Cointegration and causality between the GCC stock indices and gold indices

This research paper presents the empirical evidence on the relationship between the price of gold and stock price indices for the Gulf Cooperation Council (GCC) stock markets over the period beginning January 2010 and ending in December 2016 using Johansen Cointegration and VAR Based Granger Causali...

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Bibliographic Details
Published in:Business and economic horizons 2019, Vol.15 (1), p.60-69
Main Authors: Kharusi, Sami Al, Başci, Eşref Savaş
Format: Article
Language:English
Subjects:
Causality
Economic models
Economy
Gold
Securities markets
Socio-Economic Research
Stock exchanges
Online Access:Get full text
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Summary:This research paper presents the empirical evidence on the relationship between the price of gold and stock price indices for the Gulf Cooperation Council (GCC) stock markets over the period beginning January 2010 and ending in December 2016 using Johansen Cointegration and VAR Based Granger Causality tests. The study is based on secondary data from GCC individual stock market. The international gold prices and six daily stock price indices; Bahrain Stock Exchange (BSE), Kuwait Stock Exchange (KSE), Qatar Stock Exchange (QSE), Saudi Stock Exchange (SSE), Muscat Securities Market (MSM), Dubai Stock Exchange (DSE) and Abu Dhabi Stock Exchange (ADSE) are used. Over the period examined, gold prices and stock price indices are co-integrated and there are multiple Granger Causality between the different GCC stock markets.
ISSN:1804-1205
1804-5006
DOI:10.15208/beh.2019.4