Cointegration and Causality Analysis. Between Equity, Commodity and Currency Prices in India

      Аннотация: This book presents the relationship between selected asset classes. The Research is being conducted to examine if there are long-term and short-term themes of association and whether there are any relationships that exist between equity, agricultural commodities, non-agricultural commodities, and currency in India. The daily basis 2740 readings from year 2008 to 2019 for all four assets classes are considered here. The data are collected from Stock exchanges - National stock exchange (NSE) websites, Multi Commodity Exchange (MCX). NCDEX and some observations are taken from website of central bank (RBI). All four series were differenced at first order to make series stationary. Johansen cointegration method is employed to determine the long run relationship between the indices. The test does not show any cointegrating equation between them. Vector Autoregression (VAR) model was used which showed the short run relationship with different lags of indices. Further, with the help of correlation matrix, the correlation between variables is checked, and the Granger causality test is also used.

Ключевые слова: Time Series, Financial econometrics, correlation, Granger causality, cointegration, vector autoregression, Indices, Indian Markets, portfolio risk management etc