The crude oil market and the gold market: Evidence for cointegration, causality and price discovery

By Yue‐Jun Zhang, Yi-Ming Wei. 2010

417 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/7653ff601b3f874dc6d7c3131ba1dd432865bfee

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Aviral Kumar Tiwari
2. Walid Mensi
3. B. Awartani
4. Aktham Issa Maghyereh
5. Pratap Chandra Biswal
6. Muhammad Shahbaz
7. Lukáš Vácha
8. Anshul Jain

In Management Science and Operations Research

1. Aktham Issa Maghyereh
2. B. Awartani
3. Victor Troster
4. Makram Beljid
5. Adel Boubaker
6. Anshul Jain
7. Walid Mensi
8. G. Van Huylenbroeck

Citations in the corpus

• Dynamic linkages among oil price, gold price, exchange rate, and stock market in India (2016, background): “Zhang and Wei (2010) tested the causality between crude oil and gold market over a period of eight years and observed a linkage between crude oil price and gold price volatility.”
• Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, methodology): “Applying the cointegration test approach and an error correction model, Zhang and Wei (2010) tested the relation between the crude oil and gold markets from January 2000 to March 2008, and their results suggested that there were trends between the two markets with significant positive correlation…”
• Gold, Oil, and Stocks: Dynamic Correlations (2016, positive): “Zhang and Wei (2010) identify a cointegration link between two assets on daily data.”
• Oil, Gold, US dollar and Stock market interdependencies: A global analytical insight (2017, background): “…of Yousefi and Wirjanto (2005), that USD exchange rate affect oil price via demand and supply on international markets and support recent results of Zhang and Wei (2010) and Fratzscher et al. (2014) for bidirectional causality between oil and USD and results of Le and Chang (2012) about the close…”
• Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility (2018, background): “Zhang and Wei (2010) examined the nonlinear Granger causality between crude oil and gold markets using the HJ test.”
• Testing for Granger-causality in quantiles (2018, background): “…gold and crude oil prices entered into a boom time in 2002 due to US dollar depreciation, global in ation, and oil supply manipulation by the Organization of the Petroleum Exporting Countries (OPEC); and both commodity prices collapsed together in the nancial crisis of 2008 (Zhang and Wei, 2010).”
• Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices (2017, neutral): “The importance of the GFC of 2007–2008 in intensifying the relationships between oil, gold, and stock markets has also been the subject of several studies (see Zhang and Wei (2010), among others).”