Please use this identifier to cite or link to this item:https://hdl.handle.net/20.500.12259/59259
Type of publication: Straipsnis Clarivate Analytics Web of Science ar/ir Scopus / Article in Clarivate Analytics Web of Science or / and Scopus (S1)
Field of Science: Vadyba / Management (S003)
Author(s): Vveinhardt, Jolita;Štreimikienė, Dalia;Ahmed, Rizwan Raheem;Ghauri, Saghir Pervaiz;Ashraf, Muhammad
Title: Asymmetric influence of oil and gold prices on Baltic and South Asian stock markets: Evidence from Johansen cointegration and ARDL approach
Is part of: Acta Montanistica Slovaca. Kosice : Technical University of Kosice, 2017, Vol. 22, iss. 4
Extent: p. 422-438
Date: 2017
Keywords: Crude oil prices;Stock markets;Gold prices;Johansen cointegration;ARDL approach
Abstract: The purpose of the undertaken research study is to examine the influence of crude oil and gold prices on the equity returns of Baltic and South Asian stock markets. The study comprises of daily data from January 1, 2010, to June 30, 2016. Nasdaq Baltic market (LOMXBBGI) data time series is stationary at level; however, rest of the data series became stationary at first difference by employing Philips-Perron and Augmented Dickey-Fuller approaches. Results of Johansen cointegration illustrated an absence of the cointegration amongst the considered economic indicators, therefore; we could not establish the long haul association amidst the equity returns of Baltic and South Asian markets, and crude oil and gold prices. The outcomes of VEC Granger Causality/Block Exogeneity Wald approach suggested unidirectional causality from LCOP to LKSE100 and LGP to LKSE100. Hence, it has been established that there is no causal affiliation amongst the variables. However, it is further concluded from the results of ARDL approach that the LOMXBBGI has a significant short-term relationship in lag 1 and lag 2. Moreover, DLGP also showed a significant short-term relationship with LOMXBBGI at 10% significant level. However, LCOP does not have any affect on LOMXBBGI
Internet: https://actamont.tuke.sk/pdf/2017/n4/10vveinhardt.pdf
https://actamont.tuke.sk/pdf/2017/n4/10vveinhardt.pdf
Affiliation(s): Ekonomikos ir vadybos fakultetas
Vadybos katedra
Vilniaus universitetas, Kauno humanitarinis fakultetas
Vytauto Didžiojo universitetas
Appears in Collections:Universiteto mokslo publikacijos / University Research Publications

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