THE IMPACT OF UNCERTAINTY IN GLOBAL GOLD AND OIL PRICES ON STOCK MARKET INDEX RETURNS: THE CASE OF THE MIST COUNTRIES

Fahrettin Pala; Mehmet Ragıp Görgün; Mustafa Torusdağ; Furkan Demirtaş; Abdulkadir Barut

Makale detayları

THE IMPACT OF UNCERTAINTY IN GLOBAL GOLD AND OIL PRICES ON STOCK MARKET INDEX RETURNS: THE CASE OF THE MIST COUNTRIES

Yazarlar:

Fahrettin Pala | Mehmet Ragıp Görgün | Mustafa Torusdağ | Furkan Demirtaş | Abdulkadir Barut

Yayıncı:

Kafkas University

Ana Başlıklar:

Sermaye Piyasaları | Makro İktisat (Diğer)

Dergi:

Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.16 Issue 31, pp.550-577

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001352669

pISSN:

1309-4289

Anahtar kelimeler:

Özet:

 The current study explores the impact of global gold price uncertainty on the stock markets of the MIST countries: Mexico, Indonesia, South Korea, and Türkiye. The study examined the crisis periods that started with the COVID-19 pandemic and continued with the Russia-Ukraine war, which caused uncertainty in gold and oil prices. Based on this, the studys data set consists of the daily closing prices between March 11th, 2020, and January 31st, 2023. The obtained data were analyzed using the Least Squares ICC and panel quantile regression PQR methods. There is a significant positive correlation between oil prices and oil volatility index with stock prices for the economies of Türkiye, Indonesia, and Mexico, and a significant negative correlation between gold prices and gold volatility index with stock prices for developing countries. There is also a significant positive relationship between gold and oil prices and stock prices for the developed country, South Koreas economy. A significant negative correlation has also been proposed between gold and oil volatility indices and South Korean stock prices. This study provides a novel contribution to the literature by examining the impact of simultaneous global crises namely the COVID-19 pandemic and the Russia-Ukraine waron the stock market indices of MIST countries through the lens of uncertainty in both gold and oil markets. While most existing studies focus on a single commodity or analyze crises in isolation, this research distinguishes itself by investigating the combined effects of two major global shocks and incorporating both price and volatility-based uncertainty indicators. The findings suggest that policymakers should develop country-specific and differentiated financial stability policies by taking into account the uncertainties in gold and oil markets during crisis periods.

 The current study explores the impact of global gold price uncertainty on the stock markets of the MIST countries: Mexico, Indonesia, South Korea, and Türkiye. The study examined the crisis periods that started with the COVID-19 pandemic and continued with the Russia-Ukraine war, which caused uncertainty in gold and oil prices. Based on this, the studys data set consists of the daily closing prices between March 11th, 2020, and January 31st, 2023. The obtained data were analyzed using the Least Squares ICC and panel quantile regression PQR methods. There is a significant positive correlation between oil prices and oil volatility index with stock prices for the economies of Türkiye, Indonesia, and Mexico, and a significant negative correlation between gold prices and gold volatility index with stock prices for developing countries. There is also a significant positive relationship between gold and oil prices and stock prices for the developed country, South Koreas economy. A significant negative correlation has also been proposed between gold and oil volatility indices and South Korean stock prices. This study provides a novel contribution to the literature by examining the impact of simultaneous global crises namely the COVID-19 pandemic and the Russia-Ukraine waron the stock market indices of MIST countries through the lens of uncertainty in both gold and oil markets. While most existing studies focus on a single commodity or analyze crises in isolation, this research distinguishes itself by investigating the combined effects of two major global shocks and incorporating both price and volatility-based uncertainty indicators. The findings suggest that policymakers should develop country-specific and differentiated financial stability policies by taking into account the uncertainties in gold and oil markets during crisis periods.

