The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic: an insight into analysis in Asia and Europe
Using the panel data vector autoregression (PVAR) model, this study examines the correlation between the stock market, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 March 2021 to 29 October 2021. The results of Granger causalit...
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| Language: | English |
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Taylor & Francis Group
2022-12-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2127483 |
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| author | Oanh Tran Ha Nguyen |
| author_facet | Oanh Tran Ha Nguyen |
| author_sort | Oanh Tran |
| collection | DOAJ |
| description | Using the panel data vector autoregression (PVAR) model, this study examines the correlation between the stock market, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 March 2021 to 29 October 2021. The results of Granger causality test show that in Asian countries, there is a bidirectional causality between stock market and gold price. In addition, there is a unidirectional relationship between the stock market and the USD exchange rate, while the gold price and the USD exchange rate are completely independent of each other. Meanwhile, in European countries, stock market, gold price and USD exchange rate have a causal relationship at 1% significant level. The results of the impulse-response function analysis show that, in Asia, the stock market has a negative impact on the gold price and a positive effect on the USD exchange rate. In Europe, the stock market has a negative impact on the other two markets in the short term. The variance decomposition results suggest that, in Europe, the stock market return explains 2.5% for the gold price shock and 6.2% for the USD exchange rate shock from the tenth period. Meanwhile, these figures in the Asian countries are 1.6% and 3.2%, respectively. |
| format | Article |
| id | doaj-art-0be2d9aaf6d7468c835c7839d6eccf22 |
| institution | DOAJ |
| issn | 2332-2039 |
| language | English |
| publishDate | 2022-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj-art-0be2d9aaf6d7468c835c7839d6eccf222025-08-20T03:22:21ZengTaylor & Francis GroupCogent Economics & Finance2332-20392022-12-0110110.1080/23322039.2022.2127483The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic: an insight into analysis in Asia and EuropeOanh Tran0Ha Nguyen1Faculty of Finance and Banking, University of Finance – Marketing, Ho Chi Minh City, VietnamFaculty of Accounting, Finance and Banking - Ho Chi Minh City Industry and Trade College, Ho Chi Minh City, VietnamUsing the panel data vector autoregression (PVAR) model, this study examines the correlation between the stock market, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 March 2021 to 29 October 2021. The results of Granger causality test show that in Asian countries, there is a bidirectional causality between stock market and gold price. In addition, there is a unidirectional relationship between the stock market and the USD exchange rate, while the gold price and the USD exchange rate are completely independent of each other. Meanwhile, in European countries, stock market, gold price and USD exchange rate have a causal relationship at 1% significant level. The results of the impulse-response function analysis show that, in Asia, the stock market has a negative impact on the gold price and a positive effect on the USD exchange rate. In Europe, the stock market has a negative impact on the other two markets in the short term. The variance decomposition results suggest that, in Europe, the stock market return explains 2.5% for the gold price shock and 6.2% for the USD exchange rate shock from the tenth period. Meanwhile, these figures in the Asian countries are 1.6% and 3.2%, respectively.https://www.tandfonline.com/doi/10.1080/23322039.2022.2127483stock marketgold priceUSD exchange ratePVARCOVID-19C33 |
| spellingShingle | Oanh Tran Ha Nguyen The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic: an insight into analysis in Asia and Europe Cogent Economics & Finance stock market gold price USD exchange rate PVAR COVID-19 C33 |
| title | The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic: an insight into analysis in Asia and Europe |
| title_full | The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic: an insight into analysis in Asia and Europe |
| title_fullStr | The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic: an insight into analysis in Asia and Europe |
| title_full_unstemmed | The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic: an insight into analysis in Asia and Europe |
| title_short | The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic: an insight into analysis in Asia and Europe |
| title_sort | interdependence of gold us dollar and stock market in the context of covid 19 pandemic an insight into analysis in asia and europe |
| topic | stock market gold price USD exchange rate PVAR COVID-19 C33 |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2022.2127483 |
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