Gold prices’ returns

This study is an attempt to explore the dynamic relationship among world gold price, world crude oil WTI price, exchange rate of VND/USD and Vietnamese stock market index returns. Daily data from 2nd May 2013 to 27th April 2018 is taken, constituting 1245 observations. To capture dynamic and stable relationship among these variables, we use Vector Autoregressive Technique. The results show that each variable is highly affected by changes of value and past value of its and the other variables’ at different degree.

13p tethientran 27-07-2023 7 4   Download

This study aims to investigate the association between Thai stock market and the commodity markets using 20-year historical monthly data from January 2000 to January 2020. Commodity prices used in the research consist of the prices of crude oil, natural gas, liquified natural gas, commodity agricultural raw materials, and gold. The traditional VAR is used in analyzing the relations between the commodity prices and stock index. The findings show how changes in each commodity prices had significant influence on the stock market.

7p nguaconbaynhay10 22-02-2021 21 2   Download

Coronavirus (2019-nCoV) not only has an effect on human health but also on economic variables in countries around the world. Coronavirus has an effect on the price of black gold and on its volatility. The shock on all markets is already very strong. Volatility patterns in Brent crude oil simulation are examined during COVID-19 crisis that significantly affected the oil market volatility. The selected crisis of coronavirus arose due to different triggers having diverse implications for oil returns volatility.

12p nguaconbaynhay10 22-02-2021 11 1   Download

This study documents the impact of price variations in global markets, specifically oil, on stock returns at Pakistan stock exchange (PSX). We select three global markets (oil, gold and currency exchange) and two PSX indices (conventional and Islamic) for a period 2009-2020 to provide evidence. Monthly data for the selected time series is used for analysis. Analysis techniques include descriptive statistics, stationarity testing, Johansen cointegration, correlation and regression analysis.

8p kethamoi7 15-08-2020 15 3   Download

Utilizing forty-five years of daily London gold price fixes, this paper finds the presence of dual long-memory processes in the 10:30am fix and the 3:00pm price fix utilizing ARFIMA-FIGARCH and ARFIMA-FIEGARCH models, respectively. This research proves that the return and volatility of the London Gold price fixes have predictable structures and does not conform to the weakform efficient assumption of Fama (1970). This study also suggests that the London gold price fixes do not exhibit leverage effects and asymmetric volatility response properties.

10p trinhthamhodang2 21-01-2020 19 0   Download