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Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets

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  • Raza, Naveed
  • Jawad Hussain Shahzad, Syed
  • Tiwari, Aviral Kumar
  • Shahbaz, Muhammad

Abstract

This paper examines the asymmetric impact of gold prices, oil prices and their associated volatilities on stock markets of emerging economies. Monthly data are used for the period January 2008 till June 2015. The nonlinear ARDL approach is applied in order to find short-run and long-run asymmetries. The empirical results indicate that gold prices have a positive impact on stock market prices of large emerging BRICS economies and a negative impact on the stock markets of Mexico, Malaysia, Thailand, Chile and Indonesia. Oil prices have a negative impact on stock markets of all emerging economies. Gold and oil volatilities have a negative impact on stock markets of all emerging economies in both the short- and the long-run. The results indicate that the stock markets in the emerging economies are more vulnerable to bad news and events that result in uncertain economic conditions.

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  • Raza, Naveed & Jawad Hussain Shahzad, Syed & Tiwari, Aviral Kumar & Shahbaz, Muhammad, 2016. "Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets," Resources Policy, Elsevier, vol. 49(C), pages 290-301.
  • Handle: RePEc:eee:jrpoli:v:49:y:2016:i:c:p:290-301
    DOI: 10.1016/j.resourpol.2016.06.011
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    Cited by:

    1. Mensi, Walid & Hammoudeh, Shawkat & Shahzad, Syed Jawad Hussain & Shahbaz, Muhammad, 2017. "Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 258-279.
    2. repec:eee:jrpoli:v:53:y:2017:i:c:p:208-218 is not listed on IDEAS
    3. Afees A. Salisu & Umar B. Ndako, 2017. "A new look at the stock price-exchange rate nexus," Working Papers 031, Centre for Econometric and Allied Research, University of Ibadan.
    4. Afees A. Salisu & Oluwatomisinn Oyewole & Ismail O. Fasanya, 2017. "Modelling Return and Volatility Spillovers in Global Foreign Exchange Markets," Working Papers 030, Centre for Econometric and Allied Research, University of Ibadan.
    5. repec:eee:riibaf:v:42:y:2017:i:c:p:39-60 is not listed on IDEAS
    6. repec:ebl:ecbull:eb-17-00288 is not listed on IDEAS
    7. repec:eee:finlet:v:23:y:2017:i:c:p:23-30 is not listed on IDEAS
    8. El khamlichi, Abdelbari & HOANG, Thi Hong Van & Wong, Wing-Keung, 2017. "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," MPRA Paper 76282, University Library of Munich, Germany.
    9. Latheef, Udhula Abdul & Masih, Mansur, 2017. "Asymmetrical effects of macro variables on commercial bank deposits: evidence from Maldives based on NARDL," MPRA Paper 86361, University Library of Munich, Germany.
    10. repec:eee:ecmode:v:64:y:2017:i:c:p:443-448 is not listed on IDEAS
    11. Ahmed, Khalid & Bhutto, Niaz Ahmed & Kalhoro, Muhammad Ramzan, 2017. "Decomposing the links between oil price shocks and macroeconomic indicators: Evidence from SAARC region," MPRA Paper 84901, University Library of Munich, Germany.
    12. repec:eee:jrpoli:v:52:y:2017:i:c:p:389-392 is not listed on IDEAS
    13. repec:eee:jrpoli:v:55:y:2018:i:c:p:49-54 is not listed on IDEAS
    14. BENKRAIEM, Ramzi & Lahiani, Amine & MILOUDI, Anthony & Shahbaz, Muhammad, 2018. "New Insights into the US Stock Market Reactions to Energy Price Shocks," MPRA Paper 84778, University Library of Munich, Germany, revised 18 Feb 2018.

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