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Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico

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  1. Cui, Moyang & Wong, Wing-Keung & Wisetsri, Worakamol & Mabrouk, Fatma & Muda, Iskandar & Li, Zeyun & Hassan, Marria, 2023. "Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data," Resources Policy, Elsevier, vol. 80(C).
  2. Suresh Kumar & Ankit Kumar & Gurcharan Singh, 2023. "Causal relationship among international crude oil, gold, exchange rate, and stock market: Fresh evidence from NARDL testing approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 47-57, January.
  3. Xu, Qingqing & Meng, Tianci & Sha, Yue & Jiang, Xia, 2022. "Volatility in metallic resources prices in COVID-19 and financial Crises-2008: Evidence from global market," Resources Policy, Elsevier, vol. 78(C).
  4. Wen, Danyan & Wang, Yudong & Ma, Chaoqun & Zhang, Yaojie, 2020. "Information transmission between gold and financial assets: Mean, volatility, or risk spillovers?," Resources Policy, Elsevier, vol. 69(C).
  5. Zhang, Pinyi & Ci, Bicong, 2020. "Deep belief network for gold price forecasting," Resources Policy, Elsevier, vol. 69(C).
  6. Ngo Thai Hung, 2020. "Analysis of the Time-frequency Connectedness between Gold Prices, Oil Prices and Hungarian Financial Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 51-59.
  7. K.S., Sujit & Ray, Subhajyoti, 2023. "Linear and nonlinear asymmetric relationship in crude oil, gold, stock market and exchange rates: An evidence from the UAE," Resources Policy, Elsevier, vol. 83(C).
  8. Min Bai & Ly Ho, 2023. "How do gold and oil react to the COVID-19 pandemic: A review," Energy & Environment, , vol. 34(7), pages 2876-2902, November.
  9. Naeem, Muhammad & Umar, Zaghum & Ahmed, Sheraz & Ferrouhi, El Mehdi, 2020. "Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  10. Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2021. "How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques," Resources Policy, Elsevier, vol. 70(C).
  11. Kamaldeen Ajala & Musa Abdullahi Sakanko & Sesan Oluseyi Adeniji, 2021. "The Asymmetric Effect of Oil Price on the Exchange Rate and Stock Price in Nigeria," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 202-208.
  12. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2021. "Hedging stocks with oil," Energy Economics, Elsevier, vol. 93(C).
  13. Wang, Xiaoxuan & Gao, Xiangyun & Wu, Tao & Sun, Xiaotian, 2022. "Dynamic multiscale analysis of causality among mining stock prices," Resources Policy, Elsevier, vol. 77(C).
  14. Rakesh Shahani & Riya Paliwal, 2023. "An empirical investigation of the impact of spillover dynamics from crude to NSE Nifty Index during and prior to the COVID-19 pandemic period," SN Business & Economics, Springer, vol. 3(8), pages 1-21, August.
  15. Wang, Yijing & Geng, Xueqing & Guo, Kun, 2022. "The influence of international oil price fluctuation on the exchange rate of countries along the “Belt and Road”," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  16. Xu, Lei & Ma, Xueke & Qu, Fang & Wang, Li, 2023. "Risk connectedness between crude oil, gold and exchange rates in China: Implications of the COVID-19 pandemic," Resources Policy, Elsevier, vol. 83(C).
  17. Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Adesina, Oluwaseun A. & Alobaloke, Kafayat A. & Vo, Xuan Vinh, 2022. "Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses," Resources Policy, Elsevier, vol. 79(C).
  18. Vesarach Aumeboonsuke, 2021. "Commodity Prices and the Stock Market in Thailand," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 34-40.
  19. Chen, Yufeng & Xu, Jing & Hu, May, 2022. "Asymmetric volatility spillovers and dynamic correlations between crude oil price, exchange rate and gold price in BRICS," Resources Policy, Elsevier, vol. 78(C).
