文章基本信息

标题：Cointegration and causality between the GCC stock indices and gold indices
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作者：Sami Al Kharusi ; Esref Savas Basci
期刊名称：Business and Economic Horizons
印刷版ISSN：1804-1205
电子版ISSN：1804-5006
出版年度：2019
卷号：15
期号：1
页码：60-69
DOI：10.15208/beh.2019.4
出版社：Prague Development Center
摘要：This research paper presents the empirical evidence on the relationship between the price of gold and stock price indices for the Gulf Cooperation Council (GCC) stock markets over the period beginning January 2010 and ending in December 2016 using Johansen Cointegration and VAR Based Granger Causality tests. The study is based on secondary data from GCC individual stock market. The international gold prices and six daily stock price indices; Bahrain Stock Exchange (BSE), Kuwait Stock Exchange (KSE), Qatar Stock Exchange (QSE), Saudi Stock Exchange (SSE), Muscat Securities Market (MSM), Dubai Stock Exchange (DSE) and Abu Dhabi Stock Exchange (ADSE) are used. Over the period examined, gold prices and stock price indices are co-integrated and there are multiple Granger Causality between the different GCC stock markets.
关键词：Gold price; stock price indices; Johansen cointegration; Granger causality; Gulf Cooperation Council