Abstract
The aim of the paper was to examine the bidirectional linkages between gold returns and stock indices returns. Four indices were considered (S&P500, NIKKEI, DAX, WIG). To achieve this goal, the augmented Dickey–Fuller test (ADF), Engle–Granger, and Johansen cointegration tests were applied. On the basis of the vector autoregressive (VAR) model, the Granger causality test was carried out to investigate causality between the analyzed time series. In this context, the following study hypothesis was formulated: Rates of return on stock markets were the Granger cause of the rates of return on the gold market. The research covered the period between January 1, 1997, and March 31, 2018, and two subperiods (bull and bear markets). The comparison of results for alternative VAR models estimated by employing daily and monthly data was presented. Studies for daily data have shown that feedback Granger causality appeared in four cases and the unidirectional causality was identified in eight cases. Referring to monthly data, no evidence of feedback causality was found. The unidirectional causality was present in five cases.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Anand, R., Madhogari, S.: Is gold a ‘Safe-Haven’?—an econometric analysis. In: International Conference on Applied Economics (ICOAE) 2012. Procedia Economics and Finance 1, pp 24–33 (2012). https://doi.org/10.1016/S2212-5671(12)00005-6
Arouri, M., Lahian, A., Nguyen, D.K.: World gold prices and stock returns in China: insights for hedging and diversification strategies. Econ. Model. 44, 273–282 (2015). https://doi.org/10.1016/j.econmod.2014.10.030
Aydin, A.D., Caliskan Cavdar, S.: Two different points of view through artificial intelligence and vector autoregressive models for ex post and ex ante forecasting. Comput. Intell. Neurosci. 2015 (2015), https://doi.org/10.1155/2015/409361
Bampinas, G., Panagiotidis, T.: Are gold and silver a hedge against inflation? A two century perspective. Int. Rev. Finan. Anal. 41, 267–276 (2015). https://doi.org/10.1016/j.irfa.2015.02.007
Baur, D.G., Tran, D.T.: The long-run relationship of gold and silver and the influence of bubbles and financial crises. Empirical Econ. 47(4), 1525–1541 (2014). https://doi.org/10.1007/s00181-013-0787-1
Baur, D.G., Lucey, B.M.: Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financ. Rev. 45, 217–229 (2010)
Baur, D.G., McDermott, T.K.: Is gold a safe haven? International evidence. J. Bank. Financ. 34(8), 1886–1898 (2010). https://doi.org/10.1016/j.jbankfin.2009.12.008
Bayraci S, Ari Y, Yildirim Y (2011): A Vector Auto-Regressive (VAR) Model for the Turkish Financial Markets. https://mpra.ub.uni-muenchen.de/id/eprint/30475 (last accessed 26.10.2018)
Beckmann, J., Berger, T., Czudaj, R.: Does Gold Act as a Hedge or a Safe Haven for Stocks? A Smooth Transition Approach. Economic Modelling 48(8), 16–24 (2015). https://doi.org/10.1016/j.econmod.2014.10.044
Capie, F., Mills, T.C., Wood, G.: Gold as a hedge against the dollar. Journal of International Financial Markets, Institutions and Money 15(4), 343–352 (2005). https://doi.org/10.1016/j.intfin.2004.07.002
Changa, C.-L., Della Chang, J.-C., Huang, Y.-W.: Dynamic price integration in the global gold market. North Am. J. Econ. Financ 26, 227–235 (2013). https://doi.org/10.1016/j.najef.2013.02.002
Charemza, W.W., Deadman, D.F.: Nowa ekonometria. PWE, Warszawa (1997)
Chua, J., Stick, G., Woodward, R.: Diversifying with gold stocks. Financ. Anal. J. 46(4), 76–79 (1990)
Demidova-Menzel, N., Heidorn, T.: Gold in the investment portfolio. Frankfurt School—Working Paper Series 87, 3–45 (2007)
