A study of cointegration of gold market of the emerging and developed economies

Abstract

Gold, which is considered to be the most precious metal (Bilal, Talib, Haq, Khan, & Naveed, 2013), from ancient times has been considered as a very conservative investment. Studies examining the utility of gold have found evidence in favour of gold as a source of the hedge (Narayan, Narayan, & Zheng, 2010; Bampinas & Panagiotidis, 2015), diversification (Ibrahim, 2012; Hoang, Lean, & Wong, 2015), as well as a safe haven in times of adverse market movements (Ciner, Gurdgiev, & Lucey, 2013; Bredin, Conlon, & Potì, 2015). This paper attempts to study how global gold price trends impact domestic gold prices and domestic gold price trends contemplate in international gold markets. The study has been based on 3157 observations of daily data recorded over a period of 13 years – from March 2005 to December 2018 – to show the relationship between the USA and India’s gold market. This paper fills the need for empirical evidence for the short and long-term interrelation between India and USA gold markets and the results show no evidence of a long-term association between Indian and COMEX gold spot prices.

Keywords: Indian Gold, COMEX Gold, Cointegration, Granger Causality, Global, Gold Market

Authors’ individual contributions: Conceptualization – A.S., N.S., and R.S.; Methodology – A.S. and N.S.; Software – N.S.; Formal Analysis – N.S. and R.S.; Writing – Original Draft – A.S. and R.S.; Writing – Review & Editing – A.S. and N.S.

Declaration of conflicting interests: The Authors declare that there is no conflict of interest.

JEL Classification: G200, G230, G280

Received: 07.10.2020
Accepted: 08.02.2021
Published online: 12.02.2021

How to cite this paper: Sidana, A., Sidana, N., & Sood, R. (2021). A study of cointegration of gold market of the emerging and developed economies. Corporate & Business Strategy Review, 2(1), 8-17. https://doi.org/10.22495/cbsrv2i1art1