Universal Journal of Marketing and Business Research (ISSN: 2315-5000) Vol. 2(2) pp.

035-043, May, 2013

Available online http://www.universalresearchjournals.org/ujmbr
Copyright 2013 Transnational Research Journals

Full Length Research Paper

The impact of domestic gold price on stock price

indices-An empirical study of Indian stock exchanges
Amalendu Bhunia1 and Somnath Mukhuti2
1

Associate Professor, Department of Commerce, University of Kalyani, West Bengal, India

2
Research Scholar, Department. of Commerce, CMJ University Meghalaya
Accepted 29 April, 2013

The present research paper examines the impact of domestic gold price on stock price indices in India
for the period for the period from 2nd January, 1991 to 10th August, 2012 using appropriate statistics,
unit root test and Granger causality test. The domestic gold price in India is eternally escalating in
consequence of its intense domestic demand on account of protection, liquidity along with spreader
portfolio. It give the impression of being at the remarkable data brings to the plane that when the stock
market crumples or when the dollar worsens, gold prolongs to be a safe haven investment because
gold prices increase in such situations. The study is based on secondary data obtained from World
Gold Council database and BSE and NSE database. Unit root test indicates that time series are not
stationary at levels and the selected time series are stationary at 1st difference. Granger causality test
illustrate that no causality exists between nifty and gold price, gold price and sensex and nifty and
sensex and bidirectional causality exists between gold price and nifty, sensex and gold price and
sensex and nifty.
Keywords: Gold Price, Sensex, Nifty, India, Correlation, Multiple regression, ADF and PP unit root test,
Granger causality test
INTRODUCTION
The study of the capital market of a country in terms of a
wide range of macro-economic and financial variables
has been the area under discussion of many researches
during the last two decades. Empirical studies make
known that when financial deregulation comes to pass,
the stock markets of a country become more sensitive to
both domestic and peripheral factors and one of these
factors is the price of gold. Historical practices give an
idea about that in countries in period of stock market
slump, the gold for perpetuity trends higher (Neda
Bashiri, 2011). The domestic gold price in India is
continually ever-increasing on account of its heavy
domestic demand as a consequence of security, liquidity
and diversified portfolio. A look at the historic data brings
to the surface that when the stock market collapses or
when the dollar deteriorates, gold continues to be a safe
haven investment because gold prices rise in such
circumstances (Gaur and Bansal, 2010). This paper

*Corresponding author Email: bhunia.amalendu@gmail.com

explores the impact of domestic gold price on stock price

indices in India. In other words, the plan of this paper is to
observe the causal relationships between the gold price
and stock market in India.
Problem statement
The global economic disorder is expected to goad
improbability in gold prices that has already made it a
dodgy asset for investors. Investment demand will return
no more than when there are a few transparencies. Gold
prices have been on the mount for the past several
months and the hot-blooded state of affairs in global
markets had helped the precious metal to gain
handsomely. Conversely, the coming days will see huge
funds moving from gold to sensex and nifty. The
domestic gold prices have crowned in India for the first
time, breaks all time record. In view of that most stockists
are looking to smash their share of the precious metal, in
consequence pushing the prices skywards and no

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Univers. J. Mark. Bus. Res.

immediate reinforcement seems to be in sight for the gold

buyer. Gold prices usually rise when outlooks on the
economy and the financial markets are bearish or there is
uncertainty over future trends. Gold is a precious, highly
liquid, financial instrument and an important asset class
that possesses the characteristics of both commodity and
currency, but its tangibility makes it relatively different
from paper assets such as stocks (Steven W. Sumner et
al, 2012). Many researchers have been done the causal
relationships among stock price index and gold price in
developed and developing countries. Empirical results
give an idea about that gold price can deeply concern the
stock market (Mahmood Yahyazadehfar and Ahmad
Babaie, 2012, taken from Bhunia, A, 2013).
The objective of this study
The plan of the paper was to establish, investigate and
assess the impact of domestic gold price on stock price
indices of BSE (SENSEX) and NSE (NIFTY). In this way,
this paper would attempt to attain the only objective of:
Assess the causal relationship between domestic gold
price & sensex and gold price & nifty.
Importance of the study
Stock market is distinguished as an extremely
momentous factor of the financial sector of any economy.
Besides, it plays an imperative role in the mobilization of
capital in India.
The importance of this paper curtails from the critical
position of the Indian financial market for the following
grounds:
(i) Indian financial market plays an important role in
collecting money and encouraging investments,
accordingly this paper was devised to search the impact
of gold price in India on stock market prices in BSE and
NSE.
(ii) The importance of the paper gives a belief to
domestic as well as foreign investors.
(iii) The results of this paper will provide investors helps
to compose their individual proper investment decisions.
Hypotheses of the Study
This paper aspires to study the change in daily gold price
and its impact on stock price indices based on the
following hypotheses:
Hypothesis 1
H0: There is no relationship between gold prices and
Indian stock price indices;

