Covid-19 and oil and gold price volatilities: Evidence from China market

Cui Xiaozhong,, Kuo Yen-Ku, Apichit Maneengam, Phan The Cong, Nguyen Ngoc Quynh, Mohammed Moosa Ageli and Worakamol Wisetsri

Resources Policy, 2022, vol. 79, issue C

Abstract: Gold and crude oil are the influential commodities of the stock markets and real economy of the world in financial crises as well as in COVID-19 periods. However literature mainly focused on the effects of these commodities' prices only, and the volatilities in the prices of these commodities altogether with the prices got little attention. To fill in a major research gap, our study intends to estimate the dynamic relationship between oil prices, gold prices, oil prices volatilities and gold prices volatilities on the stock market of China. Using daily data over the period from 2009 to 2021, the study applied Autoregressive Distributed Lag (ARDL) bound test approach for the purpose of empirical estimation. Moreover, Non linear ARDL and asymmetric Causality analysis has also been applied for more comprehensive asymmetric estimation. The findings of our study indicated that gold prices and oil prices negatively affect stock market of China in the long run. In terms of implied volatility index of these commodities, study finds negative impact of price volatility of oil but positive impact of the price volatility of gold on the country's stock market in the long run. However, in the short run, only oil price and gold prices have significant effect on the China's stock market. On the basis of our findings, we recommend the investors to make rational decisions in response to the uncertainties in these markets and should consider gold as a safe haven to hedge themselves in times of uncertainty. Policymakers should take appropriate actions and adopt proper mechanisms for dealing with the quick uncertainty flow of information from the oil to the stock market.

Keywords: oil prices; Gold prices; OVX; GVZ; China stock Market; ARDL bound test (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420722004676
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004676

DOI: 10.1016/j.resourpol.2022.103024

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().