The principal aim of this study is to identify the integration and causal association among Exchange rate, Gold, Crude oil and Sensex Index. Around the world, various financial markets are integrated, and links between variables Crude oil, Gold, Exchange rate, and Sensex invites special attention. The variables are analyzed using Johansen’s cointegration Test, VECM and Granger's causality test. The data was collected for 10 years from october 2011 to october 2021.

The weekly data of International crude oil, Exchange rate, Gold and Sensex for the above mentioned period are considered for testing Cointegration and Causality. The result of the study confirmed that there is cointegration exists among Crude oil, Gold, Exchange rate with Sensex. Vector Error Correction Model shows long term causal relationship from Crude oil, Gold, Exchange rates to Sensex. Short term causal relationship from Crude oil and Gold to Sensex. There is no short term causal relationship between the exchange rate and sensex.

Gold, Crude oil, Exchange Rate, Cointegration, Causality