Co-Integration of Gold Price Movement with Nifty Indices: A Study in Indian Context

India is the world¡¯s largest importer of gold and imported about 830 tons of gold in 2012-13. In this paper, an attempt has been made to investigate the existence of unidirectional or bi-directional relationship between the gold price and Nifty Indices. The relationship has been investigated using the gold prices and Nifty statistics for the period 2002-2013. Augmented Dickey Fuller Test (ADF) and Johansen Co-integration Tests were applied to find whether variables are stationary and whether there were any long-term relationships between them. Granger Causality Test shows that there is no causality between the gold price and Nifty Indices.