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The purpose of the study is to find out the impact of gold and oil prices on the stock market.

This study uses the data on gold prices, stock exchange and oil prices for the period 1991–2016. This study applied descriptive statistics, augmented Dickey–Fuller test, correlation and autoregressive distributed lag test.

The data analysis results showed that gold and oil prices have a significant impact on the stock market.

Following empirical evidence of this study, the authors recommend that investors should invest in gold because the main reason is that hike in inflation reduces the real value of money, and people seek to invest in alternative investment avenues like gold to preserve the value of their assets and earn additional returns. This suggests that investment in gold can be used as a tool to decline inflation pressure to a sustainable level. This study was restricted to use small sample data owing to the availability of data from 1991 to 2017 and could not use structural break unit root tests with two structural break and structural break cointegration approach, as these tests require high-frequency data set.

This study provides information to the investors who want to get the benefit of diversification by investing in gold, oil and stock market. In the current era, gold prices and oil prices are fluctuating day by day, and investors think that stock returns may or may not be affected by these fluctuations. This study is unique because it focusses on current issues and takes the current data in this research to help investment institutions or portfolio managers.

The purpose of this paper is to examine, in a global perspective, the oil, gold, US dollar and stock prices interdependencies and to identify instantaneously direct and indirect linkages among them.

A methodology based on simultaneous equations system was used to identify direct and indirect linkages for the period 1995-2015. The authors try initially to find theoretical answers to main question of the study by discussing causal bilateral relationships while focusing on multilateral interactions.

The results show significant interactions between all markets. The authors found a negative relation between oil and stock prices but oil price is significantly and positively affected by gold and USD. Oil price is also affected by oil futures prices and by Chinese oil gross imports. Gold rate is concerned by changes in oil, USD and stock markets. The US dollar is negatively affected by stock market and significantly by oil and gold price. Indirect effects always exist which confirm the presence of global interdependencies and involve the financialization process of commodity markets.

Motivation of this research paper is the substantial implications of price movements on real economy and financial markets. Understanding that co-movement has great value for investors, policy makers and portfolio managers. This paper differs from previous studies in several aspects. First, most of the research papers focus on bilateral linkages solely, while the authors’ investigation was implemented on all the four markets simultaneously. Second, the study was developed in a global framework using international data. The global analysis allows avoiding country specific effects.

This paper investigates the relationship between domestic gold prices and inflation in Vietnam based on the monthly series of the gold price index and consumer price index over the period of December 2001–July 2020.

The co-integration between the domestic gold price and inflation is examined within the autoregressive distributed lag-error correction (ARDL bounds testing) framework. This paper also applies the vector error correction model (VECM) and impulse response function analysis to explore the causal relationship between these two variables. Moreover, since both gold and inflation series are likely to have structural changes over time, a unit root test controlling for significant breaks is employed in this paper.

Findings from the ARDL bounds testing model suggest the presence of a co-integration between the underlying variables. The VECM indicates that shocks in inflation lead to a negative response to gold prices in the long run. In the short term, only fluctuations in gold prices impact inflation, and this causality is unidirectional.

Gold is regarded as a critical financial asset to preserve wealth from inflation pressure in the case of Vietnam. These findings propose implications for both investors and policymakers.

Empirical results suggest that inflation has a long-term impact on gold prices in the Vietnamese market. In the existence of a permanent inflationary shock, domestic prices of gold respond negatively to this shock; hence, gold can act as a good hedge against inflation in Vietnam.

This study aims to identify the ability of gold and cryptocurrency (Cryptocurrency Uncertainty Index (UCRY) Price) as safe haven assets (SHA) for stocks and bonds in both conventional (i.e. stock indices and government bonds) and Islamic markets (i.e. Islamic stock indices and Islamic bonds (IB)).

The authors employed the nonadditive panel quantile regression model by Powell (2016). It measured the safe haven characteristics of gold and UCRY Price for stock indices, government bonds, Islamic stocks, and IB under gold circumstances and level of cryptocurrency uncertainty, respectively. The period spanned from 11 March 2020 to 31 December 2021.

This study discovered three findings, including: (1) gold is a strong safe haven for stocks and bonds in conventional and Islamic markets under bearish conditions; (2) UCRY Price is a strong safe haven for conventional stocks and bonds but only a weak safe haven for Islamic stocks under high crypto uncertainty; and (3) gold offers a safe haven in both emerging and developed countries, while UCRY Price provides a better safe haven in developed than in emerging countries.

Gold always wins big for safe haven properties during unstable economy. It can also win over investors who consider shariah compliant products. Therefore, it should be included in an investor's portfolio. Meanwhile, cryptocurrencies are more common for developed countries. Thus, the governments and regulators of emerging countries need to provide more guidance around cryptocurrency so that the societies have better literacy. On top of that, the investors can consider crypto to mitigate risks but with limited safe haven functions.

