Investigating the cointegration and causal relationship among dollar, gold price and sensex

The present paper explores the cointegration and causal impact of dollar, gold price and sensex in India for the period from January 2, 1991 to December 31, 2018 using daily data with the application of unit root test, Johansen cointegration test and Granger causality test. In recent times, Indian investors are demonstrating uncase in the stock markets due to continuous rising of gold prices on account of no fear and no future loss. Again, dollar rate fluctuations will affect international trades, thus influence the stock market. Johansen cointegration test result indicates that there exists a long-term relationship among the selected variables. Granger causality test result shows that there must be either unidirectional or no causality among the variables.