Title: Inter-relationship between stock market and commodities returns: an empirical analysis

Authors: Hemant Bhanawat

Addresses: NICMAR Institute of Construction Management and Research, Delhi NCR, Bahadurgarh Haryana 124507, India

Abstract: Although the commodities and stock markets are different, both these markets attract large pools of investors. This study implemented the Bai-Perron test to identify structural breaks and examine the impact of commodities returns on stock market returns. The results indicated strong positive impact of commodities returns on Nifty50 Index returns. The models developed were found to be stable using CUSUM test. The present study supports the argument of the existence of an interrelationship between the commodities and stock markets in India. The results of the present study will contribute to the existing literature relating to commodities and stock markets. The results will be useful for indices pertaining to stock and commodities markets to examine such interrelationship. Finally, the study will immensely help investors to understand the interrelationship between commodities and stock markets and there by frame necessary strategies to safeguard against price uncertainties and get rewards from investment.

Keywords: stock market returns; commodities market returns; Bai-Perron test.

DOI: 10.1504/AAJFA.2025.148668

Afro-Asian Journal of Finance and Accounting, 2025 Vol.15 No.5, pp.574 - 589

Received: 02 Dec 2023
Accepted: 22 May 2024
Published online: 18 Sep 2025 *

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