Testing of Long Run Association between Crude Oil and Gold Commodities: An Empirical study in India

Abstract

Commodity markets and its research have achieved a significant position in emerging trends in financial research. Various studies have reported a general relationship between commodity and stock market. Crude oil and gold are prominent and highly traded commodity products. The inter relationship among these two commodity products identification was the need of the hour. Hence collected the crude oil and gold index close prices from MCX website and carried out econometric testing. ADF test revealed the data to be stationary at one difference and the data was found to be normal. Further cointegration, granger causality, impulse response test the long-run relationship and the price shocks effects among them.