H1: There is a significant relationship between gold prices

and Indian stock price indices.
Hypothesis 2
H0: The selected variables are not non-stationary
variables (there is unit root);
H1: The selected variables are non-stationary variables
(there is unit root).
Hypothesis 3
H0: There is no causal relationship between the selected
variables;
H1: There is a significant causal relationship between the
selected variables.
Review of Literatures
There are diverse studies, technical papers and articles
covenanting in aspects that influence stock market prices
at the global level such as:
Rabi N. Mishra and G. Jagan Mohan, 2012, in their study
entitled Gold Prices and Financial Stability in India
proved that domestic and international gold prices are
closely interlinked. The paper also concludes that
implications of correction in gold prices on the Indian
financial markets are likely to be muted.
According to Mahmood Yahyazadehfar and Ahmad
Babaie (2012), the relationship between nominal interest
rate and gold price with stock price are negative. Also,
the results of Impulse-Response Functions shocks show
that stock price reaction to the shocks is very fast.
Thai-Ha Le and Youngho Chang (2011) made a study on
Dynamic Relationships between the Price of Oil, Gold
and Financial Variables in Japan: A Bounds Testing
Approach and they confirmed that the price of gold and
stock, among others, can help form expectations of
higher inflation over time. In the short run, only gold price
impacts the interest rate in Japan. Overall the findings of
this study could benefit both the Japanese monetary
authority and investors who hold the Japanese yen in
their portfolios.
Yen-Hsien Lee, Ya-Ling Huang & Hao-Jang Yang (2012)
examined the asymmetric long-run relationship between
crude oil and gold futures. This study employs the
momentum threshold error-correction model with
generalized autoregressive conditional heteroskedasticity
to investigate asymmetric cointegration and causal
relationships between West Texas Intermediate Crude
Oil and gold prices in the futures market. From the study
it is clear that an asymmetric long-run adjustment exists
between gold and oil. Furthermore, the causality

Bhunia and Mukhuti

relationship shows that West Texas Intermediate Crude

Oil plays a dominant role.
Graham Smith (2001) empirically investigated the
relationship between gold prices and stock price indices
on US market using Unit Root Test, Johansens Co
Integration Test, Vector auto regression and VECM. He
confirmed that The short-run correlation between returns
on gold and returns on US stock price indices is small
and negative and for some series and time periods
insignificantly different from zero. All of the gold prices
and US stock price indices are I(1). Over the period
examined, gold prices and US stock price indices are not
cointegrated. Granger causality tests find evidence of
unidirectional causality from US stock returns to returns
on the gold price set in the London morning fixing and the
closing price.
MATERIALS AND METHODS
Sources of data
The study is based on secondary data obtained from
various appropriate data sources including BSE and NSE
database, World gold council database etc. Besides, the
facts, figures and findings advanced in similar earlier
studies and the government publications are also used to
supplement the secondary data.
Research design
We have measured daily data encompassing the closing
indexes of both Bombay Stock Exchange (SENSEX) and
National Stock Exchange (NIFTY) and the closing
domestic gold price index using the sample period
extents from January 2, 1991 to August 10, 2012;
however, there are 5199 observations for Sensex & Nifty
and 5639 for gold price. Eviews 7.0 package program
have been utilized for coordinating the data and carrying
out of econometric analyses.
Tools used
In the course of analysis in the present study, descriptive
statistics, correlation statistics, multiple regression
statistics, ADF and PP unit root test and Granger
causality test have been used. The uses of all these tools
at different places have been made in the light of
requirement of analysis.
Model specification
Unit root test
A time series is stationary or not or include unit root for
which Augmented Dickey-Fuller (ADF-1979) and Phillips-

