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Asian Journal of Management
Year : 2019, Volume : 10, Issue : 3
First page : ( 161) Last page : ( 166)
Print ISSN : 0976-495X. Online ISSN : 2321-5763.
Article DOI : 10.5958/2321-5763.2019.00026.X

A Study on Cross Correlation among India VIX, Oil Price and Gold Price: Evidence from India

Mehta Kaveri*, David Nicholas**

Research Scholar, Institute of Management, Christ (Deemed to be university). Hosur road, Bengaluru-560029, Karnataka

*Corresponding Author Email: kaveri.mehta@mba.christuniversity.in

**nicholas.david@mba.christuniversity.in

JEL CLASSIFICATION CODE: C22, C30, C87, E0, G30, G170

Online published on 3 January, 2020.

Abstract

This paper attempts to examine the cross correlation among India VIX, crude oil price and gold price. Daily data are analysed for the period March 2008 till July 2017 to discover the relationship among the three variables. The empirical results show that gold has a negative impact and crude oil has been witnessed to have a positive impact on India VIX. Nonetheless, the intensity of the impact is miniscule. The major finding is that volatility of India VIX is persistent in nature. As past events have been taken into consideration to justify the results, the model is reasonably robust in nature.

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Keywords

India VIX, Crude oil, Gold, ARCH/GARCH, Conditional Standard Deviation, Reverse Anchoring.

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