文章基本信息

标题：Exchange Rate, Gold Price, and Stock Market Nexus: A Quantile Regression Approach
本地全文：下载
作者：Rizwan Ali ; Inayat Ullah Mangla ; Ramiz Ur Rehman 等
期刊名称：Risks
印刷版ISSN：2227-9091
出版年度：2020
卷号：8
期号：86
页码：86
DOI：10.3390/risks8030086
语种：English
出版社：MDPI, Open Access Journal
摘要：In this study, we examine an empirical relationship between stock market volatility with the exchange rate and gold prices of an emerging market, “Pakistan”, employing daily and monthly data (PSX-100 Index) covering from 2001: Q3 to 2018: Q2. The study explains the average stock returns by applying MGARCH. Further, it investigates that the volatility in the exchange rate (Rs/US $) and gold prices remain equally strong in bearish and bullish conditions of the stock market by using a quantile regression approach (2001–2018). Additionally, the sample period is divided into two split samples that cover (2001–2007) and (2008–2018) respectively, based on global financial crises and applied similar analysis. The overall results show the negative impact of the exchange rate and gold price volatility on the stock market performance daily (monthly), supporting the argument that the stock market considers the exchange rate and gold price fluctuations as an adverse indicator and reacts negatively.