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Gold Price and Capital Market Movement in India: The Toda–Yamamoto Approach

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  • P.K. Mishra

    (P.K. Mishra is Assistant Professor in Economics, Central University of Jharkhand. India. E-mail: pkmishra1974@gmail.com)

Abstract

In recent days gold has attracted the attention of common men, investors, policy makers and researchers. 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 backdrop, this article is an attempt to unveil any dynamics, if exist, between gold price and stock price movements using a sophisticated econometric tool, Toda and Yamamoto non-causality test. On the basis of the annual observations for the period 1978–1979 to 2010–2011, it has been found that both the prices have contained in themselves some information to predict each other.

Suggested Citation

  • P.K. Mishra, 2014. "Gold Price and Capital Market Movement in India: The Toda–Yamamoto Approach," Global Business Review, International Management Institute, vol. 15(1), pages 37-45, March.
    • Handle: RePEc:sae:globus:v:15:y:2014:i:1:p:37-45
    DOI: 10.1177/0972150913515597
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    References listed on IDEAS

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    Cited by:

    1. Srinivasan P., 2014. "Gold Price, Stock Price and Exchange rate Nexus: The Case of India," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 17(52), pages 77-94, June.
    2. Shammugam, Shivenes & Rathgeber, Andreas & Schlegl, Thomas, 2019. "Causality between metal prices: Is joint consumption a more important determinant than joint production of main and by-product metals?," Resources Policy, Elsevier, vol. 61(C), pages 49-66.

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