  20. Karasu, Seçkin & Altan, Aytaç, 2022. "Crude oil time series prediction model based on LSTM network with chaotic Henry gas solubility optimization," Energy, Elsevier, vol. 242(C).
  21. Tanin, Tauhidul Islam & Sarker, Ashutosh & Brooks, Robert & Do, Hung Xuan, 2022. "Does oil impact gold during COVID-19 and three other recent crises?," Energy Economics, Elsevier, vol. 108(C).
  22. Mehmanpazir, Farhad & Khalili-Damghani, Kaveh & Hafezalkotob, Ashkan, 2019. "Modeling steel supply and demand functions using logarithmic multiple regression analysis (case study: Steel industry in Iran)," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
  23. Johnson A. Oliyide & Oluwasegun B. Adekoya & Muhammad A. Khan, 2021. "Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension," International Economics, CEPII research center, issue 167, pages 136-150.
  24. Supanee Harnphattananusorn, 2022. "Asymmetric Relationship between Exchange Rate Volatility and Oil Price: Case Study of Thai-Baht," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 86-92.
  25. Fu, Zheng & Chen, Zhiguo & Sharif, Arshian & Razi, Ummara, 2022. "The role of financial stress, oil, gold and natural gas prices on clean energy stocks: Global evidence from extreme quantile approach," Resources Policy, Elsevier, vol. 78(C).
  26. Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  27. Emmanuel Uche & Lionel Effiom, 2021. "Oil price, exchange rate and stock price in Nigeria: Fresh insights based on quantile ARDL model," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, vol. 2021(1), pages 59-79.
  28. Khan, Muhammad Imran & Teng, Jian-Zhou & Khan, Muhammad Kamran & Jadoon, Arshad Ullah & Khan, Muhammad Fayaz, 2021. "The impact of oil prices on stock market development in Pakistan: Evidence with a novel dynamic simulated ARDL approach," Resources Policy, Elsevier, vol. 70(C).
  29. Mokni, Khaled & Hammoudeh, Shawkat & Ajmi, Ahdi Noomen & Youssef, Manel, 2020. "Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price?," Resources Policy, Elsevier, vol. 69(C).
  30. Ekundayo Peter Mesagan & Kolawole Kushimo & Dominic Ikoh Umar, 2021. "Do fluctuations in exchange rate hinder non-oil export? An analysis of agriculture and manufacturing in Nigeria," SN Business & Economics, Springer, vol. 1(11), pages 1-23, November.
  31. Zhang, Guangyong & Jiang, Le & Tian, Lixin & Fu, Min, 2021. "Analysis of the gold fixing price fluctuation in different times based on the directed weighted networks," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  32. Muhammad Tahir Suleman & Mosab I. Tabash & Umaid A. Sheikh, 2024. "Do stock market fluctuations lead to currency deflation in the South Asian region? Evidence beyond symmetry," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1432-1450, April.
  33. Dinmukhamed Kelesbayev & Kundyz Myrzabekkyzy & Artur Bolganbayev & Sabit Baimaganbetov, 2022. "The Impact of Oil Prices on the Stock Market and Real Exchange Rate: The Case of Kazakhstan," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 163-168.
  34. Mehdi Zolfaghari & Bahram Sahabi, 2021. "The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries," Review of Managerial Science, Springer, vol. 15(7), pages 1981-2023, October.
  35. Emon Kalyan Chowdhury, 2024. "Do weather patterns effect investment decisions in the stock market? A South Asian perspective," Journal of Asset Management, Palgrave Macmillan, vol. 25(2), pages 162-171, March.
  36. Xu, Xin & Huang, Shupei & An, Haizhong, 2022. "The dynamic moderating function of the exchange rate market on the oil-stock nexus," International Review of Financial Analysis, Elsevier, vol. 81(C).