037

Perron (PP-1988) test methods have been used in the

study. The series is not stationary if the calculated value
is bigger than the absolute critical value, then null
hypothesis is rejected and series is decided to be
stationary [Claire G. Gilmore et al, (2009)].
H0: Series is stationary
H1: Series is non-stationary
If both sets of data are found I (1) (non-stationary), and
if the regression produces a I (0) error term, the equation
is said to be co-integrated. On the other, if there are two
variables, xt and yt, which are both non-stationary in
levels but stationary in first differences, then xt and yt
would become integrated of order one, I(1), and their
linear combination should have the form:
zt = xt - ayt
However, if there is a I (0) such that zt is also integrated
of order zero, I (0), the linear combination of xt and yt
is said to be stationary and the two variables are
also to be co-integrated (Engle & Granger, 1987 and
Claire G. Gilmore, Brian Lucey Ginette M. McManus,
2005). If two variables are co-integrated, there will be
an underlying long-run relationship between them.
The first step in our analysis is to test each series for
determining the presence of unit roots. This can be done
by means of the Augmented Dickey Fuller (ADF) test, an
extension of the Dickey and Fuller (1981) method. The
ADF test uses a regression of the first differences of the
series against the series lagged once, and lagged
difference terms, with optional constant and time trend
terms:
yt = a0 + a1t + yt-1 + biyt-1 + et
(2)
In the equation is the first-difference operator, a0 is an
intercept, a1t is a linear time trend, et is an error term, and i
is the number of lagged first-differenced terms such that
et is the white noise. The test for a unit root has the
null hypothesis that signifies = 0. If the coefficient
is significantly different from zero, the hypothesis that yt
contains a unit root is considered as rejected. If the test
on the level series fails to reject, the ADF
procedure is then applied to the first-differences of the
series. Rejection leads to the conclusion that the series is
integrated of order one, I (1).
A limitation of the Dickey-Fuller test is its
assumption that the errors are statistically independent
and have constant variances. In 1988, Phillips and Perron
14
(PP) generalized the ADF test:
yt = b0 + b1(t - T/2) + b1yt-1 yt-1 +t
(3)
Where, among the variables in the equations Yt=Yt-Y
(t-1); T is the coefficient of total number of observations, t is
the trend variable, stochastic error terms and the
disturbance term t is such that E(t) = 0, but there is no
requirement that the disturbance term is serially
uncorrelated or homogeneous. The equation is
estimated by OLS and the t-statistic of the b1 coefficient
is corrected for serial correlation in t using the Newey-

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Univers. J. Mark. Bus. Res.

Table 1. Descriptive Statistics
GOLD_PRICE
8.806313
8.492613
10.37824
7.768380
0.646449
0.929154
2.733134
828.1164
0.000000
5639

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
Jarque-Bera
Probability
Observations

NIFTY
7.441530
7.171926
8.750279
5.724304
0.728326
0.333418
1.988496
317.9648
0.000000
5199

SENSEX
8.648325
8.365752
9.952514
6.862873
0.735241
0.330504
1.984920
317.8578
0.000000
5199

1 ,6 00

Series: GOLD_PRICE
Sample 1 5639
Observations 5639

1 ,4 00
1 ,2 00
1 ,0 00
8 00
6 00
4 00
2 00

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

8.806313
8.492613
10.37824
7.768380
0.646459
0.929154
2.733134

Jarque-Bera
Probability

828.1164
0.000000

0
8.0

8 .5

9 .0

9.5

1 0.0

800

Series: NIFTY
Sample 1 5639
Observations 5199

700
600
500
400
300
200
100

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

7.441530
7.171926
8.750279
5.724304
0.728326
0.333418
1.988496

Jarque-Bera
Probability

317.9648
0.000000

0
5.8 6.0 6.2 6.4 6.6 6.8 7.0 7.2 7.4 7.6 7.8 8.0 8.2 8.4 8.6 8.8

West (1987) procedure for adjusting the standard errors.

between the two variables, null hypothesis is rejected if

alpha is more than the probability value (0.05).

