Abstract
Present research will focus on causal relationship and Calendar anomalies in Metal stocks and Commodity Index. Results of GARCH model confirms the presence of March, September, and November effect in Metal stock Index. Returns in the month of February's was found negative and statistically significant which indicates the negative February effect in metal stock Index. Coefficient for commodity Index was found insignificant. Therefore, there was no month of year effect in the commodity Index. Returns of none of the month was statistically significant. Results of Granger Causality Test shows that the fluctuations in metal stock return have a significant impact on the commodity return but this impact is not there in reverse situation. It could established that even if the stock returns are affecting the commodity returns but this influence is limited to stock returns. Calendar anomalies remain independent for stock and Commodity market.
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