Modeling to Study the Relationship between Different Commodities Stock Price Index in India

Abstract

This chapter aims to estimate the relationships between different commodities stock price indexes of the emerging Indian economy using canonical correlation analysis. The investigation was carried out to model the canonical relationship between different commodities stock price indexes of the emerging Indian economy by considering the monthly nominal commodities of Canara Gold Futures, HDFC Gold Futures, Axis Gold Futures, and monthly values of Gold Futures and Crude Oil Futures prices from April 2012 to August 2018. It was discovered that the first canonical correlation was very significant.  The proportion of variance accounted for by the Y set and X set variables in the first canonical variate was 95.76%. The Y set supplied set has a redundancy coefficient of 65.38%.