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FINANCIAL ECONOMICS

The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic: an insight into analysis in Asia and Europe

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Article: 2127483 | Received 18 Mar 2022, Accepted 19 Sep 2022, Published online: 26 Sep 2022

Figures & data

Table 1. Variable description and source of data

Table 2. Descriptive statistics of variables in the model

Table 3. ADF unit root test results

Table 4. Testing optimal lag selection of PVAR model for Asia

Table 5. Testing optimal lag selection of PVAR model for Europe

Figure 1. Inverse roots of AR characteristic polynomial.

Figure 1. Inverse roots of AR characteristic polynomial.

Table 6. Results of Granger causality test

Figure 2. Impulse-response function in Asia.

Figure 2. Impulse-response function in Asia.

Figure 3. Impulse-response function in Europe.

Figure 3. Impulse-response function in Europe.

Table 7. Variance decomposition analysis

Figure 4. Ordering of Asian countries’ PVAR: GP, SMR, ER.

Figure 4. Ordering of Asian countries’ PVAR: GP, SMR, ER.

Figure 5. Ordering of Asian countries’ PVAR: ER, GP, SMR.

Figure 5. Ordering of Asian countries’ PVAR: ER, GP, SMR.

Figure 6. Ordering of European countries’ PVAR: GP, SMR, ER.

Figure 6. Ordering of European countries’ PVAR: GP, SMR, ER.

Figure 7. Ordering of European countries’ PVAR: ER, GP, SMR.

Figure 7. Ordering of European countries’ PVAR: ER, GP, SMR.

Table A1. Review of selected studies on the relationship between stock market, gold price and exchange rate