Eryiğit, M.: Short-term and long-term relationships between gold prices and precious metal (Palladium, Silver and Platinum) and energy (Crude Oil and Gasoline) prices. Econ. Research-Ekonomska Istraživanja 30(1), 499–510 (2017). https://doi.org/10.1080/1331677X.2017.1305778
Ghazali, M.F., Lean, H.H., Bahari, Z.: Is gold a good hedge against inflation? Empirical evidence in Malaysia, Kajian Malaysia 33, Supp. 1, 69–84
Gujarati, D.N.: Basic econometrics, 4th edn. McGraw Hill, Boston (2003)
Kasprzak-Czelej, A.B.: Inwestycje w złoto jako zabezpieczenie przed inflacją w Polsce. Annales Universitatis Maria Curie - Skłodowska Lublin Polonia, Sectio H (Oeconomia), XLIX (4), 205–2014 (2015), http://dx.doi.org/10.17951/h.2015.49.4.205
Krawiec, M.: Testing the granger causality for commodity mutual funds in Poland and commodity prices. Metody Ilościowe w Badaniach Ekonomicznych/Quant. Methods Econ. XIII 2, 84–95 (2012)
Kusideł, E.: Modele wektorowo-autoregresyjne VAR. Metodologia i zastosowanie, Absolwent, Lodz (2000)
Le, T.-H., Chang, Y.: Oil price shocks and gold returns. Int. Econ. 131, 71–104 (2012). https://doi.org/10.1016/S2110-7017(13)60055-4
Lucey, B.M., Li, S.: What precious metals act as safe havens and when? Some US evidence. Appl. Econ. Lett. 22(1), 35–45 (2015). https://doi.org/10.1080/13504851.2014.920471
National Bank of Poland (NBP). https://www.nbp.pl/
Osińska, M.: Ekonometryczna analiza zależności przyczynowych. Wydawnictwo Naukowe Uniwersytetu Mikołaja Kopernika, Torun (2008)
Schweikert, K.: Are gold and silver cointegrated? New evidence from quantile cointegrating regressions. J. Bank. Finance 88, 44–51 (2018). https://doi.org/10.1016/j.jbankfin.2017.11.010
Shaique, M., Aziz, A., Herani, G.M.: Impact of gold prices on stock exchange market: a case of Karachi stock exchange market of Pakistan. Int. J. Acc. Econ. Stud. 4(1), 60–63 (2016). https://doi.org/10.14419/ijaes.v4i1.5899
Steiner, M., Bruns, C.: Wertpapiermanagement. Schäffer Poeschel Verlag, Stuttgart (1996)
Syczewska, E.M.: Przyczynowość w sensie Grangera - wybrane metody. Metody Ilościowe w Badaniach Ekonomicznych/Quant. Methods Econ. XV 4, 169–180 (2014)
Tully, E., Lucey, B.M.: A power GARCH examination of the gold market. Res. Int. Bus. Financ 21(2), 316–325 (2007). https://doi.org/10.1016/j.ribaf.2006.07.001
Van Hoang, T.H., Lean, H.H., Wong, W.K.: Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange. Int. Rev. Financ. Anal. 42, 98–108 (2015). https://doi.org/10.1016/j.irfa.2014.11.020
Wang, Y.S., Chueh, Y.L.: Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices. Econ. Model. 30, 792–798 (2013). https://doi.org/10.1016/j.econmod.2012.09.052
Widz, E.: Stopy zwrotu indeksów giełdowych na Giełdzie Papierów wartościowych w Warszawie i ich zmienność a wolumen obrotu akcjami – analiza zależności. Finanse, Rynki finansowe, Ubezpieczenia 2/2017 (86), 401–412 (2017)
World Gold Council (WGC). https://www.gold.org/
Yahoo Finance. https://finance.yahoo.com/
Zhou, Y, Zhang, K.: Warning signals of stock market crash during financial crisis: using Hong Kong as an empirical study. Int. J. Bus. Soc. Sci. 5(9), 134–149 (2014)
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2019 Springer Nature Switzerland AG
About this paper
Cite this paper
Mamcarz, K. (2019). Gold Market and Selected Stock Markets–Granger Causality Analysis. In: Tarczyński, W., Nermend, K. (eds) Effective Investments on Capital Markets. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-21274-2_28
Download citation
DOI: https://doi.org/10.1007/978-3-030-21274-2_28
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-21273-5
Online ISBN: 978-3-030-21274-2
eBook Packages: Economics and FinanceEconomics and Finance (R0)