Asymmetrical relationship between oil prices, gold prices, exchange rate, and stock prices during global financial crisis 2008: Evidence from Pakistan

Figures & data

Figure 1. Effect of global financial crisis on KSE-100 index.

Table 1. BDS test for nonlinearity

Dimensions	BDS test statistics	Std. error	Normal prob.	Bootstrap prob.
Variable: Gold prices
2	0.0349	0.0081	0.0001	0.012**
3	0.049	0.0070	0.0019	0.004***
4	0.018	0.0041	0.0065	0.012**
5	0.0079	0.0021	0.0023	0.0069***
6	0.0081	0.0022	0.0004	0.0001***
Variable: Oil prices
2	0.0561	0.011	0.0021	0.02**
3	0.0187	0.0032	0.0055	0.014**
4	0.0736	0.037	0.0081	0.04**
5	0.011	0.0012	0.0091	0.0001***
6	0.0413	0.012	0.0043	0.0018***
Variable: Exchange rate
2	0.01	0.0021	0.00187	0.01**
3	0.065	0.016	0.0075	0.0018**
4	0.09	0.035	0.0089	0.01**
5	0.065	0.019	0.012	0.0032***
6	0.076	0.029	0.032	0.0021***

*, **, and *** denote significance at 10%, 5%, and 1%, respectively.

Table 2. Descriptive statistics for whole sample period

Descriptive statistics	Gold prices	Oil prices	Exchange rate	Stock indexes
Mean	1,057.77	136.55	83.96	18,529
Median	1,167.29	128.31	85.50	12,364
Maximum	1,772.1	249.66	132.00	50,599
Minimum	383.78	56.05	56.00	4,540.7
SD	395.09	49.12	18.85	12,484.6
Skewness	−0.17	0.27	−0.08	0.97
Kurtosis	2.10	1.79	1.73	2.68
Jorqa-Berra	7.75	12.20	11.38	27.2
Probability	0.02	0.0002	0.003	0.01
Sum. sq. dev	26,056,025	402,990	59,361.1	219,075.1
Total observations	168	168	168	168

Table 3. Descriptive statistics for pre-crisis sample period

Variables	Gold prices	Oil prices	Exchange rate	Stock indexes
Mean	538.77	106.19	59.77	9,168.3
Median	529.98	108.9	60.10	9,679.2
Maximum	806.26	171.3	61.25	14,321.4
Minimum	383.78	58.6	56.00	4,540
SD	124.19	27.7	1.34	2,990.44
Skewness	.39	.16	−1.49	0.052
Kurtosis	1.88	2.59	4.29	1.77
Jorqa-Berra	3.71	0.53	21.34	3.01
Probability	8.15	0.76	0.00001	0.221
Sum. sq. dev	724,929	36,145	85.51	42,000,005
Total observations	48	48	48	48

Table 4. Descriptive statistics for Post-crisis period

Variables	Gold prices	Oil prices	Exchange rate	Stock indexes
Mean	1,265.04	148.69	93.37	22,428.4
Median	1,255.5	147.3	96.65	17,242
Maximum	1,772	249.6	132.00	50,591
Minimum	760.8	56.05	61.10	5,377
SD	246.9	50.62	13.32	12,925
Skewness	.21	−0.09	−0.39	0.52
Kurtosis	2.58	1.60	3.25	1.9
Jorqa-Berra	1.85	9.88	3.44	11.06
Probability	0.3	0.007	0.18	0.003
Sum. sq. dev	7,246,609	304,932.3	21,000	201,423
Total observations	120	120	120	120

Table 5. ADF unit root test

Variables	At level		First differencing		Order of integration
	Trend	Intercept	Trend	Intercept
Stock indexes	0.10	0.34(.89)	−12.80***	−13.20***	I(1)
Exchange rate	0.71	0.11(0.99)	−5.76***	−6.86***	I(1)
Gold prices	−1.13	−2.03(.51)	−10.84***	−11.24***	I(1)
Oil prices	−1.59	−1.89(0.9)	−7.95***	−8.15***	I(1)

