The impact of exchange rate, oil price and gold price on the Kuwaiti stock market: A wavelet analysis

The aim of the present study was to analyze the impact of crude oil prices, the US treasury 10-year bond yield rate, and gold prices on S&P 500 stock prices using daily data of the period from 04/01/2010 to 19/11/2022. For that purpose, this study employed the ARDL method. According to the results of the ARDL method, there was no statistically significant relationship between S&P 500 stock prices and gold prices, oil prices, and US treasury 10-year bond yield rates in the long term. However, while the impact of US treasury 10-year bond yield rates and gold prices was positive in the long term, the impact of oil prices on US stock prices was negative. In the short term, the impact of oil and gold prices on stock prices was statistically significant. Consequently, study of the short-term coefficients revealed a positive relationship between US stock prices and gold and oil prices. As a result, gold and oil prices had a positive impact on US stock prices in the short term.

Globalization and liberalization have heightened the volatility and complexity of financial markets, prompting investors to diversify their portfolios across different asset classes. This study investigates the dynamic interrelationships among the Indian stock market benchmark index (Nifty 50), gold prices, oil prices (Brent and WTI), and the USD/INR exchange rate, using high-frequency daily data from January 2009 to March 2023. By employing a Vector Error Correction Model (VECM) and Variance Decomposition Analysis (VDA), the study explores both the short-term and long-term dynamics between these asset classes. The results reveal that a long-term equilibrium exists among the variables, with significant cointegration, indicating that investors may not benefit from diversifying their portfolios across these assets. The VECM analysis further shows that the stock market is influenced by changes in gold prices, exchange rates, and oil prices, with long-run causality running from these variables to the Nifty 50. Variance decomposition highlights the growing impact of gold, exchange rates, and oil prices on stock market fluctuations over time. These findings provide crucial insights for investors, portfolio managers, and policy-makers, suggesting that external shocks in commodity prices and exchange rates can significantly affect stock market performance. The study concludes that understanding these dynamic linkages is essential for managing investment risks and formulating effective monetary and fiscal policies.

Currently emerging markets are passing through economic turmoil due to considerable increases in the prices of oil and gold with significant variation in the foreign exchange market. All the macroeconomic variables are touching the highest value which was never occurred in the history of Pakistan. Taking advantages of the current situation the study has examined the impact of gold prices, oil prices and exchange rate on stock market performance. For this purpose, the study has used daily data of these macroeconomic variables for the period of 2003 to 2018. By using time series data analysis, it reveals that there is no co-integration or long-term relation among these variables; however, the vector autoregressive model showed significant short-term relation among the securities market performance, foreign exchange rate, prices of oil and gold. The analysis also suggests that significant changes in the prices of oil, foreign exchange rates and the prices of gold have a negative lagged effect on the performance of the stock market.

Purpose The purpose of the study is to find out the impact of gold and oil prices on the stock market. Design/methodology/approach This study uses the data on gold prices, stock exchange and oil prices for the period 1991–2016. This study applied descriptive statistics, augmented Dickey–Fuller test, correlation and autoregressive distributed lag test. Findings The data analysis results showed that gold and oil prices have a significant impact on the stock market. Research limitations/implications Following empirical evidence of this study, the authors recommend that investors should invest in gold because the main reason is that hike in inflation reduces the real value of money, and people seek to invest in alternative investment avenues like gold to preserve the value of their assets and earn additional returns. This suggests that investment in gold can be used as a tool to decline inflation pressure to a sustainable level. This study was restricted to use small sample data owing to the availability of data from 1991 to 2017 and could not use structural break unit root tests with two structural break and structural break cointegration approach, as these tests require high-frequency data set. Originality/value This study provides information to the investors who want to get the benefit of diversification by investing in gold, oil and stock market. In the current era, gold prices and oil prices are fluctuating day by day, and investors think that stock returns may or may not be affected by these fluctuations. This study is unique because it focusses on current issues and takes the current data in this research to help investment institutions or portfolio managers.

