Published Paper Details:

The Indian stock market has witness a phenomenal growth during the post liberalization period even after combating several challenges both at national and international domain. In this paper we have considered the Indian stock market and gold prices as the variable where we tried to inspect the volatility between them and the spillover effect. During the post liberalization period it was observed that the investors were keen to invest in the stock market even after knowing that the gold is a comparatively safer haven in terms of appreciation in their investment. Theoretically it was witnessed from different existing literatures that there is an inverse relationship between stock market and gold prices. Empirical study in our paper shows that there exists ARCH effect and GARCH effect in the model with data from January, 1992 to July, 2020. We have found that due to any external shock created one month back (n-1) is affecting the BSE SENSEX of the present month (n) which has a spillover effect on gold prices due to a significant p value of ARCH model. Also, a significant p value of GARCH model suggests that volatility of BSE SENSEX of one month before is having an influence in the present month BSE SENSEX which is leading to a spillover effect on gold prices. This indicates that any good news at national and/or international level influences the BSE SENSEX in a positive way leading to a spillover effect on gold prices in a positive way and any bad news at national and/or international level influences the BSE SENSEX in a negative manner leading to a spillover effect on gold prices in a negative way which is confirmed from the coefficient of the empirical test. The reason behind such occurrence is the perception of investors to consider gold as a secure investment avenue than stock. It is also noted that investors can also prefer stock to gold if they prefer short term return and if they lack in sufficient idle funds. During the study period certain events like Harshad Mehta scam, Ketan Parekh scam, subprime crisis and the recent COVID-19 pandemic can be identified as the shocks that can create volatility and spillover effect among the variables.