The Impact of Gold, Bond, Currency, Metals and Oil Markets on the USA Stock Market

Xanthi Partalidou, Apostolos Kiohos, Grigoris Giannarakis and Nikolaos Sariannidis
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Xanthi Partalidou: Department of Financial Applications, Technological Education Institute of West Macedonia, Kila, 50100 Kozani, Greece,
Apostolos Kiohos: Department of International and European Studies, University of Macedonia, 54006, Egnatia 156, Thessaloniki, Greece,
Grigoris Giannarakis: Department of Business of Administration, Technological Educational Institution of Western Macedonia, 51100, 6 km Paleas E.O Grevenon Kozanis, Grevena, Greece,
Nikolaos Sariannidis: Department of Financial Applications, Technological Education Institute of West Macedonia, Kila, 50100 Kozani, Greece

International Journal of Energy Economics and Policy, 2016, vol. 6, issue 1, 76-81

Abstract: This study examines the impact of financial and economic variables on the industrial Dow Jones Industrial Average (DJIA) using daily data over the sample period March 1995-May 2014. Gold, Bond, Currency, Metals and Oil market were taken into consideration, and, as well as, their impact on the DJIA. The results of the model GJR-Generalized Autoregressive Conditional Heteroskedasticity proved that the purchase of gold, of decade bonds (10 years Treasury Note) and the US Dollar/Yen exchange rate affect, negatively, the returns of DJIA. On the other hand, it was made clear that the purchase of industrial metals affects, positively, the returns of DJIA. Lastly, our findings indicate that the asymmetry of the oil returns affects- extremely negatively - the DJIA returns.

Keywords: GJR-Generalized Autoregressive Conditional Heteroskedasticity; Brent Oil; Gold; Metals; Equity Market; Exchange Rates; Bond Market; Market Risk (search for similar items in EconPapers)
JEL-codes: C5 G1 G32 R3 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2016-01-11

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