Asymmetric impact of oil price and exchange rate on disaggregation price inflation

This paper has made an attempt to evaluate the combined impact of crude oil prices and exchange rate on the performance of Indian stock market. As the impact of dollar nominated oil prices on stock prices may not be quite relevant for Indian context. Therefore, in this study WTI Crude oil prices per Dollars along with the USD/Rupee exchange rate would be more meaningful and relevant to understand the impact of oil prices on stock market by using monthly data from 2003 to 2016 for S&P CNX Nifty Index, WTI Crude oil prices per Barrel (Dollars) and Dollar/Rupee Exchange rate. All the series were found to be stationery at First difference. The Granger causality tests revealed that there exists a Bi directional causality between stock prices and exchange rates in the short run i.e. stock prices lead exchange rates in the short run, but result of Johansen cointegration suggested that there is no long run relationship between these two financial variables. The results of the Johansen cointegration test suggest absence of any long term relationship between WTI crude oil price, USD/Rupee exchange rate and stock prices in India. The result of forecast error variances suggested that USD/Rupee exchange rate is influenced by Stock market performance. The forecast error variances of USD/Rupee exchange rate is significantly explained by the value of Nifty. Results also indicate that the values of oil price and exchange rate are comparatively less exogenous than the Indian stock market. Particularly, the contribution of Stock market shocks to the USD/Rupee exchange rate is greater than that of WTI Crude oil price shocks in all the periods.

Purpose : This study aimed to investigate the causative relationship between oil, gold, and the stock market and the effects of gold and oil prices on the stock market, focusing on the BSE SENSEX. Methodology : Daily data were used in the study for the sampling period spanning from January 1996 to October 2022. The factors under investigation were the price of gold, the BSE SENSEX, and WTI crude oil. The most closely followed bellwether indicator in India is the BSE SENSEX. SENSEX aims to assess the performance of the 30 largest, most liquid, and soundest financial companies listed on the BSE Ltd. in India's several economic sectors. Gold, oil, and stock prices were all analyzed using the vector autoregression (VAR) model. When one or more variables in a model change, the impulse response function (IRF) has been used to explain how the variables in the model change as well. Findings : No long-term correlation was found in this analysis between the prices of stocks, gold, and oil. The long-term relationship (co-integration) between stock, gold, and oil prices was not found in this study. The oil price influenced both the gold price and the SENSEX in the short term. The analysis also showed that the price of gold and the SENSEX were causally related in a one-way fashion. Originality : The short- and long-term effects of gold prices on macroeconomic factors like inflation, growth rates, exchange rates, employment effects, and monetary policy have all been studied in economic research. However, little research has been done on how changes in the price of gold and oil affected the SENSEX.

World oil price is a momentous determinant of global economic performance. In most cases, when oil prices skyrockets, it leads to a transfer of income from importing countries to exporting countries through trade shifts. The link between oil and inflation is mostly seen as being correlational. The direct relationship between oil and inflation was evident in the 1970’s nevertheless this relationship started to deteriorate after the 1980’s. Quite a cornucopia of researchers have made relentless inquiry on the macroeconomics impact of world oil price shocks and hikes on economic growth and consumer price inflation on importing countries. Also, an infinitesimal analyses have tackled the impact of the world oil price on inflation. For many developing countries, oil price hikes over the last few years has warranted the need for structural reforms of the domestic petroleum pricing system. The role of economic policy in attenuating the potential adverse economic and social impact of world oil prices in Ghana cannot be overemphasized. The causes of inflation in Ghana has precipitated vehement canvassing among policy makers. Some analysts have ascribed that the causes of inflation emanate from the consumer goods market, with others repudiating the consumer goods market argument, ascribing it as namby-pamby and stating that inflation in Ghana is rather more from the money market. Another group of scholars maintain that inflation in Ghana is imputed to be from the exogenous variable (world oil price). The debate lingers on and in Ghana the shocks to prices are mixed and dynamic. This paper, through quantitative review and analysis attempts to determine the impact of world oil price on Ghana’s inflation, expound on the factors that drive Ghana’s inflation and suggest perpetual remedies to Ghana’s inflation. This paper employed multiple OLS regression, correlation matrix and linear regression model and found that world oil price is correlational to Ghana’s inflation. Other factors like interest rates (Bank of Ghana policy rate) and exchange rates also strongly proved to drive Ghana’s inflation.

