This study examines the impact of key commodities and U.S. stock indices on the Nifty 50 index, using advanced econometric techniques to analyze both short-term and long-term relationships. The research focuses on crude oil prices, gold prices, the USD/INR exchange rate, the S&P 500, and the Dow Jones Industrial Average, assessing their influence on the Indian stock market over the period from January 2014 to November 2024.
Employing time-series models such as the Augmented Dickey-Fuller (ADF) test, ARIMA, Granger causality, Johansen cointegration, Vector Error Correction Model (VECM), and GARCH, the study identifies significant interdependencies between these financial variables.
The stock market serves as a crucial component of a nation's financial ecosystem, playing a pivotal role in capital formation, investment opportunities, and economic stability. As one of the most actively traded financial markets, the Indian stock market is significantly influenced by a variety of economic and financial variables, including commodity prices, exchange rate fluctuations, and global market trends. Among these factors, crude oil prices, gold prices, and the USD/INR exchange rate have been extensively studied due to their profound impact on economic activities and market volatility. Additionally, the influence of major US stock indices, such as the S&P 500 and the Dow Jones Industrial Average, has gained increasing attention as global financial markets become more interconnected.
Table of Contents
- Chapter 1: Introduction
- 1.1 Introduction
- 1.2 Industry Profile
- 1.3 Company Profile: National Stock Exchange (NSE)
- Chapter 2: Review of Literature
- Chapter 3: Research Design
- Chapter 4: Analysis and Interpretations
- Chapter 5: Summary of Findings
Objectives and Key Themes
This study analyzes the impact of select commodities (USDINR, WTI Crude Oil, Silver Futures, Gold Futures) and US indices (Dow Jones Industrial Average, S&P 500) on the Nifty 50 index. The main objective is to determine the relationships and dependencies between these assets and the Nifty 50, utilizing various econometric models.
- Relationship between US indices and the Nifty 50 index.
- Impact of commodity prices on the Nifty 50 index.
- Application of econometric models (ARIMA, Granger Causality, Johansen's Cointegration, VECM, GARCH) to analyze financial time series data.
- Identifying potential causal relationships and forecasting implications.
- Assessment of market dynamics and risk management strategies.
Chapter Summaries
Chapter 1: Introduction: This chapter sets the stage for the research by introducing the research problem, which focuses on understanding the interconnectedness between select commodities and US indices and their effect on the Nifty 50 index. It defines the aim and scope of the study, highlighting the significance of this research in providing insights into the Indian stock market's dynamics and informing investment strategies. The chapter also provides an industry profile of the Indian stock market, including market size, key players, and relevant government policies and regulations. Finally, it offers a detailed company profile of the National Stock Exchange (NSE), covering its historical background, market position, offerings, competitors, and SWOT analysis, establishing a firm foundation for the subsequent empirical analysis.
Chapter 2: Review of Literature: This chapter presents a comprehensive review of existing literature relevant to the study's objectives. It synthesizes previous research on the relationships between various asset classes, including commodities and equity indices, providing a theoretical framework for the empirical analysis undertaken in subsequent chapters. The literature review likely explores different econometric methodologies used in similar studies, evaluating their strengths and limitations in the context of the research question. This serves as a critical base upon which the study builds its own methodology and analysis, justifying the chosen approaches and highlighting the study's contribution to the existing body of knowledge.
Chapter 3: Research Design: This chapter meticulously outlines the research methodology employed in the study. It details the problem statement, objectives, and scope, clarifying the boundaries of the investigation. The chapter specifies the hypotheses being tested and provides precise definitions of the variables used in the analysis. The data collection methods and sources are rigorously explained, along with a justification for the chosen sampling type and size. The statistical design, encompassing the specific econometric models (such as ARIMA, Granger causality, and cointegration tests) employed, is detailed, along with a candid acknowledgment of the study's limitations. This thorough exposition ensures the transparency and reproducibility of the research findings.
Chapter 4: Analysis and Interpretations: This chapter presents the core empirical findings of the study. It details the application of various econometric models—Augmented Dickey-Fuller test, ARIMA model, Granger causality test, Johansen's cointegration test, VECM model, and GARCH model—to the time-series data. The chapter systematically explains the results of each test, carefully interpreting the statistical significance and practical implications of the findings. It likely includes tables and figures to visually represent the results and facilitate understanding. The interpretation section bridges the gap between statistical outputs and meaningful conclusions about the relationships between the analyzed variables. The chapter meticulously explains the relationships found between select commodities, US indices, and the Nifty 50 index.
Keywords
Nifty 50 Index, US Indices, Commodities, USDINR, WTI Crude Oil, Silver Futures, Gold Futures, Dow Jones Industrial Average, S&P 500, ARIMA Model, Granger Causality Test, Johansen's Cointegration Test, VECM Model, GARCH Model, Time Series Analysis, Econometrics, Indian Stock Market, Financial Markets, Risk Management.
Frequently asked questions
What is the main focus of this language preview?
This language preview provides an overview of a study analyzing the impact of select commodities (USDINR, WTI Crude Oil, Silver Futures, Gold Futures) and US indices (Dow Jones Industrial Average, S&P 500) on the Nifty 50 index.
What key areas are covered in this preview?
The preview includes the title, table of contents, objectives and key themes, chapter summaries, and a list of keywords relevant to the study.
What are the primary objectives of the study?
The main objective is to determine the relationships and dependencies between select commodities and US indices and the Nifty 50 index, using various econometric models to identify potential causal relationships and forecasting implications.
What are the key themes explored in the study?
The key themes include the relationship between US indices and the Nifty 50, the impact of commodity prices on the Nifty 50, the application of econometric models to financial time series data, identifying causal relationships, and assessing market dynamics and risk management strategies.
What does Chapter 1, "Introduction," cover?
Chapter 1 introduces the research problem, defines the aim and scope of the study, provides an industry profile of the Indian stock market, and offers a detailed company profile of the National Stock Exchange (NSE).
What is the focus of Chapter 2, "Review of Literature"?
Chapter 2 presents a comprehensive review of existing literature on the relationships between various asset classes, including commodities and equity indices, providing a theoretical framework for the study.
What information is included in Chapter 3, "Research Design"?
Chapter 3 outlines the research methodology, detailing the problem statement, objectives, scope, hypotheses, variable definitions, data collection methods, statistical design, and study limitations.
What does Chapter 4, "Analysis and Interpretations," present?
Chapter 4 presents the core empirical findings of the study, detailing the application of econometric models to time-series data and interpreting the statistical significance and practical implications of the results.
What econometric models are used in the analysis?
The study utilizes various econometric models, including the Augmented Dickey-Fuller test, ARIMA model, Granger causality test, Johansen's cointegration test, VECM model, and GARCH model.
What are some of the keywords associated with this study?
Keywords include Nifty 50 Index, US Indices, Commodities, USDINR, WTI Crude Oil, Silver Futures, Gold Futures, Dow Jones Industrial Average, S&P 500, ARIMA Model, Granger Causality Test, Johansen's Cointegration Test, VECM Model, GARCH Model, Time Series Analysis, Econometrics, Indian Stock Market, Financial Markets, and Risk Management.
- Quote paper
- Shrey Raithatha (Author), 2025, The Impact of Select Commodities and US Indices on Nifty 50 Index, Munich, GRIN Verlag, https://www.grin.com/document/1568110
