1Haryana School of Business (Guru Jambheshwar University of Science & Technology), Hisar-125001, Haryana, India
2(Research Scholar), Haryana School of Business (Guru Jambheshwar University of Science & Technology), Hisar-125001, Haryana, India
This study has been conducted to find out any causality between gold return, the BSE sensex index return and government bond return with maturity period of 10 years. Monthly data of gold prices, BSE sensex index and government bond yields with maturity period of 10 years have been collected from the period April, 2003 to December, 2016. The empirical results found negative relationship between gold returns and the government bond returns and the BSE sensex index return over the period of study. Granger causality test found bidirectional relationship between gold return and the BSE sensex index return while unidirectional relationship found between bond return and BSE sensex index return or gold return and the bond returns during the study period. The Sharpe ratio suggests that BSE sensex index investment is more efficient than gold investment according to the findings based on the study period.
Gold price, BSE sensex index, government bond yield, Sharpe ratio, Granger causality test, correlation analysis