The originality aspects of this study include: (1) four chosen assets from conventional and Islamic markets altogether (i.e. stock indices, government bonds, Islamic stock indices and IB); (2) indicator countries selected based on the most used and owned cryptocurrencies for the SHA study; and (3) the utilization of UCRY Price as a crypto indicator and a further examination of the SHA study toward four financial assets.

The argument whether gold is a hedge or haven is a debatable issue. Mainly, hedge is a class of asset that is negatively correlated with another asset or portfolio on average. On the other hand, a safe haven is an asset or portfolio which is negatively correlated with another asset or portfolio at the time of market turmoil. Therefore, the purpose of this research is to take Saudi Arabia as an example to examine the relationship of gold price in Saudi Arabia with key determinants such as the stock market index, oil prices, exchange rate, interest rate and consumer price index (CPI) by application of the autoregressive distributed lag model (ARDL).

The ARDL analysis was employed by using six variables based on the application of monthly time series data that were collected from 2011 to 2015.

From the present analysis, it has been discovered that gold is useful as a portfolio hedge and as a hedge against inflation because it is not affected by the CPI. External factors, for example, financial crisis, may be harmful to the CPI, thus adding a certain percentage of gold in the investment portfolio may assist in decreasing the level of risk at the time of financial turmoil.

Because gold seems to be a useful portfolio hedge, as well as an inflation hedge, government policies to curb the import of gold may be futile. The present research suggests that policies that directly address the causes of inflation and provide alternative investment opportunities for retail investors may better serve the objective of decreasing gold imports.

The purpose of this study is to explore the role of gold as a hedge against inflation in the case of the United Arab Emirates.

The study utilizes monthly data on the local sharia-compliant spot gold contract traded on the Dubai Gold and Commodity Exchange (DGCX) and the corresponding consumer price index series over the period December 2015 to January 2021. The econometric approach employed by the study involves a unit root testing procedure that allows the timing of significant breaks to be estimated. A cointegration analysis is then conducted using a nonlinear autoregressive distributed lag (NARDL) model, taking into consideration the presence of structural breaks in addition to short- and long-run asymmetries.

The results reveal that consumer and gold prices are cointegrated, which implies that investing in gold can hedge against inflation in the long run. No sufficient evidence, nonetheless, is found in support of the ability of gold to serve as a hedge against inflation in the short run.

The findings have several important policy implications for policymakers and investors that are further discussed in the study.

Critics say cryptocurrencies are hard to predict and lack both economic value and accounting standards, while supporters argue they are revolutionary financial technology and a new asset class. This study aims to help accounting and financial modelers compare cryptocurrencies with other asset classes (such as gold, stocks and bond markets) and develop cryptocurrency forecast models.

Daily data from 12/31/2013 to 08/01/2020 (including the COVID-19 pandemic period) for the top six cryptocurrencies that constitute 80% of the market are used. Cryptocurrency price, return and volatility are forecasted using five traditional econometric techniques: pooled ordinary least squares (OLS) regression, fixed-effect model (FEM), random-effect model (REM), panel vector error correction model (VECM) and generalized autoregressive conditional heteroskedasticity (GARCH). Fama and French's five-factor analysis, a frequently used method to study stock returns, is conducted on cryptocurrency returns in a panel-data setting. Finally, an efficient frontier is produced with and without cryptocurrencies to see how adding cryptocurrencies to a portfolio makes a difference.

The seven findings in this analysis are summarized as follows: (1) VECM produces the best out-of-sample price forecast of cryptocurrency prices; (2) cryptocurrencies are unlike cash for accounting purposes as they are very volatile: the standard deviations of daily returns are several times larger than those of the other financial assets; (3) cryptocurrencies are not a substitute for gold as a safe-haven asset; (4) the five most significant determinants of cryptocurrency daily returns are emerging markets stock index, S&P 500 stock index, return on gold, volatility of daily returns and the volatility index (VIX); (5) their return volatility is persistent and can be forecasted using the GARCH model; (6) in a portfolio setting, cryptocurrencies exhibit negative alpha, high beta, similar to small and growth stocks and (7) a cryptocurrency portfolio offers more portfolio choices for investors and resembles a levered portfolio.

One of the tasks of the financial econometrics profession is building pro forma models that meet accounting standards and satisfy auditors. This paper undertook such activity by deploying traditional financial econometric methods and applying them to an emerging cryptocurrency asset class.

This paper attempts to contribute to the existing academic literature in three ways: Pro forma models for price forecasting: five established traditional econometric techniques (as opposed to novel methods) are deployed to forecast prices; Cryptocurrency as a group: instead of analyzing one currency at a time and running the risk of missing out on cross-sectional effects (as done by most other researchers), the top-six cryptocurrencies constitute 80% of the market, are analyzed together as a group using panel-data methods; Cryptocurrencies as financial assets in a portfolio: To understand the linkages between cryptocurrencies and traditional portfolio characteristics, an efficient frontier is produced with and without cryptocurrencies to see how adding cryptocurrencies to an investment portfolio makes a difference.

