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The Impact of Gold, Bond, Currency, Metals and Oil Markets on the USA Stock Market

Author

Listed:
  • Xanthi Partalidou

    (Department of Financial Applications, Technological Education Institute of West Macedonia, Kila, 50100 Kozani, Greece,)

  • Apostolos Kiohos

    (Department of International and European Studies, University of Macedonia, 54006, Egnatia 156, Thessaloniki, Greece,)

  • Grigoris Giannarakis

    (Department of Business of Administration, Technological Educational Institution of Western Macedonia, 51100, 6 km Paleas E.O Grevenon Kozanis, Grevena, Greece,)

  • Nikolaos Sariannidis

    (Department of Financial Applications, Technological Education Institute of West Macedonia, Kila, 50100 Kozani, Greece)

Abstract

This study examines the impact of financial and economic variables on the industrial Dow Jones Industrial Average (DJIA) using daily data over the sample period March 1995-May 2014. Gold, Bond, Currency, Metals and Oil market were taken into consideration, and, as well as, their impact on the DJIA. The results of the model GJR-Generalized Autoregressive Conditional Heteroskedasticity proved that the purchase of gold, of decade bonds (10 years Treasury Note) and the US Dollar/Yen exchange rate affect, negatively, the returns of DJIA. On the other hand, it was made clear that the purchase of industrial metals affects, positively, the returns of DJIA. Lastly, our findings indicate that the asymmetry of the oil returns affects- extremely negatively - the DJIA returns.

Suggested Citation

  • Xanthi Partalidou & Apostolos Kiohos & Grigoris Giannarakis & Nikolaos Sariannidis, 2016. "The Impact of Gold, Bond, Currency, Metals and Oil Markets on the USA Stock Market," International Journal of Energy Economics and Policy, Econjournals, vol. 6(1), pages 76-81.
    • Handle: RePEc:eco:journ2:2016-01-11
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    References listed on IDEAS

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    Cited by:

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    3. Zainudin, Ahmad Danial & Mohamad, Azhar, 2021. "Financial contagion in the futures markets amidst global geo-economic events," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 288-308.

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    More about this item

    Keywords

    GJR-Generalized Autoregressive Conditional Heteroskedasticity; Brent Oil; Gold; Metals; Equity Market; Exchange Rates; Bond Market; Market Risk;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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