The Relationship between the Oil Price, Gold Price, and the Stock Market in Malaysia during the Covid-19 Pandemic
Keywords:
Quantile regression, Oil price, Gold price, Covid-19, Stock marketAbstract
Due to the negative impact of the COVID-19 pandemic on the worldwide financial and economic sectors, investors have been opting for safer, low-risk assets like gold and crude oil during periods of instability. This study aims to investigate the relationship between the stock market, gold price, and crude oil price using the quantile regression method. The study focused on examining the parameters of the stock price index within deciles 0.1-0.9, based on daily data from March 18th, 2020, to March 30th, 2022. The findings indicated that the relationship between gold prices and the stock market was generally insignificant during the COVID-19 pandemic. However, a negative and significant correlation between crude oil prices and the stock market was observed in deciles 0.6, 0.7, 0.8, and 0.9. Hence, the impact of these variables on the returns of the stock market should be taken into account by investors and policymakers.
Downloads
References
Aguilera, R.F., & Radetzki, M. (2017). The synchronized and exceptional price performance of oil and gold: Explanations and prospects. Resources Policy, 54, 81–87.
Al-Awadhi, A.M., Al-Saifi, K., A., & Alhamadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioural and Experimental Finance, 27 (1), 100326.
Ansari, M.G., & Sensarma, R. (2019). US monetary policy, oil and gold prices: Which has a greater impact on BRICS stock markets? Economic Analysis & Policy, 64, 130–151.
Atri, H., Kouki, S., & imen Gallali, M. (2021). The impact of COVID-19 news, panic and media coverage on the oil and gold prices: An ARDL approach. Resources Policy, 72, 102061.
Bedoui, R., Braiek, S., Guesmi, K., & Chevallier, J. (2019). On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJRGARCH model. Energy Economics, 80, 876–889.
Betarelli Junior, A.A., Faria, W.R., Proque, A.L., Perobelli, F.S., & de Almeida Vale, V. (2021). COVID-19, public agglomerations and economic effects: Assessing the recovery time of passenger transport services in Brazil. Transport Policy, 110, 254–272.
Gil-Alana, L.A., Yaya, O.S., & Awe, O.O. (2017). Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach. Resources Policy, 53, 117–124.
Gulfen Tuna, & Vedat Ender Tuna. (2022). Are effects of COVID-19 pandemic on financial markets permanent or
temporary? Evidence from gold, oil and stock markets. Resources Policy, 1-8.
Lee, C.C., & Zeng, J.H. (2011). The impact of oil price shocks on stock market activities: Asymmetric effect with quantile regression. Mathematics and Computers in Simulation, 81(9), 1910–1920.
Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8), 2800.
Mensi W, Hammoudeh S, Reboredo, J., & Nguyen, D. (2014). Do global factors impact BRICS stock markets?
A quantile regression approach. Emerging Markets Review, 19, 1–17.
Mishra, A.K., Rath, B.N., & Dash, A.K. (2020). Does the Indian financial market nosedive because of the COVID-19 outbreak, in comparison to after demonetisation and the GST? Emerging Market and Finance Trade, 56(10), 2162–2180.
Naifar N. (2015). Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? A quantile regression approach. The Quarterly Review of Economics and Finance, 61, 29-39.
Narayan, P.K., Devpura, N., & Wang, H. (2020). Japanese currency and stock market — what happened during the COVID-19 pandemic? Economic Analysis and Policy, 68, 191–198.
Narayan, P.K. (2020). Oil price news and COVID-19-Is there any connection? Energy Research Letters, 1(1). https://doi.org/10.46557/001c.13176
Narayan, P.K., Narayan, S., & Zheng, X. (2010). Gold and oil futures markets: Are markets efficient? Applied Energy, 87, 3299–3303.
Shehzad, K., Zaman, U., Liu, X., G´orecki, J., & Pugnetti, C. (2021). Examining the asymmetric impact of COVID-19 pandemic and global financial crisis on Dow Jones and oil price shock. Sustainability, 13(9), 4688.
Sikiru, A.A., & Salisu, A.A. (2021). Hedging against risks associated with travel and tourism stocks during COVID-19 pandemic: the role of gold. International Journal of Finance & Economics, 1-11. https://doi.org/10.1002/ijfe.2513
Soytas, U., Sari, R., Hammoudeh, S., & Hacihasanoglu, E. (2009). World oil prices, precious metal prices and macroeconomy in Turkey. Energy Policy, 37, 5557–5566.
Tsai, I.C. (2012). The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach. Journal of International Financial Marker, Institutions and Money, 22(3), 609–621.
Wang, Q., & Zhang, F. (2021). What does the China’s economic recovery after COVID-19 pandemic mean for the economic growth and energy consumption of other countries? Journal of Cleaner Production, 295, 1-20. https://doi.org/10.1016/J.JCLEPRO.2021.126265
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2024 UPSI Press
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
