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Impact of global oil and gold prices on the Iran stock market returns during the Covid-19 pandemic using the quantile regression approach

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  • Zeinedini, Sh
  • Karimi, M. Sh
  • Khanzadi, A.

Abstract

The main aim of this paper is to investigate the influence of global oil and gold prices on the Iran stock market during the Covid-19 pandemic. The approach used in this study is the quantile regression method and the effective parameters on the stock price index in the deciles of 0.1–0.9 were studied. The daily data from February 20, 2020 until January 30, 2021 were used in order to achieve the purposes aforementioned. The results showed that there is not a significant relationship between the global gold price and the stock price Iran stock exchange index. In addition, in all studied deciles, there is a negative and significant relationship between OPEC oil prices and the Tehran Stock Exchange index. Therefore, it is necessary for investors and policymakers to consider the impact of changes in these variables on stock returns.

Suggested Citation

  • Zeinedini, Sh & Karimi, M. Sh & Khanzadi, A., 2022. "Impact of global oil and gold prices on the Iran stock market returns during the Covid-19 pandemic using the quantile regression approach," Resources Policy, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000526
    DOI: 10.1016/j.resourpol.2022.102602
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    Cited by:

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    2. Younis, Ijaz & Shah, Waheed Ullah & Yousaf, Imran, 2023. "Static and dynamic linkages between oil, gold and global equity markets in various crisis episodes: Evidence from the Wavelet TVP-VAR," Resources Policy, Elsevier, vol. 80(C).
    3. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 702-715.
    4. Ren, Xiaohang & Wang, Rui & Duan, Kun & Chen, Jinyu, 2022. "Dynamics of the sheltering role of Bitcoin against crude oil market crash with varying severity of the COVID-19: A comparison with gold," Research in International Business and Finance, Elsevier, vol. 62(C).

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    More about this item

    Keywords

    Oil price; Gold price; Stock returns; Quantile regression; Covid-19;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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