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

Decomposing the links between oil price shocks and macroeconomic indicators: Evidence from SAARC region

“…Lee et al, (1995) establish that the unpredictable increase of oil prices is more detrimental to macroeconomic indicators than the frequent but predictable price changes. The bulk oil price change creates uncertainty in market, leading the investors and consumers to lose confidence in their future investment and consumption expectations (Edelstein and Kilian, 2009;Raza et al, 2016). The empirical evidence of confirming strong negative relationship between oil price shock and business tendency to expand are consistently found in literature since 1973 (for detailed review of literature see Huntington (2005)).…”

Asymmetric effects of oil revenue shocks on government spending composition and productive sectors: new evidence from Nigeria

“…(), Mordi and Adebiyi (), Kilian and Vigfusson () and Raza et al . () among others. Historically, it has been observed that macroeconomic variables respond differently to changes in oil price movement both in the oil‐producing countries and oil‐importing countries.…”

“…Previous studies on symmetric effects are Olomola and Adejumo (2006), Tang et al (2010), Lombardi and Robays (2011), Oladipo and Fabayo (2012) and Asogwa and Okpongette (2016) among others. Asymmetric studies on the other hand are Mork (1989), Mory (1993), Lee et al (1995), Mordi and Adebiyi (2010), Kilian and Vigfusson (2011) and Raza et al (2016) among others. Historically, it has been observed that macroeconomic variables respond differently to changes in oil price movement both in the oil-producing countries and oilimporting countries.…”

“…Later studies are Mork (1989), Mory (1993), Lee et al (1995) and Kilian and Vigfusson (2011) also for the United States. More recent studies on asymmetric oil price are Moshiri (2015) done for nine oil-exporting countries and Raza et al (2016) conducted for Mexico, Malaysia, Thailand, Chile, Indonesis, South Africa, Brazil, Russia, China and India. One study in Nigeria on asymmetric oil price is by Mordi and Adebiyi (2010) where the asymmetric effect of oil price shocks is examined on output and prices.…”

Bidirectional spillover effect between Russian stock index and the selected commodities

“…The research paper of Raza et al (2016) examined the asymmetric impact of gold prices, oil prices and their associated volatilities on stock markets of emerging economies. They concluded 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.…”