Dynamic relationship between equity, bond, commodity, forex and foreign institutional investments: Evidence from India

The interrelationship between equity, bond, commodity and forex movements can provide investors with abundant trading opportunities regardless of whether one market is trending upward or downward. Hence, to understand the interlinkage markets, this study examines long-run causal linkage forex, G-sec bonds, oil prices, gold rates, foreign institutional investment (FII) flows, equity sectoral index returns. Daily time-series data from August 2012 2021 were considered for empirical analysis. Johansen’s cointegration test revealed that exchanges like USD, Euro, GBP Yen, G-bond returns FII flows significantly cointegrated stock indices in long run. Further, Granger causality found a uni-directional relationship rates (i.e., Yen) market, as well indices, except Nifty 50 IT indices. Oil price effectively predict future changes consumer durables, auto, Gold prices are useful Nifty-Auto, Bank, Financial Services, & Gas PSU. also bi-directional inflows findings suggest affect India’s performance. contributes existing literature by comprehensively examining commodities such gold, G-bond, fourteen Indian context.