Cointegration and causality between the GCC stock indices and gold indices

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dc.authorwosidAl Kharusi, Sami Al / AAW-4798-2021
dc.contributor.authorAl Kharusi, Sami
dc.contributor.authorBaşçı, Eşref Savaş
dc.date.accessioned2021-11-01T15:01:58Z
dc.date.available2021-11-01T15:01:58Z
dc.date.issued2019
dc.departmentHitit Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bankacılık ve Finans Bölümü
dc.description.abstractThis 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.
dc.identifier.citationAl Kharusi, S., & Basci, E. S. (2019). Cointegration and causality between the GCC stock indices and gold indices. Business and Economic Horizons (BEH), 15(1232-2019-890), 60-69.
dc.identifier.doi10.15208/beh.2019.4
dc.identifier.endpage69en_US
dc.identifier.issn1804-1205
dc.identifier.issn1804-5006
dc.identifier.issue1en_US
dc.identifier.startpage60en_US
dc.identifier.urihttps://doi.org/10.15208/beh.2019.4
dc.identifier.urihttps://hdl.handle.net/11491/6788
dc.identifier.volume15en_US
dc.identifier.wosWOS:000471030800004
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.institutionauthorBaşçı, Eşref Savaş
dc.language.isoen
dc.publisherPrague Development Center Sro
dc.relation.ispartofBusiness And Economic Horizons
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectGold priceen_US
dc.subjectstock price indicesen_US
dc.subjectJohansen cointegrationen_US
dc.subjectGranger causalityen_US
dc.subjectGulf Cooperation Councilen_US
dc.titleCointegration and causality between the GCC stock indices and gold indices
dc.typeArticle

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