Asymmetrical relationship between oil prices, gold prices, exchange rate, and stock prices during global financial crisis 2008: Evidence from Pakistan
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In this paper, the authors investigated whether the relationship between macroeconomic fluctuations and stock indexes is symmetrical or asymmetrical in nature, and employed nonlinear autoregressive distraction.Abstract:
The study investigated that whether the relationship between macroeconomic fluctuations and stock indexes is symmetrical or asymmetrical in nature. This study employed nonlinear autoregressive dist...read more
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Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets
TL;DR: In this article, the authors examined the asymmetric return spillovers between crude oil futures, gold futures and ten sector stock markets of China and found that the bad return spillover dominated the good return spilloffs.
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Pakistan management of green transportation and environmental pollution: a nonlinear ARDL analysis.
TL;DR: In this paper, the authors examined the impact of air-railway transportation on environmental pollution in Pakistan by using annual time series data from 1991 to 2019 and found that positive shock in air passenger carried and railway passenger carried increases carbon emissions, which implies that a 1% increase in passenger carried (railway passenger carried) enhances environmental pollution by 0.21% in long run in Pakistan.
Journal ArticleDOI
Symmetric and asymmetric effects of crude oil price and exchange rate on stock market performance in Nigeria: Evidence from multiple structural break and NARDL analysis
TL;DR: In this paper, the authors explored the linear and non-linear impact of Nigeria's oil price and exchange rate on stock market performance from January 1995 to December 2019 using the nonlinear autoregressive dist...
Journal ArticleDOI
Impact of global oil and gold prices on the Iran stock market returns during the Covid-19 pandemic using the quantile regression approach
TL;DR: In this paper , the influence of global oil and gold prices on the Iran stock market during the Covid-19 pandemic was investigated using the quantile regression method and the effective parameters on the stock price index in the deciles of 0.1-0.9 were studied.
Journal ArticleDOI
How precious metal and energy resources interact with clean energy stocks? Fresh insight from the novel ARDL technique.
Munaza Bibi,Muhammad Kamran Khan,Sobia Shujaat,Danish Iqbal Godil,Arshian Sharif,Muhammad Khalid Anser +5 more
TL;DR: In this article, the authors examined the impact of oil prices, coal prices, natural gas prices, and gold prices on clean energy stock using the autoregressive distribution lag (ARDL) approach from the year 2011 to the year 2020.
References
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Book ChapterDOI
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
TL;DR: In this paper, a cointegrating nonlinear autoregressive distributed lag (NARDL) model is proposed, in which short and long-run nonlinearities are introduced via positive and negative partial sum decompositions of the explanatory variables.
Journal ArticleDOI
Gold as an inflation hedge
TL;DR: In this article, a theoretical model suggests a set of conditions under which the price of gold rises over time at the general rate of inflation and hence be an effective hedge against inflation and demonstrates that short run changes in the gold lease rate, the real interest rate, convenience yield, default risk, the covariance of gold returns with other assets and the dollar/world exchange rate can disturb this equilibrium relationship and generate short run price volatility.
Journal ArticleDOI
Testing for non-linearity in daily sterling exchange rates
TL;DR: A number of tests for non-linear dependence in time series are presented and implemented on a set of 10 daily sterling exchange rates covering the entire post Bretton-Woods era until the present day as mentioned in this paper.
Journal ArticleDOI
Impact of macroeconomic indicators on stock market performance: The case of the Ghana Stock Exchange
TL;DR: In this paper, the authors examined how macroeconomic indicators affect the performance of stock markets by using the Ghana Stock Exchange as a case study and found that lending rates from deposit money banks have an adverse effect on stock market performance and particularly serve as major hindrance to business growth in Ghana.
Journal ArticleDOI
Returns and volatility spillover between stock prices and exchange rates
TL;DR: In this paper, the authors analyzed the nature of returns and volatility spillovers between exchange rates and stock price in the IBSA nations (India, Brazil, South Africa) using the VAR framework and the recently proposed Spillover measure of Diebold and Yilmaz to examine the returns, volatility spillover between exchange rate and stock prices.