IMPACT OF GOLD PRICES CHANGES ON STOCK MARKET: EVIDENCE FROM MALAYSIA

Abstract

This research paper focused on assessing the impact of changes in the gold prices on the stock market taking evidence of Malaysia. The main focus of the research is carried out on the dynamic influences of the changes in oil prices on the Malaysian stock exchange with the help of econometrics approach. For this purpose, Data return on gold and capital market have been collected though period Feb 2000 to Dec 2019 in monthly time window. Total number of observations in terms of months are 239 observations and this makes data equal to 20 years. Meanwhile, diagnosis and preliminary tests have indicated to choose the VECM model for which JJ cointegration and Granger causality was also prerequisite. The empirical findings of the study provided consistent findings that return of gold and return on capital market have relation in long-run but not in short-run. Meanwhile, the VECM findings shows that return on gold has negative effect on the return on capital market. In addition to the, paper also discusses implications and provided recommendations for the investors.