Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets

Naveed Raza, Syed Jawad Hussain Shahzad, Aviral Tiwari and Muhammad Shahbaz

Post-Print from HAL

Abstract: This paper examines the asymmetric impact of gold prices, oil prices and their associated volatilities on stock markets of emerging economies. Monthly data are used for the period January 2008 till June 2015. The nonlinear ARDL approach is applied in order to find short-run and long-run asymmetries. The empirical results indicate that gold prices have a positive impact on stock market prices of large emerging BRICS economies and a negative impact on the stock markets of Mexico, Malaysia, Thailand, Chile and Indonesia. Oil prices have a negative impact on stock markets of all emerging economies. Gold and oil volatilities have a negative impact on stock markets of all emerging economies in both the short- and the long-run. The results indicate that the stock markets in the emerging economies are more vulnerable to bad news and events that result in uncertain economic conditions.

Keywords: Gold prices; Nonlinear ARDL; Oil prices; Stock prices (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (170)

Published in Resources Policy, 2016, 49, pp.290-301. ⟨10.1016/j.resourpol.2016.06.011⟩

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

Related works:
Journal Article: Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)
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:hal:journl:hal-02013747

DOI: 10.1016/j.resourpol.2016.06.011

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().