Granger Causality of Sensex with Gold Price: Evidence from India

Abstract:- The stock markets of a country are sensitive to both domestic and external factors, and one such factor is the gold price. In recent times gold price volatility has attracted the attention of many researchers, academicians and analysts. This study examines the causal relationship between gold prices and stock market returns in India.BSE index is used to represent stock market returns. The Stationarity of the time series data were checked with ADF Unit root test. The causality is studied through the Granger Causality Test. Unit root test indicates that time series are not stationary at levels and selected time series are stationary at first difference. Granger Causality test indicates that no causal relationship exist between gold price and BSE sensex