ERF 26th Annual Conference
The Links between Gold, Oil Prices and Islamic Stock Markets in a Regime Switching Environment
No.
ERF26_216
Publisher
ERF
Date
September, 2020
Topic
C3. Multiple or Simultaneous Equation Models
G1. General Financial Markets
F3. International Finance
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.
Authors
Walid Chkili
Associate Professor of Finance, Faculty of Economics...