Dependence between the global gold market and emerging stock markets (E7+1): Evidence from Granger causality using quantile and quantile‐on‐quantile regression methods

Tiwari, Aviral Kumar; Adewuyi, Adeolu O.; Roubaud, David

doi:10.1111/twec.12775

Cited by 23 publications

(14 citation statements)

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“…Additionally, the positive emerging market volatility (EMVX) diminished gold prices, a finding potentially explained by the crisis period of COVID-19 and the succeeding shocks in EMVX. The results of Tiwari et al. (2019) partially agree with our result that gold does not serve as a safe-haven commodity under all market conditions for emerging countries (E7).…”

Section: Resultssupporting

confidence: 88%

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Do volatility indices diminish gold's appeal as a safe haven to investors before and during the COVID-19 pandemic?

Tanin

Sarker

Hammoudeh

et al. 2021

Journal of Economic Behavior & Organization

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This study addresses the research question of whether volatility indices of different asset classes reduce gold's appeal as a safe-haven asset before and during the COVID-19 pandemic. We use daily data for seven volatility indices and gold prices and apply the suitable nonlinear autoregressive distributed lag method to analyze the data. Our results indicate that during COVID-19, only the negative Eurocurrency volatility has diminished gold prices in the long term, whereas in the short term, the positive gold, silver, emerging market, and (lagged) financial market volatilities have diminished gold prices. During the pre-COVID-19 normal period, volatilities in the financial, energy, gold, silver, and eurocurrency markets improved gold prices, whereas in the short term, only lagged negative oil volatility diminished gold prices. A robustness test for the 2011–2015 pre-COVID-19 period reveals that this period is to an extent comparable to that of COVID-19. This study reveals no direct effects from emerging markets volatility on gold prices. Notwithstanding, a long memory in gold prices persists and uneven spillover effects exist. Finally, those volatilities predominantly increase gold prices under the normal economic conditions but decrease gold's appeal as a safe haven during crises in the comparable periods. We delineate the implications for investors.

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Section: Resultssupporting

confidence: 88%

“…For example, Bampinas et al. (2019) have examined the volatility of gold and oil, while Tiwari et al. (2019) have investigated the dependence of the gold market on emerging stock markets.…”

Section: Introductionmentioning

confidence: 99%

Do volatility indices diminish gold's appeal as a safe haven to investors before and during the COVID-19 pandemic?

Tanin

Sarker

Hammoudeh

et al. 2021

Journal of Economic Behavior & Organization

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“…Choudhry et al (2015) for the United Kingdom, the United States and Japan, and Mamcarz (2019) for the United States, Germany, Japan and Poland. Consistent results were reported by Al Kharusi and Basci (2019) for countries affiliated with the Gulf Cooperation Council (GCC) -Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates, and Tiwari et al (2019), who focused on interrelations in Brazil, China, India, Korea, Indonesia, Mexico, Russia and Turkey. Findings presented by Patel (2013) and Hemavathy and Gurusamy (2016), in the case of the Indian market, are also similar; however, they are not consistent with the results presented by Bhuvaneshwari and Ramya (2017) who identified no Granger causal relationship between S&P CNX Nifty and gold, and show the lack of a long-term relationship between the analysed variables.…”

Section: Gold and Stock Returns For Analyzed Marketssupporting

confidence: 80%

Granger Causality between Stock and Gold Returns – Evidence from Poland, Hungary and the Czech Republic

