This paper investigates the interaction between gold, oil prices and Islamic stock market for the period 1996-2018. Using a VAR and a Markov switching VAR model, results can be summarized as follow (i) there are some significant relationships between the considered variables; (ii) the sign of the links varies significantly according to variables and regimes; (iii) there is a significant and positive link between oil and Islamic stock markets namely during the volatile periods suggesting the financialization of the crude oil market; (iv) the negative or the absence of relationship between gold market and both oil and Islamic stock markets confirm the role of gold as a hedge and safe haven for extreme market conditions.
![The Links between Gold, Oil Prices and Islamic Stock Markets in a Regime Switching Environment](https://erf.org.eg/app/uploads/2019/07/1599381805_361_61692_nlwalidchkili-150x150.png)
Authors
Walid Chkili
Associate Professor of Finance, Faculty of Economics...