Predicting Volatility and Dynamic Relation Between Stock Market, Exchange Rate and Select Commodities

Siddiqui, Saif; Roy, Preeti

doi:10.11118/actaun201967061597

Cited by 10 publications

(7 citation statements)

References 57 publications

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“…Syahri and Robiyanto (2020) used the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) approach to investigate the correlation between gold, exchange rate, and stock during the COVID-19 pandemic in Indonesia. Siddiqui and Roy (2019) utilized the same method to look at the dynamic connection between the Indian stock index and the currency rate. These researches revealed that stock markets and currency rates have a conditional relationship over time.…”

Section: Introductionmentioning

confidence: 99%

Exchange Rate, Gold Price, and Stock Price Correlation in Asean-5: Evidence From Covid-19 Era

Arisandhi

Robiyanto

2022

jmk

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ASEAN-5 (Indonesia, Singapore, Malaysia, Philippines, and Thailand) were the pillars of economies in the Southeast Asia. This study aimed to examine the dynamic correlation of exchange rate and gold price on stock price in ASEAN-5 countries during COVID-19 pandemic. This study used Asymmetric DCC-GARCH model and employed daily data from March 2020 to August 2021. For all cases, the findings showed the degree of correlations were similar to each other. Furthermore, the result revealed that exchange rate and gold price had weak correlations on stock price. During the pandemic, negative correlation confirmed the exchange rate was a better alternative asset than gold which was positively correlated with stock prices. The ASEAN-5 market participants should hereby evaluated their investment risk and strategy.

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Section: Introductionmentioning

confidence: 99%

Exchange Rate, Gold Price, and Stock Price Correlation in Asean-5: Evidence From Covid-19 Era

Arisandhi

Robiyanto

2022

jmk

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“…Siddiqui and Roy (2019), D. Huang and Kilic (2019), Balcilar, Demirer, Gupta, and Wohar (2020), Kang, Yoon, Bekiros, and Uddin (2020), Vikneswaran, Purdasy, Rashid, and Basirduddin (2020), and Cheema and Szulczuk (2020) tested various commodities as hedging assets. Siddiqui and Roy (2019) show that gold is a more effective hedging asset than crude oil for institutional investors in India. D. Huang and Kilic (2019) show that gold prices fall in recessions, although to a lesser extent than platinum prices.…”

Section: Literature Reviewmentioning

confidence: 99%

“…As far as is known, this essay is the first study that analyzes the rebalancing of portfolios in the context of the global pandemic . Additionally, we are aware that the authors Balcilar, Hammoudeh, and Asaba (2015), Siddiqui and Roy (2019), Hussain Shahzad, Bouri, Roubaud, and Kristoufek (2020), Vikneswaran, Purdasy, Rashid, and Basirduddin (2020), analyzed gold as a safe haven for rebalancing of portfolios, but the markets, research questions, and approach were different from those followed in this essay. In terms of structure, this essay is organized in five sections.…”

Section: Introductionmentioning

confidence: 99%

Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market

Dias

Carvalho

2020

ReA UFSM

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Purpose - This essay aims to analyze whether gold (Gold Bullion: Zurich) and silver (Silver Paris Spot E/KG) will be a safe haven for diversifying portfolios in Latin America's stock markets.Design/methodology/approach - The analyzed data are the price indexes of the stock markets of Argentina (SP Merval), Brazil (Ibovespa), Chile (SP/CLX IGPA), Peru (SP/BVL General IGBL), Mexico (IPC), USA (Dow Jones), gold (Gold Bullion: Zurich), and silver (Silver Paris Spot E/KG), from December 31, 2019 to September 2, 2020. To answer the research question we used Gregory and Hansen’s methodology (1996), and the VAR Granger causality/block exogeneity Wald tests model.Findings - The results indicate that the markets have very significant integrations and causalities, that is, gold and silver do not function as safe havens for the diversification of portfolios in Latin American stock markets.Research limitations/implications - While the present investigation used general indices, in future studies sectoral indices can be used, as well as intraday data to have more robust evidence regarding the diversification of portfolios in these regional markets.Originality/value - This investigation differs from previous studies because it focuses on the rebalancing of portfolios through the estimation of integration models and shocks between gold and silver and the Latin American markets. This differs from the previous ones, which analyzed the average dependencies between gold and financial market movements, and between gold and currency depreciation.

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“…On the other hand, Laily et al (2017) show a positive relationship between crude oil prices, and the price of gold, and a negative synchronization between inflation rate, GDP, interest rates, and exchange rates. Tursoy and Faisal (2018), Siddiqui and Roy (2019), D. Huang and Kilic (2019) examined the importance of gold as a safe risk hedging asset. Tursoy and Faisal (2018) show a negative relationship between the price of gold and stock prices and a positive relationship between crude oil and stock prices.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Tursoy and Faisal (2018) show a negative relationship between the price of gold and stock prices and a positive relationship between crude oil and stock prices. Siddiqui and Roy (2019) show that gold is a more effective hedging asset than crude oil for institutional investors in India. D. Huang and Kilic (2019) demonstrate that gold prices fall into recessions, although to a smaller extent than platinum prices.…”

Section: Literature Reviewmentioning

confidence: 99%

Safe Haven, Hedge and Diversification for Stock Markets: Gold Versus Silver

Farinha¹,

Dias²,

Heliodoro³

et al. 2020

Fourth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and

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This paper aims to analyse if whether Gold (Gold Bullion: Zurich) and Silver (Silver Paris Spot E/KG) will be a safe haven for portfolio diversification in the financial markets of Germany (DAX 30), USA (DOW JONES), France (CAC 4 0), Italy (FTSE MID), United Kingdom (FTSE 100), Hong Kong (Hang Seng), China (SHANGHAI SE ASHARE), Japan (NIKKEI 225), in the period between 1 January 2019 to 2 September 2020. In order to perform this analysis where undertaken different approaches to analyse if: (i) the gold and silver market will be a safe haven when financial markets break down? (ii) If so, can market shocks question portfolio diversification? The results suggest 53 pairs of integrated markets (out of 90 possible). Gold and Silver have integrations with each other and with the USA, but the other financial markets integrate with Gold and Silver, namely the US, France, UK, Italy and Hong Kong markets (the latter only with Silver). The China market has a single integration but is integrated by the USA, France, the United Kingdom, Italy, and Germany, which partially rejects the first investigation question. In corroboration, causality tests show 67 causal relationships (out of 90 possible). The Markets of Italy (FTSE MID), the USA (DOW JONES) cause, in the Grangerian sense, all its peers (9 out of 9 possible), while France (CAC 40), the United Kingdom (FTSE 100), Japan (NIKKEI 225), and Germany (DAX 30) cause 8 out of 9. Silver and Gold cause the financial markets 7, and 6 times (out of 9 possible), respectively, while the Hong Kong (Hang Seng) and China (SHANGHAI) markets cause 3 and once, respectively, which validates the second investigation question. Given the high level of integration and shocks between markets, portfolio diversification may be brought into question. These findings also make room for market regulators to take steps to ensure better information among international financial markets.

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Predicting Volatility and Dynamic Relation Between Stock Market, Exchange Rate and Select Commodities

Cited by 10 publications

References 57 publications

Exchange Rate, Gold Price, and Stock Price Correlation in Asean-5: Evidence From Covid-19 Era

Exchange Rate, Gold Price, and Stock Price Correlation in Asean-5: Evidence From Covid-19 Era

Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market

Safe Haven, Hedge and Diversification for Stock Markets: Gold Versus Silver

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