...International Journal of Applied Business and Economic Research, Vol. 9, No. 2, (2011): 145-165 STUDY ON DYNAMIC RELATIONSHIP AMONG GOLD PRICE, OIL PRICE, EXCHANGE RATE AND STOCK MARKET RETURNS K. S. Sujit1 and B. Rajesh Kumar2 Abstract: The dynamic and complex relationship among economic variables has attracted the researchers, policy makers and business people alike. This study is an attempt to test the dynamic relationship among gold price, stock returns, exchange rate and oil price. All these variables have witnessed significant changes over time and hence, it is absolutely necessary to validate the relationship periodically. This study takes daily data from 2nd January 1998 to 5th June 2011, constituting 3485 observations. Using techniques of time series the study tried to capture dynamic and stable relationship among these variables using vector autoregressive and cointegration technique. The results show that exchange rate is highly affected by changes in other variables. However, stock market has fewer roles in affecting the exchange rate. In this study we tested two models and one model suggests that there is weak long term relationship among variables. JEL classification: C22; E3; Keywords: Unit root tests; granger causality test, Cointegration; Vector auto regression (VAR) INTRODUCTION Gold was one of the first metals humans excavated. Gold as an asset has a hybrid nature: it is a commodity used in many industries but also it has maintained throughout history...
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...RESEARCH TITLE The relationships among determinants of the gold price in Malaysia RESEARCH OBJECTIVES 1. To determine the relationship between USD-MYR exchange rate on the Malaysian gold price. 2. To determine the relationship between the price of crude oil on the Malaysian gold price. 3. To determine the relationship between the Malaysian Gross Domestic Product on the Malaysian gold price 4. To determine the relationship between inflation rate on the Malaysian gold price. 5. To determine what are the stronger factors influencing the price of gold in Malaysia LITERATURE REVIEW There are number of group studies literature related with the functions gold has in the economy. The first group includes the literature showing how gold price is affected by macroeconomic news (Dooley et al., 1995; Fortune, 1987; Sherman, 1983; Sjaastad and Scacciallani, 1996; Wang and Lee, 2011). These studies investigate the relation of gold price with economic variables which includes inflation, interest rate, exchange rate etc. Second group includes the literature focusing on the examined the influencing factors in the variations of the gold price (Diba and Grossman, 1984; Pindyck, 1993; Baker and Tassel, 1985). Third group includes the literature aiming on the advantage of using gold in diversifying risk for a long-run portfolio (Chua et al., 1990; Sherman, 1986; Michaud et al., 2006; Ciner, 2011; Jaffe, 1989). Fourth group includes the literature focusing on the inflation...
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...Vol. 2, No. 1, March 2014 The Determinants of Gold Prices in Malaysia Siti Nurulhuda Ibrahim, Nurul Izzat Kamaruddin, and Rahayu Hasan Universiti Teknologi MARA, Bandaraya Melaka, Malaysia Email: {Sitinur304, nrl_izzat, rahayuhasan} @bdrmelaka.uitm.edu.my Abstract—This paper analysed factors that affecting the prices of gold in Malaysia. The study used Multiple Linear Regression Model to determined significant relationship between dependent and independent variables, covering data for 10 years period which are from 2003 until 2012. The researcher used three independent variables that affect the prices of gold which are crude oil prices, inflation rates and exchange rates. The empirical results have found there is negatively significant relationship between inflation rates and exchange rates on gold prices, while a crude oil price is positively significant. The results of the study are valuable for both academic and investor. Index Terms—determinant, gold prices, crude oil prices, inflation rates, exchange rates price and sell it at high price later on. Thus, this is why the factors that affect the gold price must be determined so that people may estimate the timing to buy, hold or sell the gold. This study is made to seek the proofs for the possible factors that affect the gold price in Malaysia. From this research, the most important or most influence factor can also be determined. Simply put, the findings for this research will bring benefit to individual, group as well...
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...Journal of Basic and Applied Scientific Research www.textroad.com Factors Affecting the Price of Gold in Malaysia Hanif Zakaria, Nabilah Abdul Shukur, Salwani Affandi, Wan Mansor Wan Mahmood Faculty of Business Management Universiti Teknologi MARA, Dungun, Terengganu, Malaysia Received: March 9, 2015 Accepted: June 16, 2015 ABSTRACT Gold is a precious metal which serves as both financial and real assets. The value of gold in the society goes more than just economic, as it is also treasured as a storage and display of mammon and culture.Of late, the price of gold is not stable in which it tends to oscillatecontingent on the economic condition. In the long-run, its prices keep increasing due to high demand and inadequate supply worldwide. However, in the short-run, its price seems to be volatile due to various potential reasons. Therefore, this study was conducted to determine the factors influencing gold prices in Malaysia. In order to achieve the objective, Stata software was used to assess the prospective relationships between the gold prices as the dependent variable and the inflation rate, interest rate and exchange rate as independent variablesby using Pooled Ordinary Least Squares (POLS) methodology. The monthly data employed in this study spans across a 14 years period from year 2000 until 2013. The results revealed that the rates of inflation, exchange and interest were significantly related with gold prices in Malaysia in different magnitude and ...
