Gold-oil-exchange rate volatility, Bombay stock exchange and global financial contagion 2008: Application of NARDL model with dynamic multipliers for evidences beyond symmetry

The primary objective of this research article is to investigate the asymmetrical linkages between gold-oil-exchange rates and Bombay stock indexes by utilizing a nonlinear ARDL approach covering the period from April 2003 to May 2020. Time-series data is divided into three different types of regime...

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Autores principales:	Muzaffar Asad, Mosab I. Tabash, Umaid A. Sheikh, Mesfer Mubarak Al-Muhanadi, Zahid Ahmad
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2020
Materias:	bombay stock exchange nardl model with dynamic multipliers unit root test with structural breaks oil prices gold prices exchange rate fluctuations macroeconomic volatility Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/f3a13428c40e4a64a3e91c731164ba5d
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spelling	oai:doaj.org-article:f3a13428c40e4a64a3e91c731164ba5d2021-12-02T17:01:03ZGold-oil-exchange rate volatility, Bombay stock exchange and global financial contagion 2008: Application of NARDL model with dynamic multipliers for evidences beyond symmetry2331-197510.1080/23311975.2020.1849889https://doaj.org/article/f3a13428c40e4a64a3e91c731164ba5d2020-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2020.1849889https://doaj.org/toc/2331-1975The primary objective of this research article is to investigate the asymmetrical linkages between gold-oil-exchange rates and Bombay stock indexes by utilizing a nonlinear ARDL approach covering the period from April 2003 to May 2020. Time-series data is divided into three different types of regimes such as before the crisis regime, after the crisis regime, and over the entire period. Seasonality effects within the data series are identified through utilizing different types of unit root analysis such as Philips Peron (PP), augmented dickey-fuller test (ADF), and Kwiatkowski Philips Schmidt Shin (KPSS) test statistics followed by Zivot Andrew (ZA) unit root for identification of structural break unit root test. Nonlinearity within time-series frequencies has been identified through the implementation of BDS test statistics. For longer horizons and before the economic recession period, only gold prices, oil prices, and currency values have an asymmetrical association with Bombay stock indexes as positive shocks to these variables have no impact on stock indexes. However, after the crisis regime and for the longer term, negative shocks to exchange rate fluctuations and oil prices remain statistically insignificant, and only an asymmetrical relationship is established between oil prices and stock indexes. This shows that the regime is more important while classifying the impact of oil prices, gold prices, and appreciation, or depreciation in local currency on Bombay stock indexes. This research article has established an asymmetrical association between stock indexes and gold-oil-exchange rates and concluded asymmetries between them, which are well thought out to be symmetrical by previous researches.Muzaffar AsadMosab I. TabashUmaid A. SheikhMesfer Mubarak Al-MuhanadiZahid AhmadTaylor & Francis Grouparticlebombay stock exchangenardl model with dynamic multipliersunit root test with structural breaksoil pricesgold pricesexchange rate fluctuationsmacroeconomic volatilityBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 7, Iss 1 (2020)
institution	DOAJ
collection	DOAJ
language	EN
topic	bombay stock exchange nardl model with dynamic multipliers unit root test with structural breaks oil prices gold prices exchange rate fluctuations macroeconomic volatility Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	bombay stock exchange nardl model with dynamic multipliers unit root test with structural breaks oil prices gold prices exchange rate fluctuations macroeconomic volatility Business HF5001-6182 Management. Industrial management HD28-70 Muzaffar Asad Mosab I. Tabash Umaid A. Sheikh Mesfer Mubarak Al-Muhanadi Zahid Ahmad Gold-oil-exchange rate volatility, Bombay stock exchange and global financial contagion 2008: Application of NARDL model with dynamic multipliers for evidences beyond symmetry
description	The primary objective of this research article is to investigate the asymmetrical linkages between gold-oil-exchange rates and Bombay stock indexes by utilizing a nonlinear ARDL approach covering the period from April 2003 to May 2020. Time-series data is divided into three different types of regimes such as before the crisis regime, after the crisis regime, and over the entire period. Seasonality effects within the data series are identified through utilizing different types of unit root analysis such as Philips Peron (PP), augmented dickey-fuller test (ADF), and Kwiatkowski Philips Schmidt Shin (KPSS) test statistics followed by Zivot Andrew (ZA) unit root for identification of structural break unit root test. Nonlinearity within time-series frequencies has been identified through the implementation of BDS test statistics. For longer horizons and before the economic recession period, only gold prices, oil prices, and currency values have an asymmetrical association with Bombay stock indexes as positive shocks to these variables have no impact on stock indexes. However, after the crisis regime and for the longer term, negative shocks to exchange rate fluctuations and oil prices remain statistically insignificant, and only an asymmetrical relationship is established between oil prices and stock indexes. This shows that the regime is more important while classifying the impact of oil prices, gold prices, and appreciation, or depreciation in local currency on Bombay stock indexes. This research article has established an asymmetrical association between stock indexes and gold-oil-exchange rates and concluded asymmetries between them, which are well thought out to be symmetrical by previous researches.
format	article
author	Muzaffar Asad Mosab I. Tabash Umaid A. Sheikh Mesfer Mubarak Al-Muhanadi Zahid Ahmad
author_facet	Muzaffar Asad Mosab I. Tabash Umaid A. Sheikh Mesfer Mubarak Al-Muhanadi Zahid Ahmad
author_sort	Muzaffar Asad
title	Gold-oil-exchange rate volatility, Bombay stock exchange and global financial contagion 2008: Application of NARDL model with dynamic multipliers for evidences beyond symmetry
title_short	Gold-oil-exchange rate volatility, Bombay stock exchange and global financial contagion 2008: Application of NARDL model with dynamic multipliers for evidences beyond symmetry
title_full	Gold-oil-exchange rate volatility, Bombay stock exchange and global financial contagion 2008: Application of NARDL model with dynamic multipliers for evidences beyond symmetry
title_fullStr	Gold-oil-exchange rate volatility, Bombay stock exchange and global financial contagion 2008: Application of NARDL model with dynamic multipliers for evidences beyond symmetry
title_full_unstemmed	Gold-oil-exchange rate volatility, Bombay stock exchange and global financial contagion 2008: Application of NARDL model with dynamic multipliers for evidences beyond symmetry
title_sort	gold-oil-exchange rate volatility, bombay stock exchange and global financial contagion 2008: application of nardl model with dynamic multipliers for evidences beyond symmetry
publisher	Taylor & Francis Group
publishDate	2020
url	https://doaj.org/article/f3a13428c40e4a64a3e91c731164ba5d
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Gold-oil-exchange rate volatility, Bombay stock exchange and global financial contagion 2008: Application of NARDL model with dynamic multipliers for evidences beyond symmetry

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