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
