Testing of long-run relationship between gold prices and stock market return: An empirical analysis in India

This research is carried out to investigate the relationship between gold prices and stock market return in India. This investigation is conducted to know long run integration among two investment alternatives i.e. gold and stock market. In order to evaluate the relationship, unit root test, break point unit root test and Autoregressive Distributed Lag approach of Cointegrationare implemented. The result indicated presence of unit root in Gold price time series and indicates stationarity for stock market return. The significant break point at November 2008 is identified in gold price, while none of the significant break point is identified for Sensex return. The existence of longrun relationship is found between stock market return and Gold prices in India. Thus, the movement in gold price leads to fluctuation in stock market return in India.