  37. Rizvi, Syed Kumail Abbas & Naqvi, Bushra & Boubaker, Sabri & Mirza, Nawazish, 2022. "The power play of natural gas and crude oil in the move towards the financialization of the energy market," Energy Economics, Elsevier, vol. 112(C).
  38. Sokhanvar, Amin & Çiftçioğlu, Serhan & Lee, Chien-Chiang, 2023. "The effect of energy price shocks on commodity currencies during the war in Ukraine," Resources Policy, Elsevier, vol. 82(C).
  39. Younis, Ijaz & Shah, Waheed Ullah & Hkiri, Besma & Qureshi, Fiza & Longsheng, Cheng, 2023. "Risk co-movements and portfolio strategies between energy, gold and BRICS markets," Resources Policy, Elsevier, vol. 82(C).
  40. Jiang, Yonghong & Feng, Qidi & Mo, Bin & Nie, He, 2020. "Visiting the effects of oil price shocks on exchange rates: Quantile-on-quantile and causality-in-quantiles approaches," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  41. Shafa Guliyeva, 2023. "Analysis of the effect of Energy Prices on Stock Indexes During the Epidemic Crisis," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 526-536, March.
  42. Jingjian, Si & Xiangyun, Gao & Jinsheng, Zhou & Anjian, Wang & Xiaotian, Sun & Yiran, Zhao & Hongyu, Wei, 2023. "The impact of oil price shocks on energy stocks from the perspective of investor attention," Energy, Elsevier, vol. 278(PB).
  43. Ipsita Saishree & Puja Padhi, 2022. "Exploring the dynamics of the equity–commodity nexus: A study of base metal futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1573-1596, August.
  44. Nguyen, Quynh Nga & Bedoui, Rihab & Majdoub, Najemeddine & Guesmi, Khaled & Chevallier, Julien, 2020. "Hedging and safe-haven characteristics of Gold against currencies: An investigation based on multivariate dynamic copula theory," Resources Policy, Elsevier, vol. 68(C).
  45. Lin, Boqiang & Su, Tong, 2020. "Does oil price have similar effects on the exchange rates of BRICS?," International Review of Financial Analysis, Elsevier, vol. 69(C).
  46. Mensi, Walid & Sensoy, Ahmet & Vo, Xuan Vinh & Kang, Sang Hoon, 2020. "Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices," Resources Policy, Elsevier, vol. 69(C).
  47. Shaobo Long & Mengxue Zhang & Keaobo Li & Shuyu Wu, 2021. "Do the RMB exchange rate and global commodity prices have asymmetric or symmetric effects on China’s stock prices?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-21, December.
  48. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Time and frequency connectedness and network across the precious metal and stock markets: Evidence from top precious metal importers and exporters," Resources Policy, Elsevier, vol. 72(C).
  49. Rodrigo A. Morales Fernández Rafaelly & Roberto J. Santillán-Salgado, 2021. "Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-15, Enero - M.
  50. Xingxing He & Korhan K. Gokmenoglu & Dervis Kirikkaleli & Syed Kumail Abbas Rizvi, 2023. "Co‐movement of foreign exchange rate returns and stock market returns in an emerging market: Evidence from the wavelet coherence approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1994-2005, April.
  51. Dai, Zhifeng & Zhou, Huiting & Kang, Jie & Wen, Fenghua, 2021. "The skewness of oil price returns and equity premium predictability," Energy Economics, Elsevier, vol. 94(C).
  52. Shao, Liuguo & Zhang, Hua, 2020. "The impact of oil price on the clean energy metal prices: A multi-scale perspective," Resources Policy, Elsevier, vol. 68(C).
  53. 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).
  54. Sepehrdoust, Hamid & Ahmadvand, Shokoufeh & Mirzaei, Nesa, 2022. "Impact of information, communication technology and housing industry on financial market development," Technology in Society, Elsevier, vol. 69(C).