Pairwise Granger causality Tests

Empirical Results and Analysis

We test for the deficiency of Granger causality by

estimating the following VAR model (Olushina Olawale
Awe, 2012):
Yt = a0 + a1Yt-1++ apYt-p+ b1Xt-1++ bpXt-p+Ut
(4)
Xt = c0 + c1Xt-1++ cpXt-p+ d1Yt-1++ dpYt-p+Vt
(5)
Testing H0:b1=b2==bp=0 against H1: Not H0 is a test
that Xt does not Granger-cause Yt. Similarly, testing H0:
d1= d2== dp=0 against H1: Not H0 is a test that Yt does
not Granger cause Xt. In case of Granger causality

Descriptive Statistics Result

Descriptive statistics contain the portrait of mean,
median, standard deviation; kurtosis, skewness and J-B
statistics with probability for the daily stock price (sensex
and nifty) indices of two stock exchanges and daily gold
price are exposed in Table 1. It is viewed that mean and
standard deviation of the particular series have highest
mean. Positive skewness and kurtosis designates that all
the selected series are less peaked than normal
distribution. The Jarque-Bera statistic with probability

Bhunia and Mukhuti

validates that none of the series are normally distributed.

Graphical representations of descriptive statistics are
given below:

039

substantiates that there is an existence of serial

correlation or multi-collinearity between the independent
variables. At the same time, Durbin-watson statistics
authenticates that the residuals are independent.

Correlation Statistics Result

Unit Root Test Results
Correlation statistics in table-2 point out that sensex and
nifty are positively correlated with gold prices in the
period under study. Correlation test result is incredibly
sturdy however it does not talk about the grounds and
shock. In order to make out an unequivocal delineation of
the shock, it is obligatory to execute multiple regression
test between the selected variables.
Multiple Regession Test Results
Table-3 gives an idea about multiple regression test
results. Multiple regression test has been assessed with
non-stationary data and residuals, at that moment the
regression result turns into forged. Since VIF value

However, Granger causal test is indispensable where

there is any underlying impact of gold price on stock price
indices of BSE and NSE. Granger causal test is
achievable if the series are stationary. In order to
stationarity analysis, unit root tests of Augmented DickeyFuller (ADF) and the Phillips-Perron (PP) tests are
conducted with the levels and first differences of each
series on the condition that the null hypothesis is nonstationary, subsequently rejection of the unit root
hypothesis prop up stationarity.
Table-4 illustrates the results of unit root test. It
divulges that time series are not stationary at levels.
Nevertheless, table illustrates that the gold price and BSE

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Univers. J. Mark. Bus. Res.

Table 2. Correlation Statistics

GOLD_PRICE
1.000000
0.932312
0.928865

GOLD_PRICE
NIFTY
SENSEX

NIFTY

SENSEX

1.000000
0.992889

1.000000

Table 3. Multiple Regression Test

Dependent Variable: GOLD_PRICE
Sample (adjusted): 1 5199

Method: Least Squares

Variable

Coefficient

Std. Error

t-Statistic

Prob.

VIF

NIFTY
SENSEX
C

0.506820
0.159020
3.540772

0.030034
0.029751
0.044353

16.87511
5.344999
79.83175

0.0000
0.0000
0.0000

17.851
17.851

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.869920
0.869870
0.187743
183.1451
1320.717
17374.35
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
R

