The Relationship between Oil Prices, Gold Prices, the Stock Market, and U.S. GDP

PurposeThe purpose of this study is to explore the intricate relationship between oil prices, house prices in the UK and Norway, and the mediating role of gold and stock prices in both the short- and long-term, unraveling these complex linkages by employing an empirical approach.Design/methodology/approachThis study benefits from a comprehensive set of econometric tools, including a multiequation vector autoregressive (VAR) system, Granger causality test, impulse response function, variance decomposition and a single-equation autoregressive distributed lag (ARDL) system. This rigorous approach enables to identify both short- and long-run dynamics to unravel the intricate linkages between Brent oil prices, housing prices, gold prices and stock prices in the UK and Norway over the period from 2005:Q1 to 2022:Q2.FindingsThe findings indicate that rising oil prices negatively impact house prices, whereas the positive influence of stock market performance on housing is more pronounced. A two-way causal relationship exists between stock market indices and house prices, whereas a one-way causal relationship exists from crude oil prices to house prices in both countries. The VAR model reveals that past housing prices, stock market indices in each country and Brent oil prices are the primary determinants of current housing prices. The single-equation ARDL results for housing prices demonstrate the existence of a long-run cointegrating relationship between real estate and stock prices. The variance decomposition analysis indicates that oil prices have a more pronounced impact on housing prices compared with stock prices. The findings reveal that shocks in stock markets have a greater influence on housing market prices than those in oil or gold prices. Consequently, house prices exhibit a stronger reaction to general financial market indicators than to commodity prices.Research limitations/implicationsThis study may have several limitations. First, the model does not include all relevant macroeconomic variables, such as interest rates, unemployment rates and gross domestic product growth. This omission may affect the accuracy of the model’s predictions and lead to inefficiencies in the real estate market. Second, this study does not consider alternative explanations for market inefficiencies, such as behavioral finance factors, information asymmetry or market microstructure effects. Third, the models have limitations in revealing how predictors react to positive and negative shocks. Therefore, the results of this study should be interpreted with caution.Practical implicationsThese findings hold significant implications for formulating dynamic policies aimed at stabilizing the housing markets of these two oil-producing nations. The practical implications of this study extend to academics, investors and policymakers, particularly in light of the volatility characterizing both housing and commodity markets. The findings reveal that shocks in stock markets have a more profound impact on housing market prices compared with those in oil or gold prices. Consequently, house prices exhibit a stronger reaction to general financial market indicators than to commodity prices.Social implicationsThese findings could also serve as valuable insights for future research endeavors aimed at constructing models that link real estate market dynamics to macroeconomic indicators.Originality/valueUsing a variety of econometric approaches, this paper presents an innovative empirical analysis of the intricate relationship between euro property prices, stock prices, gold prices and oil prices in the UK and Norway from 2005:Q1 to 2022:Q2. Expanding upon the existing literature on housing market price determinants, this study delves into the role of gold and oil prices, considering their impact on industrial production and overall economic growth. This paper provides valuable policy insights for effectively managing the impact of oil price shocks on the housing market.

Purpose – This study aims to conduct an empirical analysis of the influence of key macroeconomic variables on the BSE Sensex, a benchmark index of the Indian stock market. While existing literature has explored various external factors affecting stock prices, this research specifically focuses on how macroeconomic indicators such as WPI, inflation, IIP, Gold Price, Crude oil, and Exchange rates growth shape the behaviour and volatility of the BSE Sensex. The findings of this study seek to provide valuable insights for investors, policymakers, and researchers, enhancing their understanding of the interplay between macroeconomic conditions and stock market movements in India. Design/methodology/approach – For analysis, six macro economic variables such as and WPI, inflation, IIP, Gold Price, Crude oil, Exchange rates with S & P BSE Sensex were selected covering the study period from 01 January 2008 to 31 December 2023. The data collected for this study are month data of the variables. The tools used in this study is Hierarchical regression Findings-The empirical findings of the study reveal that WPI and Inflation negatively affect the BSE Sensex, while IIP, Gold Prices, Crude Oil Prices, and the Exchange Rate have a positive influence. Rising IIP, Gold, and Oil prices indicate economic growth and investor optimism, while a favorable Exchange Rate boosts export competitiveness and foreign investment. These macroeconomic variables demonstrate a mix of negative and positive impacts on stock market performance. Research Limitations/Implications – This study's findings highlight several avenues for future research. A key implication is the need for further exploration into the mechanisms behind the negative relationship between WPI and Inflation with the BSE Sensex, as well as the positive impacts of IIP, Gold Prices, Crude Oil Prices, and the Exchange Rate. Future studies could also delve into the potential lag effects of these macroeconomic variables on the stock market and investigate the influence of other economic factors. Additionally, examining the bidirectional relationship between the Exchange Rate and the BSE Sensex offers an interesting area for deeper analysis. Originality/Value – This study offers valuable insights into the relationship between macroeconomic variables such as WPI, Inflation, IIP, Gold Prices, Crude Oil Prices, and the Exchange Rate with the BSE Sensex. It highlights the significant impact of these variables on the Indian stock market and provides a foundation for further exploration of their dynamic interactions.

