Title: Dynamic relationship between Indian stock index and commodity derivatives: with special reference to metals

Authors: Debasis Mohanty; Jakki Samir Khan; Subhasish Das; Shakti Ranjan Mohapatra

Addresses: Biju Patnaik University of Technology, Rourkela, Odisha 769004, India ' Department of Business Management, Modern Engineering and Management Studies, Kuruda, Balasore, Odisha, 756056, India ' School of Management Studies, GIET University, Gunupur, Odisha, India ' Faculty of Management, Biju Patnaik University of Technology, Rourkela, India

Abstract: 'Investment in stocks or derivatives' is always a topic of debate. Therefore, a research on this topic is as important as investment in these avenues. This paper aimed at finding the relationship among Sensex, the oldest stock index of India and metals. To analyse the relationship, data for five years of Sensex and six metals' prices were taken into consideration. The tools used to find the relationship among variables is co-integration, vector autoregression and impulse-response function. The result reveals there is a long-run relationship among the variables and there is no short-run relationship in ceteris paribus under ordinary least square. This paper will help individual as well as institutional investors to construct a diversified portfolio by including those metals which show a negative response and exclude those which show a positive response to the impulse of the stock index.

Keywords: derivatives; stock index; Sensex; VAR; co-integration; relationship; impulse-response.

DOI: 10.1504/IJEA.2021.118280

International Journal of Economics and Accounting, 2021 Vol.10 No.4, pp.394 - 409

Received: 22 May 2020
Accepted: 09 Jul 2020

Published online: 18 Oct 2021 *

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