EVIDENCE ON RELATIONSHIPS BETWEEN OIL, GOLD, AND THE CHINA STOCK MARKET

Che-Ming Yang and Shuo-Ming Xing

The International Journal of Business and Finance Research, 2022, vol. 16, issue 1, 35-46

Abstract: Many studies exist on the relationship between capital markets, oil prices, and the gold price that provide many meaningful results. But the impact of oil and gold prices on the China market is rarely considered. We use variables such as the return of oil price, return of gold price, volatility index of Chicago Board Options Exchange, and exchange rate to explore their relationship with the Shanghai Securities Composite Index. Our results show the Shanghai Securities Composite Index is affected by these international factors. In addition, we calculated the threshold value for the threshold effect of oil price on the Shanghai Securities Composite Index but using the similar method, there is no threshold effect of gold price on the Shanghai Securities Composite Index.

Keywords: Oil Price; Chinese Market; Threshold Effect (search for similar items in EconPapers)
JEL-codes: G00 G10 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:16:y:2022:i:1:p:35-46

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