COVID - 19 and its consequential impact on the economic fundamentals are highly discussed topics among the researchers. However, there is a literature void in the context of the Indian commodity and financial markets. To bridge this gap, the current study tried to investigate the influence of COVID -19 on the Indian commodity and financial markets by taking the data of the National Stock Exchange of India representing financial markets and the gold prices & oil prices representing commodity markets. The data were segregated into three-time lines, that is, whole period (April 1, 2020 – April 10, 2021), first wave (June 6 – September 30, 2020), and second-wave (February 2 – April 10, 2021) and to investigate the above relationship, the autoregressive distribution lag (ARDL) approach was employed. The findings suggested that during the whole period of the study and the first wave, coronavirus spread had a significant negative influence on the oil prices and the stock market. However, the impact was significant and positive for gold prices. The Wald test also confirmed a long-run cointegration among the variables in both periods of the study. In the context of the second wave, the study contradicted the above findings and concluded that during the second wave, the spread of COVID-19 cases had a positive impact on oil prices and stock markets; whereas, there was a negative impact on the gold prices. The findings highlighted the issue of uncertainty of pandemic, symmetry, demand theory and also highlighted the inverse relationship of gold and equity instruments, which will help in making appropriate policy-oriented decisions.

The present paper examines the dynamics between macroeconomic variables and the stock market. The index of industrial production, inflation, gold price, oil price, and return from treasury bills have been used as proxy macroeconomic variables. The Indian stock market has been typified by the Sensex. Monthly observations have been analyzed from April 1993 to October 2022 through cointegration and the Granger causality test to examine possible long-run and short-run relationships, respectively. The results proclaim the presence of cointegration among variables. Further, the analysis of normalized cointegrating coefficients reveals that in the long run, changes in inflation and the rate of return from T-bills positively affect the stock market. While changes in gold and oil prices have a negative impact on the stock market. The Granger causality test implies that in the short run, the stock market is sensitive to changes in the index of industrial production, inflation, and oil prices. The results are expected to be fruitful for investors as well as traders when designing their investment and trading strategies. Since the results indicate that volatility in the stock market can significantly affect industrial production, inflation, and gold prices, regulators should be vigilant about perturbations in the stock market to mitigate adverse effects.

The interconnection between the oil price and gold price with the stock market index has generated an epic amount of discussion for ages. While a numerous number of prior studies on different economies have drawn mixed findings, empirical findings for the relationship of those three vital economic indicators in ASEAN countries remain limited and open room for further research to call for better macroeconomic policy stances. This inclines our paper to center on exploring the nexus between the world oil price and gold price with the movement of ASEAN+3 countries’ stock markets represented by the stock market indexes. To conduct the research, we apply different empirical techniques and models (VECM, ARDL, VAR) on a monthy dataset from January 2010 to December 2021 collected on the cases of ASEAN economies together with three other ASIAN countries including India, Japan, South Korea. The study’s findings reveal the long-run relationship between stock market and the oil, gold price in several countries covering Vietnam, Korea, Indonesia, India, and Japan, leaving the rest of the country sample with short-run dynamics between those three macro indicators. Besides, the results also indicate that even though the impacts of oil prices and gold prices on the stock price index of emerging economies are inconsistent, the shocks to oil price in comparison with gold price swings seem to have more impact on the movements of stock market indices.

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

Purpose: The purpose of this study is to examine how fluctuations in oil and gold prices have influenced Saudi Arabia's GDP from 2001 to 2023. Given the country's status as one of the world's largest oil exporters, its economic stability is closely tied to changes in oil prices. While gold plays a less central role, it still impacts the economy by shaping investor confidence and serving as a safe haven during times of uncertainty. Materials and Methods: The study employs a detailed analysis of historical trends and economic indicators to explore the relationship between oil and gold prices and their effects on GDP. A multiple linear regression model is used to examine these relationships. Factors such as inflation and investment patterns are considered to assess the strength and implications of these correlations. Findings: The findings reveal that oil prices have a significant and direct impact on Saudi Arabia's GDP growth, with an increase in oil prices being associated with a substantial decrease of 6.52 units in GDP. This underscores the country's economic reliance on oil exports. On the other hand, gold prices positively contribute to GDP, with an increase of 2.20 units, highlighting their role in influencing economic factors such as inflation, investment trends, and investor sentiment. These results underscore the vulnerabilities associated with commodity price fluctuations and their substantial impact on economic performance. Implications to theory, Policy and Practice: To address these challenges, the study recommends that policymakers focus on stabilizing oil and gold prices to mitigate economic volatility. Additionally, achieving the goals of Vision 2030 is essential, emphasizing the need to diversify the economy and reduce dependence on oil. Strengthening economic resilience and fostering sustainable growth strategies are critical steps toward ensuring long-term prosperity.