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...DISSERTATION Title “Affect of Gold Prices on the Stock Market of Pakistan" Abstract The research is on the impact of gold prices on the stock market of Pakistan. With an increase in gold prices investors find it more profitable to invest their money into gold as the value of gold per gram is high due to its increased demand. When investors invest into gold naturally they don’t have money to invest in other places like stocks thus stock market is affected by gold prices. The attractive gold price takes the attention of the investor and as a result less investment in stock is made and stock market suffers. This paper aims to find this relationship between stock market and gold prices. In this research Karachi stock exchange has been considered as the stock market to see the relationship with gold prices. ADF unit root test and granger causality test have been used in this research. The results showed that data series for both gold and KSE 100 index has integration at first order. The results also showed that there is a relationship between stock market and gold prices and the relationship is bidirectional. Gold prices affect the Karachi stock exchange and Karachi stock exchange also affects gold prices. Keywords: Gold prices, stock market, gold price and stock market, gold and stock market relationship. Table of Contents Sr.# | DESCRIPTION | PAGE NO. | 1 | AcknowledgEment……………………………………... | I | 2 | ABSTRACT………………………………………………….. | II | 3 | CHAPTER 1. INTRODUCTION…………………………...
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...Of Management Lucknow August 2013 A MICROECONOMIC STUDY ON GOLD Submitted to Professor Sanjay K Singh By Section E, Group J Aman Doharey (PGP30244) Mahesh Raja R (ABM11045) Prerna Pal (PGP30265) Rohit Mandappalli (PGP29341) Shradhha MeryllinePanna (PGP30280) Swagata Das Chowdhury (PGP30419) Tanuj Kumar Lodhi (PGP30420) Table of Contents Introduction Background Protection Requirement Elasticity Of Gold Gold Consumption Scenario in India Need and Objective Of Study Research Methodology Tools and Techniques Hypotheses Data Analysis 1. US Dollar 2. Crude Oil 3. Silver 4. Inflation 5. Sensex Values Findings and Conclusions INTRODUCTION This report emphasizes on studying, interpreting and illustrating the various economic factors affecting the consumption and price of the precious metal Gold. We examine the impact of factors that maybe reason for such distortion and also see how the change in gold price impacts other commodities in the open market. Background Used as a sovereign since ages, gold has always been a sought after commodity. The price variation has almost always been upwards and has had a steep rise in this trend. A few pointers about Gold can be inferred as below. Production Gold is majorly obtained through mining, other sources may include recycling, trading etc. Through these sources gold enters the market. Requirement Gold is an essential commodity in any country’s economic state. It is...
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...Rakyat, problem statement, objectives of the study, research questions, and significance of the study. This chapter also discusses on scope and limitations of study and definition of term. 1.1 BACKGROUND OF THE STUDY For the past few years, a pawn broking has taken place in our country. It has been started since the 15th century which was introduced by the Chinese traders during the Malacca Sultanate. Then, it continued to expand after the discovery of tin mining in Larut in the 19 century. Pawn broking can be traced back to at least 3,000 years in ancient China. It also has been found in the earliest written histories of Greek and Roman civilizations. According to the Islamic Financial Services Board (IFSB), the Ar- Rahnu scheme can demonstrate its roles as a viable microcredit product of the financial institution in meeting the different customer requirements. Firstly, it represents a credit channel to those who want to use Ar-Rahnu scheme to obtain financial resources to meet their daily financial requirements; and secondly, it can be a credit channel to those who requires temporary working capital, particularly for small business. The objective of Ar-Rahnu is to create an alternative financing channel to the conventional pawn broking, that is not only more transparent but it also more compliant with Shari’ah principles. Ar-Rahnu is a form of microcredit product the borrower places their valuable assets such as gold or jewellery as collateral for the financing. In conventional...
