Relationship between Gold and Oil Prices and Stock Market Returns

Muhammad Mansoor Baig (), Muhammad Shahbaz (), Muhammad Imran (), Mehwish Jabbar () and Qurat Ul Ain ()
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Muhammad Mansoor Baig: University of Sargodha
Muhammad Shahbaz: University of Sargodha
Muhammad Imran: University of Sargodha
Mehwish Jabbar: University of Sargodha
Qurat Ul Ain: University of Sargodha

Acta Universitatis Danubius. OEconomica, 2013, issue 9(5), 28-39

Abstract: This study objective to examine the relationship between gold prices, oil prices and KSE100 return. This study important for the investor whose want to invest in real assets and financial assets. This study helps investor to achieve the portfolio diversification. This study uses the monthly data of gold prices, KSE100, and oil prices for the period of 2000 to 2010 (monthly). This study applied Descriptive statistics, Augmented Dickey Fuller test Phillip Perron test, Johansen and Jelseluis Co-integration test, Variance Decomposition test to find relationship. This study concludes that Gold prices growth, Oil prices growth and KSE100 return have no significant relationship in the long run. This study provides information to the investors who want to get the benefit of diversification by investing in Gold, Oil and stock market. In the current era Gold prices and oil prices are fluctuating day by day and investors think that stock returns may or may not affected by these fluctuations. This study is unique because it focuses on current issues and takes the current data in this research to help the investment institutions or portfolio managers.

Keywords: KSE100 return; descriptive statistics; co-integration test; unit root test; granger causality test (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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