A STUDY TO EXAMINE NONLINEAR IMPACT OF GOLD,OIL PRICES AND THEIR VOLATILITIES ON INDIAN STOCK MARKET DURING COVID – 19

Author (s) : Mrs.S.Jayanthi

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Abstract :
This paper delves into the asymmetrical or non-linear impact of gold prices, oil prices, and their respective volatility on India's financial markets. The analysis utilizes daily data from the Indian Sensex, crude oil prices, crude oil price volatility, gold prices, and gold price volatility levels spanning from January 12, 2019, to June 18, 2020. To determine whether the model is linear or not, the Ramsey RESET Test has been employed. However, the p-value is less than 5%, indicating that the model is not linear. Consequently, in order to assess the results, a non-linear ARDL model must be utilized to identify short-run and long-run asymmetries. The NARDL paradigm enables the modeling of asymmetric co-integration by incorporating both positive and negative partial summation compositions, as well as the detection of short-term and long-term asymmetric effects. The findings reveal that both short-term and long-term effects of gold prices, oil prices, and Sensex prices are non-linear. It is important to note that the volatility indexes of gold and oil are tradable assets that deviate from their prices, thus offering opportunities to formulate various profitable strategies. The predicted results suggest that the volatility of gold prices has a significant positive influence on the price of Sensex. However, during the COVID-19 pandemic, the price of gold had a negative impact on the price of Sensex. Overall, this research sheds light on the intricate relationship between gold prices, oil prices, and their respective volatility with India's financial markets. The non-linear nature of these effects emphasizes the need for a comprehensive understanding of the dynamics at play. By considering these findings, market participants can make informed decisions and develop strategies to navigate the complexities of the financial landscape.

Keywords : COVID-19, gold prices, oil prices.

Conference Date : 13/11/2020

Pages : 320

Paper ID : 20320