  55. Kumar, Suresh & Choudhary, Sangita & Singh, Gurcharan & Singhal, Shelly, 2021. "Crude oil, gold, natural gas, exchange rate and indian stock market: Evidence from the asymmetric nonlinear ARDL model," Resources Policy, Elsevier, vol. 73(C).
  56. Yıldırım, Durmuş Çağrı & Erdoğan, Fatma & Tarı, Elif Nur, 2022. "Time-varying volatility spillovers between real exchange rate and real commodity prices for emerging market economies," Resources Policy, Elsevier, vol. 76(C).
  57. Tanin, Tauhidul Islam & Sarker, Ashutosh & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2021. "Do volatility indices diminish gold's appeal as a safe haven to investors before and during the COVID-19 pandemic?," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 214-235.
  58. Joof, Foday & Samour, Ahmed & Ali, Mumtaz & Tursoy, Turgut & Haseeb, Mohammad & Hossain, Md. Emran & Kamal, Mustafa, 2023. "Symmetric and asymmetric effects of gold, and oil price on environment: The role of clean energy in China," Resources Policy, Elsevier, vol. 81(C).
  59. Li, Kaifeng & Devpura, Neluka & Cheng, Sijia, 2022. "How did the oil price affect Japanese yen and other currencies? Fresh insights from the COVID-19 pandemic," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
  60. 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.
  61. 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).
  62. Zhang, Zitao & Qin, Yun, 2022. "Study on the nonlinear interactions among the international oil price, the RMB exchange rate and China's gold price," Resources Policy, Elsevier, vol. 77(C).
  63. Philips, Abiodun S. & Akinseye, Ademola B. & Oduyemi, Gabriel O., 2022. "Do exchange rate and inflation rate matter in the cyclicality of oil price and stock returns?," Resources Policy, Elsevier, vol. 78(C).
  64. Tanin, Tauhidul Islam & Sarker, Ashutosh & Brooks, Robert, 2021. "Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period," International Review of Financial Analysis, Elsevier, vol. 77(C).
  65. Hashmi, Shabir Mohsin & Chang, Bisharat Hussain & Huang, Liangfang & Uche, Emmanuel, 2022. "Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model," Resources Policy, Elsevier, vol. 75(C).
  66. Mensi, Walid & Yousaf, Imran & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
  67. Mansoor Alam Khan & Riaz Ahmad & Dr. Muhammad Akram & Hafiz Muhammad Ishaq, 2021. "The Effect Of Macroeconomic Indicators On Stock Market: A Study On Asian Economies," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 10(1), pages 114-127, March.
  68. David Iheke Okorie & Boqiang Lin, 2022. "Crude oil market and Nigerian stocks: An asymmetric information spillover approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4002-4017, October.
  69. Sahu, Pritish Kumar & Bal, Debi Prasad & Kundu, Pradip, 2022. "Gold price and exchange rate in pre and during Covid-19 period in India: Modelling dependence using copulas," Resources Policy, Elsevier, vol. 79(C).
  70. Ghaemi Asl, Mahdi & Adekoya, Oluwasegun Babatunde & Rashidi, Muhammad Mahdi & Ghasemi Doudkanlou, Mohammad & Dolatabadi, Ali, 2022. "Forecast of Bayesian-based dynamic connectedness between oil market and Islamic stock indices of Islamic oil-exporting countries: Application of the cascade-forward backpropagation network," Resources Policy, Elsevier, vol. 77(C).
  71. Cui xiaozhong, & Yen-Ku, Kuo & Maneengam, Apichit & Cong, Phan The & Quynh, Nguyen Ngoc & Ageli, Mohammed Moosa & Wisetsri, Worakamol, 2022. "Covid-19 and oil and gold price volatilities: Evidence from China market," Resources Policy, Elsevier, vol. 79(C).
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  75. Jasleen Kaur & Khushdeep Dharni, 2022. "Application and performance of data mining techniques in stock market: A review," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 29(4), pages 219-241, October.
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