Non-Linear Associations Amongst the Oil Price, Gold Price and Stock Market Returns in Pakistan: A Vector Error Correction Model

摘要

The objectives of this research are to study the interrelationship among oil, gold price and stock returns. In this study, data from secondary source is used to examine association amongst crude oil, gold price and stock return. Daily prices from 1986 to 2016 were selected. The stock price return was collected from Pakistan Stock Exchange (PSE) and gold and crude oil prices were selected from World Bank. We used Vector Error Correction Model (VECM) to estimate the short and long term association among the variables. Our research result analysis indicates that there exists the short run and as well the long run bi-directional causal association among the selected variables.