Modeling the relationships among gold price, oil price, foreign exchange, and the stock market index in Thailand

Abstract

This study examines the relationship among the price variables in the Thailand stock market, the foreign exchange market, the international gold market, and the crude oil market. Specifically, the study investigates whether (1) there exists a long-run equilibrium among oil price, gold price, foreign exchange, and the stock market index in Thailand, and (2) there is any dynamic effect of each asset market on other asset markets. All asset price series have shown both upward and downward trends over the study period. All monthly series in four markets from January 2000 to December 2018 are nonstationary and are integrated of order one. Then, the Johansen cointegration test is employed. The normalized cointegrating coefficients are negative. Such empirical result reveals that a significant long-run relationship exists among price variables in all asset markets, so that each asset class acts as a hedge against each other. The Granger causality test shows that the causations run from the stock price to the foreign exchange rate and the international gold price to the foreign exchange rate. Other short-run relationships have no significant causal links.

Composite Stock Price Index and Currency Exchange Rates of 4 Countries in Southeast Asia after Covid-19

“…This condition shows that CSPI and Malaysia Ringgit ER have a one-way relationship, namely ER affects CSPI in Malaysia. These results are in line with research by (Thakolsri, 2021) which also explains the effect of ER to CSPI in Malaysia.…”