Dynamic linkages among oil price, gold price, exchange rate, and stock market in India

Jain, Anshul; Biswal, Pratap Chandra

doi:10.1016/j.resourpol.2016.06.001

Cited by 296 publications

(186 citation statements)

References 33 publications

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“…After a preliminary data inspection, and in line with many contributions relying on this approach (see e.g., Ding and Vo (2012) and Jain and Biswal (2016) with regards to "safe haven" assets), a VAR (1) specification was selected to model the mean returns equation system. Alternative filtering procedures (such as an AR(1) specification for return series) produced substantially identical results.…”

Section: Model Estimation and Dynamic Conditional Correlation Patternsmentioning

confidence: 99%

Safe-Haven Assets, Financial Crises, and Macroeconomic Variables: Evidence from the Last Two Decades (2000–2018)

Tronzano

2020

JRFM

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This paper focuses on three "safe haven" assets (gold, oil, and the Swiss Franc) and examines the impact of recent financial crises and some macroeconomic variables on their return co-movements during the last two decades. All financial crises produced significant increases in conditional correlations between these asset returns, thus revealing consistent portfolio shifts from more traditional towards safer financial instruments during turbulent periods. The world equity risk premium stands out as the most relevant macroeconomic variable affecting return co-movements, while economic policy uncertainty indicators also exerted significant effects. Overall, this evidence points out that gold, oil, and the Swiss currency played an important role in global investors' portfolio allocation choices, and that these assets preserved their essential "safe haven" properties during the period examined.

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Section: Model Estimation and Dynamic Conditional Correlation Patternsmentioning

confidence: 99%

Safe-Haven Assets, Financial Crises, and Macroeconomic Variables: Evidence from the Last Two Decades (2000–2018)

Tronzano

2020

JRFM

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“…With respect to literature's main conclusions concerning on the investigation of the dynamic nexus between gold market and oil market, the existing studies employing the methods fall into two groups: those that use a linear Granger causality and non‐linear Granger causality methods and those that use causality‐in‐quantile method. First group studies examining the causality between gold market and oil market using these methods have been conducted by Zhang and Wei (), Jain and Ghosh (), Bildirici and Turkmen (), Jain and Biswal (), Kumar (), Kanjilal and Ghosh (), Gil‐Alana, Yaya, and Awe (), Bilgin, Gogolin, Lau, and Vigne (), Sephton and Mann (), and Mei‐Se, Shu‐Jung, and Chien‐Chiang (). For instance, Bildirici and Turkmen (), Jain and Biswal (), Kumar (), Kanjilal and Ghosh (), Mei‐Se et al (), and Sephton and Mann () show that there is a bidirectional causality between crude oil prices and gold prices.…”

Section: Introductionmentioning

confidence: 99%

On the time‐varying links between oil and gold: New insights from the rolling and recursive rolling approaches

Balcılar

Özdemir

Shahbaz³

2018

Int. J Fin Econ

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This study analyses the dynamic linkages between oil and gold prices for the spot and 1‐ to 12‐month futures markets using monthly data over the period 1983–2016. To do this, we use the rolling and recursive rolling Granger causality approaches. The distinguishing feature of this study from the previous studies is that this is the first study investigating the causal links between oil and gold using time‐varying causality tests. The findings show that the causality links between oil and gold display strong time variation. Although causal links are not detected for most of the study period, strong bidirectional or unidirectional causality is found in several subsamples. The duration of the periods with causality links varies from a few months to 3 years, whereas the duration for the noncausality periods might be 15 years long. By date stamping the causality links between oil and gold, our paper discovers that causality from oil to gold is related to large oil price changes, whereas causality from gold to oil is related to large financial crises. The evidence obtained in the paper points out the dangers of assuming a constant causality link between oil and gold markets because these links might break down unexpectedly. Our findings point out to the dangers of assuming noncausality between oil and gold particularly in hedging oil price risk using gold.

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“…For example, Jain and Biswal (2016) This paper is organized as follows. The next section briefly reviews the existing literature in related areas of research.…”

Section: Related Literaturementioning

confidence: 99%

“…For example, Jain and Biswal (2016) investigated the dynamic linkages between the prices of gold and Indian stocks and uncovered a strong relationship between gold and stocks, suggesting the importance of using gold to restrain stock market volatility. However, the study by Basher and Sadorsky (2016) was based on data from 23 emerging economies, which indicated that there was a positive link between gold and stocks in most emerging economies.…”

Section: Related Literaturementioning

confidence: 99%

Does Gold Act as a Hedge and a Safe Haven for China’s Stock Market?

Chen

Wang

2017

IJFS

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This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments of China's stock markets for analysis. Our main objective was to examine the time-varying correlations between gold and stock and to check the effectiveness of gold as a hedge or a safe haven for stocks. Results showed that: (1) the dynamic conditional correlations switched between positive and negative values over the periods under study; (2) due to the increasing investment demand of gold, the hedging effect of gold on China's stock market has strengthened remarkably. Gold acts as a safe haven for only the latest two of the five bear markets analyzed (12 June 2015-26 August 2015 and 22 December 2015-29 February 2016); and (3) for non-bear markets, gold does not offer good risk hedging.

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Dynamic linkages among oil price, gold price, exchange rate, and stock market in India

Cited by 296 publications

References 33 publications

Safe-Haven Assets, Financial Crises, and Macroeconomic Variables: Evidence from the Last Two Decades (2000–2018)

Safe-Haven Assets, Financial Crises, and Macroeconomic Variables: Evidence from the Last Two Decades (2000–2018)

On the time‐varying links between oil and gold: New insights from the rolling and recursive rolling approaches

Does Gold Act as a Hedge and a Safe Haven for China’s Stock Market?

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