The links between gold, oil prices and Islamic stock markets in a regime switching environment

Chkili, Walid

doi:10.1007/s40822-022-00202-y

Cited by 14 publications

(11 citation statements)

References 57 publications

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“…This result is supported by an examination of the short-term link between the stock and gold markets using impulse-response functions, which reveals evidence of positive/negative co-movements with statistical significance in all markets except for the gold market. Chkili (2022) explored the relationships between gold, crude oil, and the Islamic stock market from 1996 through 2020, which included the recent 2020 crisis. The empirical findings are summarized as follows: (i) The markets under consideration have some significant linkages.…”

Section: Literature Reviewmentioning

confidence: 99%

Portfolio rebalancing in times of stress: Capital markets vs. Commodities

Dias

Horta

Chambino

2023

JEA

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In light of the events of 2020 and 2022, this study aims to examine the co-movements between the capital markets of the Netherlands (AEX), France (CAC 40), Germany (DAX 30), the United Kingdom (FTSE 100), Italy (FTSE MIB), Spain (IBEX 35), Russia (IMOEX), and spot prices of crude oil (WTI), silver (XAG), gold (XAU), and platinum (XPT) from January 1, 2018 to December 31, 2022. The purpose of this analysis is to answer the following research question: (i) Did the events of 2020 and 2022 increase the shocks between stock markets and WTI, XAG, XAU, and XPT prices? The findings indicate that time series do not follow a normal distribution and are stationary. In response to the question of investigation, we found that during the Tranquil period, it was possible to verify the existence of 28 causal relationships (out of 110 possibilities). During the stress period, there was a very significant increase in the number of causal relationships between the market pairs under analysis (62 causal relationships out of 110 possibilities), including a relative increase in the influence of commodities on capital markets and capital markets on commodities. These findings show that during the events of 2020 and 2022, capital markets and commodities significantly accentuated their co-movements among themselves, indicating that alternative markets such as WTI, XAG, XAU, and XPT do not provide safe-haven properties. These results have implications for portfolio diversification during times of global economic uncertainty.

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Section: Literature Reviewmentioning

confidence: 99%

Portfolio rebalancing in times of stress: Capital markets vs. Commodities

Dias

Horta

Chambino

2023

JEA

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“…(Samanta and Zadeh, 2012;Partalidou et al, 2016;Raza et al, 2016;Arfaoui and Rejeb, 2017;Wei and Guo, 2017;Karhan and Aydın, 2018;Pandey and Vipul, 2018;Alio et al, 2019;Singhal et al, 2019;Kumar et al, 2019;Majidli and Guliyev, 2020;Kumar et al, 2021;Kumau et al, 2020;Gherghina et al, 2020;Humbatova et al, 2020;Karakuş, 2021). Some of the empirical studies employed vector autoregressive model (VAR) (Ding et al, 2016;Chkili, 2022;Grabias, 2022;Nairobi et al, 2022;Kelesbayev et al, 2022). However, not a single study was able to explain the specific relationship between gold, crude oil, and the stock market (Uthumrat, 2022 p.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of the effect of Energy Prices on Stock Indexes During the Epidemic Crisis

Guliyeva

2023

IJEEP

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Petroleum and natural gas, which are among the most used energy sources in the world, have a significant impact on financial markets and macroeconomic indicators as they are used as raw materials in many fields. For this reason, US, England, Japan, Russia, Turkey, Brazil, and India, as energy importers and developing countries, may be affected positively or negatively by changes in energy prices. The main purpose of this study is to examine the correlation between Brent oil, crude oil (WTI), and natural gas (NG) prices and Moscow Stock Exchange Index (RTSI), Borsa Istanbul Index (XU100), Bovespa Brazilian Stock Exchange Index (BVSP), Indian National Stock Exchange Nifty 50 Index (NSEI), Standard and Poor’s 500 Index (S and P 500), London Stock Exchange (FTSE 100), and Тokyo Stock Exchange (N225). In the study, weekly data between February 16, 2020 and December 26, 2021 were examined. Vector autoregressive (VAR) model was used to examine the correlation between the variables included in the analysis, and the direction of the correlation between the variables was determined by the Granger causality test. According to the results of the VAR model, Brent oil and crude oil prices have significant effects on the indices included in the analysis; however, natural gas price does not have a significant effect on indices, Brent oil, and crude oil prices. On the other hand, the results of the Granger causality test confirm the findings of the VAR analysis. Granger causality test results reveal that in Granger’s sense, only BVSP and NSEI are the cause of Brent oil price, RTSI, BVSP, NSEI, XU100, S and P 500, FTSE 100, and N225 are the cause of WTI, and WTI is the cause of NSEI.

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“…Using a similar method between 4 January 2010 and 30 November 2020, Bahloul and Khemakhem (2021) affirm that commodity markets exhibit the greatest source of shocks to Islamic equity market. Chkili (2022) examine the association between gold, oil prices and Islamic stock between 1996 and 2020 to account for the COVID-19 crisis, by means of "standard VAR and Markov switching VAR models". They buttressed a negative or the absence of association amid gold market Islamic stock markets, thus suggesting that gold has the potentials of hedging and acting as a "safe haven" during episode of unfavorable market turbulent.…”

Section: Oil Prices and The Housing Marketmentioning

confidence: 99%

Oil prices and gold prices on housing market in China: novel findings from the bootstrap approach

Ali

Samour

Joof

et al. 2022

IJHMA

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Purpose This study aims to assess how real income, oil prices and gold prices affect housing prices in China from 2010 to 2021. Design/methodology/approach This study uses a novel bootstrap autoregressive distributed lag (ARDL) testing to empirically analyze the short and long links among the tested variables. Findings The ARDL estimations demonstrate a positive impact of oil price shocks and real income on housing market prices in both the phrases of the short and long run. Furthermore, the results reveal that gold price shocks negatively affect housing prices both in the short and long run. The result can be attributed to China’s housing market and advanced infrastructure, resulting in a drop in housing prices as gold prices increase. Additionally, the prediction of housing market prices will provide a base and direction for housing market investors to forecast housing prices and avoid losses. Originality/value To the best of the authors’ knowledge, this is the first attempt to analyze the effect of gold price shocks on housing market prices in China.

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The links between gold, oil prices and Islamic stock markets in a regime switching environment

Cited by 14 publications

References 57 publications

Portfolio rebalancing in times of stress: Capital markets vs. Commodities

Portfolio rebalancing in times of stress: Capital markets vs. Commodities

Analysis of the effect of Energy Prices on Stock Indexes During the Epidemic Crisis

Oil prices and gold prices on housing market in China: novel findings from the bootstrap approach

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