Title: Asymmetric nexus between energy prices, precious metal prices and stock market prices in the Indian context: evidence from a nonlinear ARDL model approach

Authors: Suresh Kumar; Gurcharan Singh; Ankit Kumar

Addresses: School of Management Studies, Punjabi University Patiala, 147002, India ' School of Management Studies, Punjabi University Patiala, 147002, India ' School of Management Studies, Punjabi University Patiala, 147002, India

Abstract: Relationships among energy, metal and stock prices are of huge interest among various stakeholders around the world. This paper investigates the cointegration among stock market prices, energy prices (crude oil, natural gas) and precious metal prices (gold, silver) in the Indian context using daily data from October 2006 to December 2019. We apply nonlinear autoregressive distributed lag (NARDL) testing approach to explore the associations. Finding shows the presence of cointegration among the selected variables in both the short and long-run. Findings of the paper are of practical interest for academicians, policymakers, practitioners, economic agents, and traders who invest in the stock market.

Keywords: energy prices; metal prices; stock market; nonlinear ARDL.

DOI: 10.1504/IJSEM.2022.122740

International Journal of Services, Economics and Management, 2022 Vol.13 No.2, pp.182 - 201

Received: 19 Oct 2020
Accepted: 04 Jul 2021
Published online: 09 May 2022 *

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