The goal of this work is to determine whether Bitcoin behaves as a safe-haven asset. In order to do so, the influence of Economic Policy Uncertainty (EPU) on Bitcoin returns and volatility was studied.

It is evaluated whether, when compared with the evolution of EPU, Bitcoin's returns and volatility show behaviours typical of safe havens or rather, those of conventional speculative assets. When faced with an increase in EPU, safe havens – such as gold – can be expected to increase their returns and volatility, while conventional speculative assets will increase their volatility and reduce their returns. This study uses simple linear regression and quantile regression models on a daily data sample from 19 July 2010 to 11 April 2019, to analyse the influence of EPU on the returns and volatility of Bitcoin and gold.

Bitcoin's returns and volatility increase during more uncertain times, just like gold, showing that Bitcoin acts not only as a means of exchange but also shows characteristics of investment assets, specifically of safe havens. These findings provide useful information to investors by allowing Bitcoin to be considered as a tool to protect savings in times of economic uncertainty and to diversify portfolios.

This study complements and expands current research by aiming to answer the question of whether Bitcoin is a simple speculative asset or a safe haven. The most significant contribution is to show that Bitcoin is not a mere speculative asset but behaves like a safe haven.

本研究旨在確定比特幣是不是避難所資產。為達這目的，研究人員探討了經濟政策不確定性對比特幣的回報及波動性的影響。

研究評估比特幣的回報和波動性，若與經濟政策不確定的進化作比較，會顯示資金避難所的典型行為，抑或顯示傳統投機資產的行為。當面對經濟政策不確定的增加時，資金避難所 - 如黃金－會被預期有回報及波動性的上升。但傳統投機資產則其波動性會增加及其回報會減少。本研究使用簡單線性迴歸及分位數迴歸模型，根據從2010年7月19曰至2019年4月11日期間每天的數據樣本，來分析經濟政策不確定對比特幣和黃金的回報及波動性所產生的影響。

像黃金一樣，在較不明朗的時期，比特幣的回報和波動會增加，這顯示比特幣不單是一個交易工具，它也表現投資資產的特性，特別是資金避難所的特性。這研究結果為投資者提供有用的資訊，讓他們在經濟不明朗時考慮以比特幣作為保障存款的工具，及以比特幣作為使其投資組合更多元化的工具。

本研究旨在探索比特幣是一簡單的投機資產、抑或是一資金避難所，這補足及擴展了目前的研究。本研究最重要的貢獻、在於顯示了比特幣不單純是一種投機資產，它的行為實像資金避難所一樣。

The authors aim to examine the mean and volatility linkages between the gold market and the Latin American equity markets in the entire sample period and two crises periods, namely the US financial crisis and the Chinese crash.

To examine the return and volatility spillovers, the authors employ VAR-BEKK-GARCH model on the daily data of four emerging Latin American equity markets which include Peru, Chile, Brazil and Mexico, which ranges from January 2000 to June 2018.

The results show that the return transmissions vary across the stock markets and the crises periods. The volatility transmission is found to be bidirectional between the gold and stock markets of Brazil and Chile during the US financial crisis. Furthermore, the volatility spillover is unidirectional from Brazil to gold and from gold to Peru stock market during the Chinese crash. We also calculate the optimal weights hedge ratios for gold and stock portfolio. The result suggests that portfolio managers need to increase the weight of gold for the equity portfolios of Peru and Mexico during the US financial crisis. Furthermore, during the Chinese crisis, investors may raise the investment in gold for the equity portfolios of Brazil and Chile. Finally, the cheapest hedging strategy is CHIL/GOLD during the US financial crisis, whereas MEXI/GOLD during the Chinese crash.

These findings have useful insights for portfolio diversification, asset pricing and risk management.

The study's outcome provides policymakers and investors with in-depth insights regarding hedging, risk management and portfolio management.

This study proposed an optimal model to examine the relationship between the Bitcoin price and six macroeconomic variables – the Bitcoin price, Standard and Poor's 500 volatility index, US treasury 10-year yield, US consumer price index, gold price and dollar index. It also examined the effectiveness of the vector error correction model (VECM) in analyzing the interrelationship among these variables. The authors employed the following approach: first, the authors sampled the period August 2010–February 2022. This is because Bitcoin achieved a market capitalization of more than US$1 tn over this period, gaining market attention and acceptance from retail, corporate and institutional investors. Second, the authors employed a VECM with the six macroeconomic variables. Finally, the authors expanded the long-run equilibrium relationship (time-invariant cointegration)-based VECM to develop a time-varying cointegration (TVC) VECM. The authors estimated the TVC VECM using the Chebyshev polynomial specification based on various information criteria. The results showed that the Bitcoin price can be modeled with the VECM (p = 1, r = 1). The TVC approach generated more explanatory power for Bitcoin pricing, indicating the effectiveness of the approach for modeling the long-run relationship between Bitcoin price and macroeconomic variables.