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Effects of international gold market on stock exchange volatility: evidence from asean emerging stock markets

Author

Listed:
  • Giam Quang Do

    (Chiangmai University and Hanoi University of Agriculture)

  • Michael Mcaleer

    (Erasmus University Rotterdam and National Chung Hsing University)

  • Songsak Sriboonchitta

    (Chiangmai University)

Abstract

This paper examines behaviors of returns and volatility of ASEAN emerging stock markets (Indonesia, Malaysia, Philippines, Thailand and Vietnam), incorporating with the effects from the international gold market. The estimates of GARCH(1,1) and GJR(1,1) for these stock markets indicate that the GJR(1,1) model is preferred to GARCH(1,1), except Vietnam. However, under the exogenous effects from international gold market such as the 1 day lagged returns and the 1 day lagged volatility of gold, the GARCH(1,1)-X model captures better stock market volatility behavior than GJR(1,1)-X, except Indonesia. Interestingly, gold could be a substitute commodity for stocks in Vietnam and the Philippines, while it could be a complement for stocks in Indonesia, Thailand and Malaysia.

Suggested Citation

  • Giam Quang Do & Michael Mcaleer & Songsak Sriboonchitta, 2009. "Effects of international gold market on stock exchange volatility: evidence from asean emerging stock markets," Economics Bulletin, AccessEcon, vol. 29(2), pages 599-610.
    • Handle: RePEc:ebl:ecbull:eb-09-00065
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    4. Woraphon Yamaka & Paravee Maneejuk, 2020. "Analyzing the Causality and Dependence between Gold Shocks and Asian Emerging Stock Markets: A Smooth Transition Copula Approach," Mathematics, MDPI, vol. 8(1), pages 1-27, January.
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    7. Triki, Mohamed Bilel & Ben Maatoug, Abderrazek, 2021. "The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk," Resources Policy, Elsevier, vol. 70(C).
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    9. Viorica Chirila & Ciprian Chirila, 2013. "International Gold Market, Stock Market and Business Cycles: the Central and Eastern European Countries," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 9(1), pages 36-52, February.
    10. Hatice Gaye Gencer & Zafer Musoglu, 2014. "Volatility Transmission and Spillovers among Gold, Bonds and Stocks: An Empirical Evidence from Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 705-713.
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    13. Uddin, Gazi Salah & Rahman, Md Lutfur & Hedström, Axel & Ahmed, Ali, 2019. "Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes," Energy Economics, Elsevier, vol. 80(C), pages 743-759.
    14. Mohd Fahmi Ghazali & Hooi Hooi Lean & Zakaria Bahari, 2019. "Does Gold Investment Offer Protection Against Stock Market Losses? Evidence From Five Countries," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(02), pages 275-301, August.
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    17. Takashi Miyazaki & Shigeyuki Hamori, 2013. "Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’," Applied Financial Economics, Taylor & Francis Journals, vol. 23(1), pages 27-40, January.

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    More about this item

    Keywords

    Volatility; GARCH-X; Gold effects; ASEAN emerging stock markets;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General

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