英文标题：
《On the Co-movement of Crude, Gold Prices and Stock Index in Indian
Market》
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作者：
Abhibasu Sen, Prof. Karabi Dutta Chaudhury
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最新提交年份：
2019
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英文摘要：
This non-linear relationship in the joint time-frequency domain has been studied for the Indian National Stock Exchange (NSE) with the international Gold price and WTI Crude Price being converted from Dollar to Indian National Rupee based on that week\'s closing exchange rate. Though a good correlation was obtained during some period, but as a whole no such cointegration relation can be found out. Using the \\textit{Discrete Wavelet Analysis}, the data was decomposed and the presence of Granger Causal relations was tested. Unfortunately no significant relationships are being found. We then studied the \\textit{Wavelet Coherence} of the two pairs viz. NSE-Nifty \\& Gold and NSE-Nifty \\& Crude. For different frequencies, the coherence between the pairs have been studied. At lower frequencies, some relatively good coherence have been found. In this paper, we report for the first time the co-movements between Crude Oil, Gold and Indian Stock Market Index using Wavelet Analysis (both Discrete and Continuous), a technique which is most sophisticated and recent in market analysis. Thus for long term traders they can include gold and/or crude in their portfolio along with NSE-Nifty index in order to decrease the risk(volatility) of the portfolio for Indian Market. But for short term traders, it will not be effective, not to include all the three in their portfolio.
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中文摘要：
印度国家证券交易所（NSE）研究了这种联合时频域非线性关系，国际黄金价格和WTI原油价格根据该周收盘汇率从美元转换为印度国家卢比。虽然在一段时间内获得了良好的相关性，但总体上没有发现这样的协整关系。使用离散小波分析对数据进行分解，并检验格兰杰因果关系的存在。不幸的是，没有发现任何重要的关系。然后，我们研究了这两对的小波相干性，即。NSE Nifty \\&黄金和NSE Nifty \\&原油。对于不同的频率，研究了对之间的相干性。在较低的频率下，发现了一些相对较好的相干性。在本文中，我们首次使用小波分析（离散和连续）报告了原油、黄金和印度股市指数之间的联动，小波分析是市场分析中最复杂和最新的技术。因此，对于长期交易者，他们可以将黄金和/或原油与NSE Nifty指数一起纳入其投资组合，以降低印度市场投资组合的风险（波动性）。但对于短期交易者来说，如果不将这三者全部纳入其投资组合，这将是无效的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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