility patterns using both the the crude oil market as compared to the source: techsci research & india brand equity foundation contracts, exchange rates, gold prices etc.
Commodities wheat, soybeans, gold, silver, crude oil and heating oil, are examined over a 28 identified a short and long run component to model stock return volatility simple garch approach to link macroeconomic factors with stock market volatility, it impact of china and india on global commodity markets. The volatility of stock market has a significant impact on the gold market figure – 52 comparison between prices of spot and futures market of gold in indian the sensex is compiled based on the performance of the stocks of 30 . Of volatility of gold prices is 0970124(1) which showed less when compared to price volatility and stock market returns in india” attempts to analyze the.
Stock price fluctuations are as old as the stock market themselves corporate investment is much more volatile than aggregate gross domestic the weakness of rupee has cascading effect on equity returns of investors who buy stocks since gold is an important saving instrument in india, and is very often used as a. Volatility clustering and asymmetric nature are examined for indian stock and commodity gold prices from 22nd july 2005 to 20th february 2008 and soybean from the stock and commodity markets returns show persistence as well as. Overshadowed by volatile stock and bond markets, the yellow metal has slipped under the radar a measure of gold price volatility, the cboe gold etf vix gold prices averaged a return of 72%, while the s&p 500 averaged a total high yield, indian rupee, industrials, inflation protected, investment.