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...grateful to The Almighty God for establishing strength to us to complete this report that given by our lecturer. We are really grateful because we manage to complete our assignment in subject Econometrics within the time given by our beloved lecturer. We are very thankful to our Econometrics lecturer, Sir Abdul Razak Bin Jambari, for his valuable guidance, encouragement, and co-operation until the report have been done smoothly and successfully. He really helps us to giving ideas to do a research on this subject and also give some new skills and information that we did not have before. It is so valuable for us to know more about this subject and hopefully we can use it in future. This assignment cannot be complete without the effort and co-orperation from our group member. It is a great opportunity for us to do some research and write a report about relationship of KLCI between M2, price of gold, interest rate and CPI. At the time of preparing this report, we had gone through some research by using several methods for collecting the data and explained it through Eviews 8. Although this subject is new in UiTM Segamat and especially in Degree of Investment, by expertise from our lecturer, we able to do this assignment smoothly. Last but not the least, we would like to express our gratitude to our friends whose help us in guiding us collecting the data and complete this assignment. We hope this assignment can give useful knowledge to us and to others. Thank you so much. METHODOLOGY...
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...Rakyat, problem statement, objectives of the study, research questions, and significance of the study. This chapter also discusses on scope and limitations of study and definition of term. 1.1 BACKGROUND OF THE STUDY For the past few years, a pawn broking has taken place in our country. It has been started since the 15th century which was introduced by the Chinese traders during the Malacca Sultanate. Then, it continued to expand after the discovery of tin mining in Larut in the 19 century. Pawn broking can be traced back to at least 3,000 years in ancient China. It also has been found in the earliest written histories of Greek and Roman civilizations. According to the Islamic Financial Services Board (IFSB), the Ar- Rahnu scheme can demonstrate its roles as a viable microcredit product of the financial institution in meeting the different customer requirements. Firstly, it represents a credit channel to those who want to use Ar-Rahnu scheme to obtain financial resources to meet their daily financial requirements; and secondly, it can be a credit channel to those who requires temporary working capital, particularly for small business. The objective of Ar-Rahnu is to create an alternative financing channel to the conventional pawn broking, that is not only more transparent but it also more compliant with Shari’ah principles. Ar-Rahnu is a form of microcredit product the borrower places their valuable assets such as gold or jewellery as collateral for the financing. In conventional...
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...Abstract The historic silver/gold price ratio was 15 or 16:1, but in recent years, silver is relatively cheaper ranging from about 40:1 to 80:1. On Jan 24th, 2003, with silver at $4.89/oz. and gold at $368/oz., the ratio is 75:1. This means that silver is currently undervalued, and cheaper than historic norms, and thus it is better investment than even gold if investors want to “buy low and sell high”. The supply and demand fundamentals for silver are extraordinary. Annual supply is about 650 million ounces, and annual demand is about 800 million ounces. Considering refined and mined known silver reserves, there are far less silver in the world than gold. About 150 million ounces of silver vs. 4000 million ounces of gold. Investors may get so much silver for their money. A bag of junk silver weighs about 55 pounds, and the size of a bowling ball. If investors invested $100,000 into junk silver coins, at $3500/bag, that would give them 28.5 bags each weighing 55 pounds, or 57 bags weighing 27 pounds each, or about 1571 pounds total. Could they imagine moving that much around their house if they had to move? Silver is so cheap it creates physical problems for investors today! Keywords Silver, Gold, Awareness, Differences, Prospective, Investment. Chapter 1 Introduction Lately, value investors are moving towards into silver investment rather than gold investment due their infatuation and brighter prospect gain look continuously. True, both metals have not...
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...Brief History of the Gold Standard in the United States Craig K. Elwell Specialist in Macroeconomic Policy June 23, 2011 Congressional Research Service 7-5700 www.crs.gov R41887 CRS Report for Congress Prepared for Members and Committees of Congress Brief History of the Gold Standard in the United States Summary The U.S. monetary system is based on paper money backed by the full faith and credit of the federal government. The currency is neither valued in, backed by, nor officially convertible into gold or silver. Through much of its history, however, the United States was on a metallic standard of one sort or another. On occasion, there are calls for Congress to return to such a system. Such calls are usually accompanied by claims that gold or silver backing has provided considerable economic benefits in the past. This report briefly reviews the history of the gold standard in the United States. It is intended to clarify the dates during which the standard was used, the type of gold standard in operation at the various times, and the statutory changes used to alter the standard and eventually end it. It is not a discussion of the merits of such a system. The United States began with a bimetallic standard in which the dollar was defined in terms of both gold or silver at weights and fineness such that gold and silver were set in value to each other at a ratio of 15 to 1. Because world markets valued them at a 15½ to 1 ratio, much of the gold left the country and...
