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An examination of impact of gold and oil prices on the stock markets indices during COVID-19

Author

Listed:
  • Samreen Fatima

    (‡Department of Statistics, University of Karachi, Pakistan)

  • Fouzia Sohail

    (��Applied Economics Research Centre, University of Karachi, Pakistan)

  • Yumna Sajid

    (‡Department of Statistics, University of Karachi, Pakistan)

Abstract

Understanding stock market volatility has remained significantly important because of its diverse implications. The current pandemic COVID-19 has brutally exaggerated the financial market across the board. This study inspects the volatility of Pakistan, India and USA stock markets due to pandemic of COVID-19 using the GARCH model. Furthermore, the price of oil and gold is used as exogenous variables in the conditional mean equation of the GARCH (1,1) model to assess the volatility of stock indices KSE-100 (Pakistan), BSESN (India) and NASDAQ (USA). Moreover, the data covering the period from 1st June 2018 to 31st December 2022 are divided into pre-COVID-19 (1st June 2018 to 30th January 2020) and during-COVID-19 (31st January 2020 to 31st December 2022. Findings reveal that the stock market dependency of NASDAQ experienced oil and gold impact followed by pre-COVID-19 and during-COVID-19 periods, respectively. Whereas, the Indian stock market had a significant impact on gold and oil during the COVID-19 period but the Pakistani stock market was not influenced by oil and gold in the entire considered study period. In addition, NASDAQ market and BSESN have the highest risk-return trade-off and are more persistent followed by pre-COVID-19 and during-COVID-19 periods, respectively.

Suggested Citation

  • Samreen Fatima & Fouzia Sohail & Yumna Sajid, 2025. "An examination of impact of gold and oil prices on the stock markets indices during COVID-19," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-18, June.
    • Handle: RePEc:wsi:ijfexx:v:12:y:2025:i:02:n:s2424786323500111
    DOI: 10.1142/S2424786323500111
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    Keywords

    COVID-19; GARCH; KSE-100; BSESN; NASDAQ;
    All these keywords.

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