Mamcarz

2021

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Theoretical background: The safety of capital investments is one of the criteria in the decision-making process. Under conditions of uncertainty in financial market, investors' interest in gold -as an alternative form of capital investment -is growing, especially in comparison with stocks perceived as more risky assets. Fluctuations in the prices of these assets make investors transfer their funds from gold markets to more profitable markets, or return to gold markets. From this point of view, it is important to analyse the causal relationships between returns on these assets. Purpose of the article: The aim of this paper is to investigate the causal relationship between the rates of return on investment in gold and stocks in selected countries of Central and Eastern Europe (Poland, Hungary, and the Czech Republic). We assume that the rates of return on the gold market constitute a Granger cause of the rates of return on the analysed stock markets. Research methods: To investigate the impact of the gold market on the stock market and vice versa, including the type and direction of Granger causality of the rates of returns, the VAR models were estimated and served as the basis for performing a Granger non-causality linear test. The analysis of stationarity (ADF test) and cointegration (the Johansen test) of variables was carried out to select the final form of VAR/ VECM model. The empirical data covered the period between December 1996 and December 2020. The Pobrane z czasopisma Annales H -Oeconomia http://oeconomia.annales.umcs.pl Data: 10/01/2022 04:25:22 U M C S 68 KATARZYNA MAMCARZanalysis was carried out for the entire period and two sub-periods: the first one before the 2007 financial crisis and the second one, covering this crisis and the beginning of the ongoing COVID-19 pandemic. Stock indices included in this research are composed of the most liquid stocks, so-called blue chip shares traded on the Warsaw Stock Exchange -WIG20, the Budapest Stock Exchange -BUX index, the Prague Stock Exchange -PX index. The gold prices are expressed in domestic currencies (PLN, HUF, CZK, respectively). Monthly logarithmic returns on investment on the analysed markets constituted the variables of models reflecting the interrelations in the considered countries. Main findings: We show that, apart from two instances of unilateral causality running from gold to stock returns, no causal relationships were found in any of the directions (independence) for the entire sample. We prove that in the case of Hungary and the Czech Republic (significant at α = 5%), the rate of return on the gold market determined the rates of return on the stock market, whereas in Poland, no such causality was identified. To some extent, the research hypothesis was positively verified. The results also confirm that changes in the stock market prices in all considered countries did not affect the change in the price of gold. After dividing the sample into two sub-periods, no causal relationships were found between the analysed markets in the first sub-p...

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“…Tiwari et al. ( 2019 ) studied the dependence between gold and the stock market for seven emerging economies during 2002-2018. The study combined the bivariate cross-quantilogram with quantile-on-quantile regression (QQR) approaches.…”

Section: Related Literaturementioning

confidence: 99%

“…Before and after the financial crisis, gold can be considered a safe haven, but in the stress period, there are few sectors for which gold checked the relation. Tiwari et al (2019) studied the dependence between gold and the stock market for seven emerging economies during 2002-2018. The study combined the bivariate crossquantilogram with quantile-on-quantile regression (QQR) approaches.…”

Section: Related Literaturementioning

confidence: 99%

Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach

2021

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In this paper, we contribute to the old debate on the dynamic correlation between gold and stock markets by considering a spectral approach within the framework of portfolio hedging. Specifically, we consider eight MENA stock markets (Tunisia, Egypt, Morocco, Jordan, UAE, Saudi Arabia, Qatar, and Oman) and examine the optimal composition between gold and the stock market index, with a minimum portfolio risk and a high expected return. Based on the spectral approach, we propose seven portfolio structures and evaluate them through a comparison with the conventional DCC-GARCH method and the most best 10 portfolios constructed by using wavelet approach. The main results show that the spectral-based approach outperforms the DCC-GARCH and the wavelet methods. In fact, the optimal gold-stock composition depends on the spectral density of each stock market index, where a stock market index with a stable spectral density requires more investments in gold than a stock market index with an unstable spectral density.

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Dependence between the global gold market and emerging stock markets (E7+1): Evidence from Granger causality using quantile and quantile‐on‐quantile regression methods

Abstract: K E Y W O R D Semerging stock markets, gold market, quantile Granger causality, quantile-on-quantile regression

Cited by 23 publications

References 67 publications

Do volatility indices diminish gold's appeal as a safe haven to investors before and during the COVID-19 pandemic?

Do volatility indices diminish gold's appeal as a safe haven to investors before and during the COVID-19 pandemic?

Granger Causality between Stock and Gold Returns – Evidence from Poland, Hungary and the Czech Republic

Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach

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