The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration
Turgut Türsoy () and
Resources Policy, 2018, vol. 55, issue C, 49-54
This paper investigates the long-run and short-run interaction between stock prices, gold prices and crude oil prices by applying monthly data from Turkey for the period between January 1986 and November 2016. This study uses the autoregressive distributed lag (ARDL) model to estimate the cointegration and short-run relationship. The robustness of the ARDL bounds test of cointegration is confirmed using the newly-developed combined cointegration, which also provides the same evidence for a strong long-run relationship. Additionally, this study uses FMOLS, DOLS and CCR cointegrating equations to examine the long-run coefficients between the variables. The evidence reveals that both short-run and long-run results confirm negative relationship between the gold price and stock prices, and a positive relationship between crude oil and stock prices. Furthermore, stock price converges to its long-run equilibrium position by 0.39% speed of adjustments using channel of gold prices and crude oil prices. Finally, the result of the Granger causality test indicates a short-run, long-run and joint unidirectional causation from gold prices to stock prices.
Keywords: Stock prices; Oil prices; Gold prices; Cointegration; Causality (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:55:y:2018:i:c:p:49-54
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