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

Naveed Raza , Syed Jawad Hussain Shahzad , Aviral Kumar Tiwari , Muhammad Shahbaz (1)

1 MRM - Montpellier Research in Management

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.

Mots clés: Gold prices; Nonlinear ARDL; Oil prices; Stock prices

Domaines: Économie et finance quantitative [q-fin]

Naveed Raza, Syed Jawad Hussain Shahzad, Aviral Kumar Tiwari, Muhammad Shahbaz. Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets. Resources Policy, 2016, 49, pp.290-301. ⟨10.1016/j.resourpol.2016.06.011⟩. ⟨hal-02013747⟩