Interaction Between the Prices of Crude Oil, Natural Gas, and Gold with Conventional and Sustainability Stock Market Indices

Korhan K. Gökmenoğlu and Yeliz Menteş
Additional contact information
Korhan K. Gökmenoğlu: Ankara HBV University
Yeliz Menteş: Eastern Mediterranean University

A chapter in Global Economic Challenges, 2023, pp 123-140 from Springer

Abstract: Abstract Since the release of the Brundtland Report (Brundtland, 1987), environmental issues and sustainable growth have gained increasing attention worldwide. This study analyzes the relationship between crude oil prices, natural gas prices, gold prices, Dow Jones Sustainability World Index (W1SGI), and Dow Jones Industrial Average Index (DJI) using time series econometrics. The monthly data set covers the December 2011–November 2021 period. Empirical results show that the speed of adjustment to the long-run equilibrium is 8.4% for W1SGI and 3.3% for DJI. In the long run, the effect of crude oil prices and gold prices on both stock market indices are negative and positive, respectively; however, natural gas prices have a positive impact just on W1SGI. Besides, crude oil prices have a bidirectional and unidirectional causal relationship with W1SGI and DJI. Our findings could assist investors in formulating their hedging and diversification strategies. In addition, obtained results could be useful for policymakers to design policies in line with the objectives of international environmental agreements.

Keywords: Crude oil; Natural gas; Gold; Dow Jones Sustainability World Index; Dow Jones Industrial Average Index (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:prbchp:978-3-031-23416-3_10

Ordering information: This item can be ordered from
http://www.springer.com/9783031234163

DOI: 10.1007/978-3-031-23416-3_10

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().