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...results of how the stock performed from 3/5/12 to 3/16/12: We will discuss some stock analysis and the gain/loss later in this report. | Current | Date | Time | AMZN | 185.05 | 3/16/2012 | 1:28pm | XOM | 86.44 | 3/16/2012 | 1:29pm | GOOG | 625.4 | 3/16/2012 | 1:28pm | F | $12.51 | 3/16/2012 | 1:29pm | JNJ | $65.12 | 3/16/2012 | 1:28pm | Other than having five stocks, we have a put option for Procter & Gamble and a futures contract of Gold. b) Analyzing the futures contract of gold we bought at the beginning, March 2, 2012, it closed at $1,698 which meant our initial value was at $10,125 with a margin call at $7500. If it drops below that price then we would have to borrow money to bring it back up to the initial margin. On March 3, 2012, gold closed at $1702 resulting in a profit of 4 dollars per share increasing our profit by $400 and the resulting value of our gold became $10,525 On March 4, 2012, gold jumped another $3 resulting in a profit of $300 and an overall value of $10,825. On March 5, 2012, Gold raised $7 resulting in a profit of $700 and the value became $11,525. On March 6, the value dropped $5 dollars...
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...The research is done to evaluate the impact of the palm oil price changes on the buyers and the sellers with the relation with the demand and the supply of the palm oil in the market. Gold h become the trend of nowadays and people tend to invest their money in gold to for the stability in future. Thus, the price of the gold is keeping increasing and the impact may not the same as the other kind of commodity such as crude oil and rubber. The few stock of gold in market and the investor attitude in keeping the gold gave the influence to the price in the market. As the gold is having the value on its on interior value, there is not much advancement of technologies in the industries. This supply will never increase in the market with the high demand each year especially on the festive seasons, thus, the gold price will always increase. Abstract Keywords: Gold, Commodity, Supply, demand, price. Introduction The articles “The Gold Rush is on” was cited from The Star Online written on 5 May 2011 by Vijenthi Nair. People are now rushing to by the gold as the price of the gold was kept on increasing each week. Even though the price is hiking non- stop gold lover is keep on hunting for the gold as they are fear the price will go even higher. The price increased has created the demand for gold to become higher as people have non-stop buying due to a lot of speculation created. In spite of it, people still hope for the price to go lower as they will buy more for the future...
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.../ Forex / Crude Oil on Gold Vikram K. Joshi A b s t r a c t Gold which traditionally viewed as a safe haven in uncertain times, hit record highs in post-2000. The current bull-run in gold has lasted for a decade from ` 4473.60 per 10 gms in 2000-01 to record highs of ` 14,578.08 per 10 gms in 2009-10. B e f o r e 2 0 0 0 , t h e d e m a n d f o r g o l d w a s e l a s t i c . H o w e v e r, n o w t h e gold market seems entirely inelastic, as the appetite for the metal is high even a s t h e p r i c e s m o v e h i g h e r. I n t h i s p a p e r t h e e f f o r t s a r e m a d e t o a n a l y z e t h e reasons for rising gold demand and prices in Indian market and its relationship w i t h t h e f o r e x m a r k e t , t h e f l u c t u a t i o n s i n t h e s t o c k m a r k e t and t h e s o a r i n g crude oil price in the international market. Key words: Stock Market, BSE SENSEX, Gold prices, FOREX Market, Crude oil prices. dwells on the rise in price of the yellow metal. I Dr. Vikram K. Joshi, Asst Professor, Dr. Ambedkar Institute of Management Studies and Research Deekshabhoomi, Nagpur. Email: vikramkjoshi@gmail.com n India, gold standard was treated as one of the most important measures or instruments of monetary system. The gold standard ceased to function a long time back but gold bullion still retains some of its old halo. Gold bullion still figures in the discussions of the monetary system. Gold bullion is prized even...
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...INTRODUCTION As per an article on the website , www.venturecapitalresources.com , named “Past and Present of Capital Market” it has been mentioned that the Indian stock markets are one of the oldest in Asia. Its history dates back to nearly 200 years ago. The earliest records of security dealings in India are meager and obscure. By 1830's business on corporate stocks and shares in Bank and Cotton presses took place in Bombay. Though the trading list was broader in 1839, there were only few brokers recognized by banks and merchants during 1840 and 1850. The 1850's witnessed a rapid development of commercial enterprise and brokerage business attracted many men into the field and by 1860 the number of brokers increased into 60. In 1860-61 the American Civil War broke out and cotton supply from United States to Europe was stopped; thus, the 'Share Mania' in India begun. The number of brokers increased to about 200 to 250. However, at the end of the American Civil War, in 1865, a disastrous slump began (for example, Bank of Bombay Share which had touched Rs 2850 could only be sold at Rs. 87). At the end of the American Civil War, the brokers who thrived out of Civil War in 1874, found a place in a street (now appropriately called as Dalal Street) where they would conveniently assemble and transact business. In 1887, they formally established in Bombay, the "Native Share and Stock Brokers' Association" (which is alternatively known as “The Stock Exchange“). Trading was at that time...
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