This study examines the impact of oil price shocks on inflation in Nigeria. A NonLinear Autoregressive Distributed Lag (NARDL) approach was applied on quarterly data spanning 1999Q1 to 2018Q4. Results showed that oil price increases led to increase in headline, core and food measures of inflation in Nigeria. However, a decline in oil price resulted in a decline in the marginal cost of production and culminated in moderation of domestic inflation. Furthermore, negative oil price shocks led to higher inflation in Nigeria when exchange rate is dropped from the models, indicating that exchange rate absorbed the impact of oil price declines earlier, as lower oil prices culminated in lower external reserve, depreciation of the naira and ultimately higher inflationary pressures. Also, core inflation tends to respond more to oil price increases than food inflation. These results were robust to changes in econometric specifications and sample period. The study recommends that monetary policy actions of the Central Bank of Nigeria should focus on taming core inflation in periods of substantial oil price increases while strengthening its efforts at ensuring domestic sustainability in food production through its agricultural intervention programmes to further minimize the impact of international oil prices on food inflation. Similarly, the fiscal authorities should ensure that the fiscal stance is not excessively procyclical in periods of rising oil prices.

The impact of oil and natural gas prices on overnight risk in exchange rates based on the MVMQ-CAViaR models

The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration

Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model

We look for the integration of Bangladesh Stock Market with international gold and oil price using most recent monthly data set from January 2003 to December 2020 (2003m1-2020m12). We employ the bounds-testing approach to cointegration between stock market index (DSEX) and international gold and oil price and eventually find an integration and dynamic significant impact of international gold and oil price on DSEX in the long and short-run. We discuss the important policy implications of the dynamic impact of international gold and oil price on stock market index.

The interaction between oil and stock market returns is one of the most important relationships that have a significant influence on the economy of any country all over the world. Therefore, this paper investigates the impact of crude oil prices on the Chinese stock market and selected industries by using the VAR-DCC-GARCH model over the period from December 26, 2001, to April 30, 2019. The empirical results show that the impact of Brent crude oil prices on the Shanghai Composite Index and selected industries is significant. However, there are some variations in these relationships and the degree of influence on each differs during different sample periods. Brent crude oil prices exert substantial influence on some specific industries, like mining, chemical, nonferrous metals, and steel. Whereas, the volatility spillover effect of Brent crude oil prices is stronger within the mining, chemical, steel, nonferrous metal, building materials, building decoration, electrical equipment, electrical equipment, textile and garment, light manufacturing, public utility, and transportation industries than within other industries. When oil prices change abruptly, the risk of spillover impacts of oil prices on stock markets will also increase. In conclusion, the impact of Brent crude oil prices on the Chinese stock market is generally positive. Furthermore, the subsequent volatility of Chinese stock market prices will, in turn, influence the volatility spillover of Brent crude oil prices on the indexes. The result is an ongoing back and forth of changes in price volatilities.

Stock market performance have a significant impact on economic development of a country. Stock markets are supposed to be affected by different financial and macro-economic variables such as gold and oil prices, inflation rate, interest rate, exchange rate and unemployment rate etc. This study is an attempt to find the impact of financial and macro-economic variables on the Karachi Meezan Index 30, the first Islamic Stock index in Pakistan. Monthly data from July 2011 till June 2016 of the variables KMI Index 30, Interest rate, Inflation rate Exchange rate and Gold price is used in this study to find the impact of Interest rate, Inflation rate, Exchange rate and Gold prices on KMI 30 by using Multiple regression model. The empirical result shows that there is a negative relationship of KMI 30 index with interest rate and gold prices whereas a positive relationship exist between exchange rate and KMI 30 Index. Inflation rate did not show a significant relationship with KMI 30 Index in our regression model.