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. 2022 Dec:79:103024.
doi: 10.1016/j.resourpol.2022.103024. Epub 2022 Sep 29.

Covid-19 and oil and gold price volatilities: Evidence from China market

Cui Xiaozhong  1 , Kuo Yen-Ku  2 , Apichit Maneengam  3 , Phan The Cong  4 , Nguyen Ngoc Quynh  4 , Mohammed Moosa Ageli  5 , Worakamol Wisetsri  6
Affiliations

Covid-19 and oil and gold price volatilities: Evidence from China market

Cui Xiaozhong et al. Resour Policy. 2022 Dec.

Abstract

Gold and crude oil are the influential commodities of the stock markets and real economy of the world in financial crises as well as in COVID-19 periods. However literature mainly focused on the effects of these commodities' prices only, and the volatilities in the prices of these commodities altogether with the prices got little attention. To fill in a major research gap, our study intends to estimate the dynamic relationship between oil prices, gold prices, oil prices volatilities and gold prices volatilities on the stock market of China. Using daily data over the period from 2009 to 2021, the study applied Autoregressive Distributed Lag (ARDL) bound test approach for the purpose of empirical estimation. Moreover, Non linear ARDL and asymmetric Causality analysis has also been applied for more comprehensive asymmetric estimation. The findings of our study indicated that gold prices and oil prices negatively affect stock market of China in the long run. In terms of implied volatility index of these commodities, study finds negative impact of price volatility of oil but positive impact of the price volatility of gold on the country's stock market in the long run. However, in the short run, only oil price and gold prices have significant effect on the China's stock market. On the basis of our findings, we recommend the investors to make rational decisions in response to the uncertainties in these markets and should consider gold as a safe haven to hedge themselves in times of uncertainty. Policymakers should take appropriate actions and adopt proper mechanisms for dealing with the quick uncertainty flow of information from the oil to the stock market.

Keywords: ARDL bound test; China stock Market; GVZ; Gold prices; OVX; oil prices.

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Figures

Fig. 1
Fig. 1
CUSUM plotfor coefficient stability in ARDL model (2009–2021).
Fig. 2
Fig. 2
CUSUMSQ plot for coefficient stability in ARDL model (2009–2021).
Fig. 3
Fig. 3
Short run and long run multipliers for oil prices.
Fig. 4
Fig. 4
Short run and long run multipliers for oil prices.
Fig. 5
Fig. 5
CUSUM plot for coefficient stability in NARDL model.
Fig. 6
Fig. 6
CUSUMSQ plot for coefficient stability in NARDL model.
See this image and copyright information in PMC

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