Table 6. PP unit root test

Variables	At level		First differencing		Order of integration
	Trend	Intercept	Trend	Intercept
Stock indexes	0.21	0.14(.89)	−11.10***	−11.10***	I(1)
Exchange rate	0.43	0.211(0.99)	−4.76***	−13.86***	I(1)
Gold prices	−1.54	−2.13(.51)	−11.84***	−10.24***	I(1)
Oil prices	−1.43	−2.19(0.81)	−6.95***	−5.35***	I(1)

Table 7. KPSS unit root test

Variables	At level		First differencing		Order of integration
	Trend	Intercept	Trend	Intercept
Stock indexes	−1.11***	−2.55***	−0.20	−0.90	I(1)
Exchange rate	−1.13***	−1.72***	−0.26	−0.6	I(1)
Gold prices	−1.43***	−2.5***	−0.84	−0.24	I(1)
Oil prices	−0.10	−0.29(0.009)	————–	————–	I(0)

Table 8. Zivot Andrew unit root test

Variables	At level		First differencing		Breakpoint dates
	Trend	Intercept	Trend	Intercept
Stock indexes	0.1	0.36	1.76*	2.29***	2008
Exchange rate	0.11	0.21	3.26***	2.28***	2008
Gold prices	−1.21	−3.3	2.47**	3.91***	2008
Oil prices	−1.1	−1.59	3.19***	3.69***	2008

***denotes that Zivot Andrew test statistics are greater than critical values which implies the rejection of null hypotheses at first differencing that data have unit root.

Table 9. NARDL before crisis

Variables	Lag0	Lag1
	Long-run results
In Exchange rate+	−250***
In Exchange rate-	−1550***
In Gold prices +	3.5
In Gold prices-	31.80***
In Oil prices+	−69.14**
In Oil prices-	28.75
	Short-run results
∆ In Exchange rate +	−285.34***	−690.56***
∆ In Exchange rate-	937.13**	1122.65***
∆ In Gold prices+	−15.4***
∆ In Gold prices-	18.97**
∆ In Oil prices+	−7.81
∆ In Oil prices-	−20.31*	−62.84***
Model fit:
ADJ $R^2$:	0.89
$EC{M}_{t-1}$:	−1.07***
Lm statistics:	1.45
BP test:	1.65
F-statistics:	12.50 > upper and lower bound critical values @1% and 5%
Ramsey test for model specification:	1.79 < less than critical value

Table 10. NARDL results after crisis

Variables	Lag0	Lag1	Lag2
	Long-run results
In Exchange rate+	628.21**
In Exchange rate-	242.24
In Gold prices +	−25.5**
In Gold prices-	−2.23
In Oil prices+	118.45***
In Oil prices-	−51.12
	Short-run results
Dummy2	202.54**
∆ In Exchange rate +	101.39	−187.43	−395.13**
∆ In Exchange rate-	49.5		0.434
∆ In Gold prices+	−0.57	12.53**	8.02
∆ In Gold prices-	−14.7**
∆ In Oil prices+	0.00
∆ In Oil prices-	30.23	−37.22
Model fit:
ADJ $R^2$:	0.91
$EC{M}_{t-1}$:	−0.49***
Lm statistics:	1.81
BP test:	2.56
F-statistics:	7.29 > upper and lower bound critical values @1% and 5%
Ramsey test for model specification:	1.2 < less than critical value

Table 11. NARDL when whole sample is selected

Variables	Lag0	Lag1	Lag2
	Long-run results
In Exchange rate+	95.31
In Exchange rate-	−485.14
In Gold prices+	0.084
In Gold prices-	−11.69
In Oil prices+	−42.7
In Oil prices-	54.09**
	Short-run results
∆ In Exchange rate+	−124.76	−3.13	−328.57**
∆ In Exchange rate-	336.41	−3.17	−140.58
∆ In Gold prices+	1.98	2.85	2.56
∆ In Gold prices-	−9.20**	4.45	−0.97
∆ In Oil prices+	23.01	3.57
∆ In Oil prices-	43.98**	43.82**
Dummy2	345.98*
ADJ $R^2$:	0.85
$EC{M}_{t-1}$:	−0.331**
Lm statistics:	1.43
BP test:	1.52
F-statistics:	2.06 > upper but less than lower bound critical values @1% and 5%
Ramsey test for model specification:	2.12 < less than critical value

Figure 4. CUSUM test results for NARDL before crisis, after crisis, and whole sample.