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

Singhal, Shelly; Choudhary, Sangita; Biswal, Pratap Chandra

doi:10.1016/j.resourpol.2019.01.004

Cited by 232 publications

(155 citation statements)

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“…When oil price rises, oil exporters revenues from oil rise. A vast empirical literature has examined the relationship between oil and gold ( Cashin et al, 1999 ; Lescaroux, 2009 ; Singhal et al, 2019 ; Soytas et al, 2009 ). Therefore, the market dynamics show important variations during this new pandemic that affect all the financial and commodity markets worldwide.…”

Section: Introductionmentioning

confidence: 99%

Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices

et al. 2020

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This paper examines the impacts of COVID-19 on the multifractality of gold and oil prices based on upward and downward trends. We apply the Asymmetric Multifractal Detrended Fluctuation Analysis (A-MF-DFA) approach to 15-min interval intraday data. The results show strong evidence of asymmetric multifractality that increases as the fractality scale increases. Moreover, multifractality is especially higher in the downside (upside) trend for Brent oil (gold), and this excess asymmetry has been more accentuated during the COVID-19 outbreak. Before the outbreak, the gold (oil) market was more inefficient during downward (upward) trends. During the COVID-19 outbreak period, we see that the results have changed. More precisely, we find that gold (oil) is more inefficient during upward (downward) trends. Gold and oil markets have been inefficient, particularly during the outbreak. The efficiency of gold and oil markets is sensitive to scales, market trends, and to the pandemic outbreak, highlighting the investor sentiment effect.

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Section: Introductionmentioning

confidence: 99%

Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices

et al. 2020

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“…A ij . Many researchers [1,10,26,30,36,39,40,59,60,64] use the autoregressive-distributed lag model (ARDL) and the bounds testing methodology because these models can be used with a mixture of I(0) and I(1) data. In our study, we have both stationary and non-stationary variables so this approach will help in our research.…”

Section: Econometric Methodsmentioning

confidence: 99%

“…For the Mexican economy, Delgado, Delgado, and Saucedo [38] highlighted that Mayan crude oil has a negative and statistically significant impact on the exchange rate, whilst a rise of the exchange rate has a positive effect on the Mexican stock market index. Moreover, by way of the ARDL bound test of cointegration, Singhal, Choudhary, and Biswal [39] documented that global gold prices positively influence the stock price of Mexico, although oil prices impact them negatively. Table 1 provides a brief review of the outcomes of earlier studies about the connections between oil prices and stock market returns.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The energy market can undoubtedly be a driver of economic growth and job creation in a developing country, such as Romania. Previous examinations were undertaken for African stock markets [20,23], Asian countries [6,14,15,[24][25][26][27][28], European nations [18,29], the US stock market [1,16,[30][31][32], Egypt [33], Gulf states [7,34,35], India [36], Islamic stocks [19], Lebanon [37], Mexico [38,39], and Turkey [40,41]. To the best of our knowledge, this is the first investigation to examine the linkage between the energy market and the Romanian stock market.…”

Section: Introductionmentioning

confidence: 99%

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On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

2019

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his paper aims to establish whether the Romanian energy market has an influence on the good running of the associated capital market. In order to achieve this objective, we approached a series of econometric techniques that allowed us to study the cointegration between variables, the presence of short-term or long-term causality relationships, and the application of impulse-response functions to analyze how the BET index responds to the shocks applied. The empirical findings from the Johansen cointegration test, ARDL model, and VAR/VECM models confirmed both the presence of a long-term and short-term relationship between the energy market and capital market. From all energy market indicators, only hard coal presented a causal relationship with the BET index. We also noticed a unidirectional relationship from the WTI crude oil to the Romanian capital market. Our findings should be of interest to researchers, regulators, and market participants.

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“…Uzun vadede petrol fiyatları ve döviz kuru pay senedi piyasasını negatif etkilemektedir. Altın fiyatlarının da pay senedi piyasası hareketlerinde etkisi vardır sonuçlarına ulaşılmıştır(Singhal, Choudhary, & Biswal, 2019). 2014 -2018 döneminde Amerika için S&P 500 VIX Futures endeksi günlük işlem hacmiyle S&P 500 VIX Futures endeksi ilişkisi incelenmiştir.…”

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Determination of Macroeconomic Factors Influencing Borsa Istanbul Financial Sector Stock Prices

Daver

2020

The Journal of International Lingual Social and Educational Sciences

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Finansal bağlantılılık kapsamında tesis edilecek görece proaktif risk yönetim sistemlerinin kurulmasında, kullanılması uygun olabilecek faktörlerin tespit edilmesinin amaçlandığı çalışmada 2011:01-2018:12 dönemi için TCMB EVDS'den seçilen ayılık verilerle Borsa İstanbul mali sektör endeksi ve Borsa İstanbul ulusal endeksi getirilerinin çoklu doğrusal regresyon modeliyle açıklanabilirliği araştırılmıştır. Borsa İstanbul ulusal endeksi için kurulan modelin istatistiki olarak anlamlı olmadığı, Borsa İstanbul mali sektör endeksi için kurulan modelin ise istatistiki olarak anlamlı olmasına rağmen modelin açıklama gücünün düşük olduğu ve M2 haricinde diğer tüm değişkenlerin istatistiki olarak anlamsız görüldüğü tespit edilmiştir. Değişen varyans probleminin bulunma ihtimaline yönelik bulguların tespit edilmesiyle risk gözetim mekanizması tesis edilmeye çalışırken uygun olabilecek faktörlerin belirlenmesi için farklı modellerle çalışmanın daha uygun olacağı sonucuna ulaşılmıştır.

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

Cited by 232 publications

References 49 publications

Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices

Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices

On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

Determination of Macroeconomic Factors Influencing Borsa Istanbul Financial Sector Stock Prices

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