0.869920
0.869870
0.187743
183.1451
1320.717
17374.35
0.876287

*Included observations: 5199 after adjustments

Table 4. Unit Root Test Result

ADF
Gold price
Nifty
Sensex
Critical values
1%
5%
10%
PP
Gold price
Nifty
Sensex

at level
0.784469
-1.6699151
-1.8443263

at 1st difference
-77.16061
-50.62846
-65.98076

-3.431425
-2.861900
-2.567004

-3.431330
-2.861858
-2.566982

at level
0.830414
-1.702241
-1.810382

at 1st difference
-77.14896
-65.42885
-65.95544

Graphical representations of unit root test are given below:

and NSE stock price indices are stationary at 1st

difference [1(1)]. Augmented Dickey Fuller unit root
analysis test discloses that errors have constant variance
and are statistically independent. At the same time
Phillip-Perron unit root test is used to ensure the
stationarity of the data series. This test tolerates the error

variance to be heterogeneously distributed and less

dependent. It proves that the selected series are
stationary at 1st difference [1(1)].
Therefore, Granger causal test can be applied on these
variables, as supported in (Hina Shahzadi and M.N.
Chohan, 2012) and Kaliyamoorthy, S and Parithi, S

Bhunia and Mukhuti

041

Table-5. Pairwise Granger Causality Test Results

Type
of
Causality
No causality

Null Hypothesis

Obs

F-Statistic

Prob.

Decision

NIFTY GOLD_PRICE

5197

0.67598

0.5087

DNR H0

3.87787

0.0208

Reject H0

Bi-directional
causality

4.14253

0.0159

Reject H0

Bi-directional
causality

2.30010

0.1004

DNR H0

123.853

3.E-53

Reject H0

Bi-directional
causality

1.61115

0.1998

DNR H0

No causality

GOLD_PRICE NIFTY

SENSEX GOLD_PRICE

5197

GOLD_PRICE SENSEX
SENSEX NIFTY

5197

NIFTY SENSEX

No causality

Note: Decision rule: reject H0 if P-value < 0.05, DNR = Do not reject; = does not Granger cause.

(2012).
Pairwise Granger causality Tests Results
The Granger causality test (Awe, O. O, 2012 and Hakan
Gne, 2005) is a statistical proposition test for
determining whether one time series is helpful in
forecasting another. The pairwise Granger causality test

has been prepared in the present chapter in hunt for the

trend of causation between gold prices and stock price
indices.
Table-5 exposes that no causality and bi-directional
causality subsists between gold price and stock price
indices under the study. No causality exists between (i)
Nifty and Gold price, (ii) Gold price and Sensex and (iii)
Nifty and Sensex. Bidirectional causality exists between
(i) Gold_Price and Nifty, (ii) Sensex and Gold Price and

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Univers. J. Mark. Bus. Res.

(iii) Sensex and Nifty. It is crucial that the outcome of

causality between the particular indicators does not mean
that movement in one indicator essentially causes
movements in another indicator21. To a great coverage,
causality essentially leads to the movements of the time
series (Olushina Olawale Awe, 2012).
CONCLUSION
The present research paper examines the impact of
domestic gold price on stock price indices in India. The
principal finale of the empirical results is that the
preferred time series demonstrate non-stationary and
that's why afford signal of Granger causality test.
Descriptive statistics illustrate that all the particular
series are more peaked than normal distribution.
Correlation statistics indicates that BSE and NSE are
positively associated with domestic gold prices in the
period of study. Multiple regression test results are
spurious and there is an existence of serial correlation as
well as multicollinearity. Unit root test result reveals that
the gold price and BSE and NSE stock price indices are
stationary at 1st difference [1(1)].
Granger causality test illustrates that no causality and
bi-directional causality subsists between gold price and
stock price indices under the study. No causality exists
between (i) Nifty and Gold price, (ii) Gold price and
Sensex and (iii) Nifty and Sensex. Bidirectional causality
exists between (i) Gold_Price and Nifty, (ii) Sensex and
Gold Price and (iii) Sensex and Nifty, as supported in,
(Olushina Olawale Awe, 2012).
Gold price persists to increase in India because they
are considered gold the safe haven investment as a
financial asset as well as jewellery. World Gold Council
report says that India stands today as the worlds largest
single market for gold consumption.
The assessment of the impact of gold price on Indian
stock price indices utilized in this study is based on the
financial market indicators. There is a need to widen this
definition including macro and other market indicators
(such as crude price, exchange rate, interest rate,
inflation) relevant to the impact to facilitate reach our
destination at more robust empirical analysis. This could
be a possible area for future research in India (Mishra
and Mohan, 2012).
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