The current study explores the impact of global gold price uncertainty on the stock markets of the MIST countries: Mexico, Indonesia, South Korea, and Türkiye. The study examined the crisis periods that started with the COVID-19 pandemic and continued with the Russia-Ukraine war, which caused uncertainty in gold and oil prices. Based on this, the study's data set consists of the daily closing prices between March 11th, 2020, and January 31st, 2023. The obtained data were analyzed using the Least Squares (ICC) and panel quantile regression (PQR) methods. There is a significant positive correlation between oil prices and oil volatility index with stock prices for the economies of Türkiye, Indonesia, and Mexico, and a significant negative correlation between gold prices and gold volatility index with stock prices for developing countries. There is also a significant positive relationship between gold and oil prices and stock prices for the developed country, South Korea's economy. A significant negative correlation has also been proposed between gold and oil volatility indices and South Korean stock prices. This study provides a novel contribution to the literature by examining the impact of simultaneous global crises namely the COVID-19 pandemic and the Russia-Ukraine war—on the stock market indices of MIST countries through the lens of uncertainty in both gold and oil markets. While most existing studies focus on a single commodity or analyze crises in isolation, this research distinguishes itself by investigating the combined effects of two major global shocks and incorporating both price and volatility-based uncertainty indicators. The findings suggest that policymakers should develop country-specific and differentiated financial stability policies by taking into account the uncertainties in gold and oil markets during crisis periods.

<p>This paper explores the effects of changes in crude oil and gold prices on US Stock market movement. Daily data are used from the first business day of January, 1986 through December30, 2016. Efficient unit root tests (DF-GLS and Ng-Perron) are applied to examine the time series property of the variables in terms of stationarity or non-stationarity. ARDL Bounds Testing is applied for co-integration. Both DF-GLS and Ng-Perron tests confirm non-stationarity of each variable and depict I (1) behavior of all the variables in log-levels, included in this study. The ARDL-Bounds testing confirm co-integration among the variables. There is evidence of long-run convergence among all these variables with very tepid adjustment toward the equilibrium. Short-run negative effects of changes in gold and crude oil prices on US stock market returns are observed. The effect is statistically significant from gold price changes, but insignificant from crude oil price changes.</p>

<p>This paper explores the effects of changes in crude oil and gold prices on US Stock market movement. Daily data are used from the first business day of January, 1986 through December30, 2016. Efficient unit root tests (DF-GLS and Ng-Perron) are applied to examine the time series property of the variables in terms of stationarity or non-stationarity. ARDL Bounds Testing is applied for co-integration. Both DF-GLS and Ng-Perron tests confirm non-stationarity of each variable and depict I (1) behavior of all the variables in log-levels, included in this study. The ARDL-Bounds testing confirm co-integration among the variables. There is evidence of long-run convergence among all these variables with very tepid adjustment toward the equilibrium. Short-run negative effects of changes in gold and crude oil prices on US stock market returns are observed. The effect is statistically significant from gold price changes, but insignificant from crude oil price changes.</p>

Throughout history, investors have attempted to determine the future states and prices of instruments that they consider to invest in. Thus, various econometric models have been developed in order to determine the variables influencing the prices of investment instruments, as well as the relationships between such variables. The main aim of the present study was to examine the variables that may be related to gold prices. These variables were divided into two groups: precious metals and energy. According to the results of unit root (or stationary) tests and cointegration tests, a vector autoregression model (VAR) was constructed to reveal the short-term interaction between gold prices and precious metals, and a vector error correction model (VECM) was employed to reveal relationship between gold prices and energy prices. The results of the VAR analysis indicated that gold prices have a short-term correlation with silver prices; platinum prices have a short-term correlation with gold and silver prices; and there is a short-term correlation between silver prices and palladium prices. According to the results of the VECM analysis, gasoline and crude oil prices have no long-term correlations with gold prices, but gold and crude oil prices have a long-term correlation with gasoline prices.

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.

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.

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 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.