Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico. (March 2019)

• Record Type: Journal Article
• Authors: Singhal, Shelly; Choudhary, Sangita; Biswal, Pratap Chandra
• Is Part Of: Resources policy. Volume 60(2019)
• Page Start: 255
• Page End: 261
• Publication Date: 2019-03
• Subjects: G1 -- G10 -- G11 -- C32; Crude oil price -- Gold prices -- Stock markets Mexico -- ARDL bound cointegration test; Mines and mineral resources -- Periodicals; Ressources minérales -- Périodiques; Ressources naturelles -- Gestion -- Périodiques; Environnement -- Politique gouvernementale -- Périodiques; 333.8
• DOI: 10.1016/j.resourpol.2019.01.004
• Languages: English
• ISSNs: 0301-4207

Abstract

Abstract: This study investigates the dynamic relationship among international oil prices, international gold prices, exchange rate and stock market index in Mexico. Mexico is a major oil and gold exporting country and at the same time a major importer of petroleum products. ARDL Bound testing cointegration approach has been used on daily data ranging from January 2006 to April 2018. Findings of the study suggest that international gold prices positively affect the stock price of Mexico while oil price affects them negatively. Oil prices negatively influence exchange rate in the long and gold price do not have any significant impact on the exchange rate. The finding of this research have important implications and also provides some signals to monetary and fiscal policies, considering the pressure crude oil prices create on the stock markets and exchange rates. Highlights: Mexico is a major oil and gold exporting country and a major importer of petroleum products. Dynamic relationship among international oil prices, international gold prices, exchange rate and stock market index in Mexico. ARDL Bound testing Cointegration approach has been used. International gold prices positively affect the stock price of Mexico while oil price affects them negatively. Findings of this research have important implications for the Mexican portfolio management, as well as financial risk management.