Dynamic Linkages between Gold, Oil, Exchange Rate and Stock Market: Evidence from Indonesia

Maria Tufail Memon; Karim Bux; Fiza Qureshi

doi:10.52633/e5bbfb50

Authors

Maria Tufail Memon Institute of Business Administration (IBA), University of Sindh, Jamshoro, Pakistan. Author
Karim Bux Institute of Business Administration (IBA), University of Sindh, Jamshoro, Pakistan. Author
Fiza Qureshi Institute of Business Administration (IBA), University of Sindh, Jamshoro, Pakistan. Author

DOI:

https://doi.org/10.52633/e5bbfb50

Keywords:

Crude Oil Prices, Gold Prices, Jakarta Stock Market Index, NARDL Co-Integration Test

Abstract

This study examines the interdependence and linkages among international gold price, international crude oil price, exchange rate, and stock market index in the Indonesian context employing the Nonlinear Autoregressive Distributed Lag (NARDL) approach on monthly data from January 2000 to December 2022. The findings of the study provide empirical evidence for the presence of both short- and long-term asymmetries among these selected asset classes. Results suggest that co-integration exists among all the variables. The exchange rate impacts oil prices, gold prices, and the stock market in the long run, and also shows an asymmetric effect on the stock market and international crude oil in the short run. However, its influence on gold was not evident in the short run. Gold prices affect the exchange rate in the long run as well as in the short run. Fluctuations in stock prices influence gold prices and exchange rates. However, stock market shocks influence oil prices in the short run. This is a preliminary study in the Indonesian context, representing the dynamic simultaneous nexus among these selected asset markets. The findings provide valuable insights into fiscal and economic policies. Therefore, the study has significant implications for regulators, academicians, and investors in making effective financial decisions.

Author Biographies

Maria Tufail Memon, Institute of Business Administration (IBA), University of Sindh, Jamshoro, Pakistan.

Institute of Business Administration (IBA), University of Sindh, Jamshoro, Pakistan.
Karim Bux, Institute of Business Administration (IBA), University of Sindh, Jamshoro, Pakistan.

Institute of Business Administration (IBA), University of Sindh, Jamshoro, Pakistan.

ORCID ID: https://orcid.org/0000-0002-9327-0979
Fiza Qureshi, Institute of Business Administration (IBA), University of Sindh, Jamshoro, Pakistan.

Institute of Business Administration (IBA), University of Sindh, Jamshoro, Pakistan.

ORCID ID: https://orcid.org/0000-0002-3730-6084.

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