 The current study explores the impact of global gold price uncertainty on the stock markets of the MIST countries: Mexico, Indonesia, South Korea, and Türkiye. The study examined the crisis periods that started with the COVID-19 pandemic and continued with the Russia-Ukraine war, which caused uncertainty in gold and oil prices. Based on this, the studys data set consists of the daily closing prices between March 11th, 2020, and January 31st, 2023. The obtained data were analyzed using the Least Squares ICC and panel quantile regression PQR methods. There is a significant positive correlation between oil prices and oil volatility index with stock prices for the economies of Türkiye, Indonesia, and Mexico, and a significant negative correlation between gold prices and gold volatility index with stock prices for developing countries. There is also a significant positive relationship between gold and oil prices and stock prices for the developed country, South Koreas economy. A significant negative correlation has also been proposed between gold and oil volatility indices and South Korean stock prices. This study provides a novel contribution to the literature by examining the impact of simultaneous global crises namely the COVID-19 pandemic and the Russia-Ukraine waron the stock market indices of MIST countries through the lens of uncertainty in both gold and oil markets. While most existing studies focus on a single commodity or analyze crises in isolation, this research distinguishes itself by investigating the combined effects of two major global shocks and incorporating both price and volatility-based uncertainty indicators. The findings suggest that policymakers should develop country-specific and differentiated financial stability policies by taking into account the uncertainties in gold and oil markets during crisis periods.

 Bu çalışma MIST ülkeleri olan Meksika, Endonezya, Güney Kore ve Türkiye borsalarının küresel altın ve fiyatlardaki belirsizlikten etkilenip etkilenmediğini belirlemeye çalışmıştır. Çalışmada, Covid-19 pandemisi ile başlamış ve Rusya-Ukrayna savaşı ile devam etmekte olan, altın ve petrol fiyatlarında belirsizliğe neden olan kriz dönemleri incelenmiştir. Buna dayanarak, çalışmanın veri seti 11 Mart 2020 ile 31 Ocak 2023 arasındaki günlük kapanış fiyatlarından oluşmaktadır. Elde edilen veriler En Küçük Kareler ICC ve panel kantil regresyon yöntemleri kullanılarak analiz edilmiştir. Çalışmadan, Türkiye, Endonezya ve Meksika ekonomileri için petrol fiyatları ve petrol volatilite endeksi ile hisse senedi fiyatları arasında anlamlı ve pozitif bir korelasyon, gelişmekte olan ülkeler için altın fiyatları ve altın volatilite endeksi ile hisse senedi fiyatları arasında anlamlı ve negatif bir korelasyon olduğu sonucuna varılmıştır. Ayrıca, gelişmiş ülke Güney Kore ekonomisi için altın ve petrol fiyatları ile hisse senedi fiyatları arasında pozitif ve anlamlı bir ilişki olduğu sonucuna varılmıştır. Ayrıca Güney Kore ekonomisi için petrol volatilite endeksi ile altın volatilite endeksi ve hisse senedi fiyatları arasında anlamlı ve negatif bir ilişki olduğu tespit edilmiştir. Bu çalışma, COVID-19 pandemisi ve Rusya-Ukrayna savaşı gibi küresel krizlerin eşzamanlı olarak hem altın hem de petrol piyasalarında oluşturduğu belirsizliklerin MİST ülkeleri borsa endeksleri üzerindeki etkisini incelemesi açısından literatüre özgün bir katkı sunmaktadır. Literatürde çoğu çalışma ya sadece bir emtia üzerine odaklanmakta ya da krizleri tekil dönemler olarak ele almaktadır. Bu bağlamda, iki büyük küresel şokun ortak etkisini ve hem fiyat hem de volatilite düzeyinde belirsizlik göstergeleri kullanılarak yapılan analizler, çalışmanın özgün yönünü oluşturmaktadır. Elde edilen bulgular, politika yapıcıların kriz dönemlerinde altın ve petrol piyasalarındaki belirsizlikleri dikkate alarak ülke bazlı farklılaştırılmış finansal istikrar politikaları geliştirmesi gerektiğini ortaya koymaktadır.

Makale detayları

THE IMPACT OF UNCERTAINTY IN GLOBAL GOLD AND OIL PRICES ON STOCK MARKET INDEX RETURNS: THE CASE OF THE MIST COUNTRIES

Yazarlar:

Fahrettin Pala | Mehmet Ragıp Görgün | Mustafa Torusdağ | Furkan Demirtaş | Abdulkadir Barut

Yayıncı:

Kafkas University

Ana Başlıklar:

Sermaye Piyasaları | Makro İktisat (Diğer)

Dergi:

Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.16 Issue 31, pp.550-577

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001352669

pISSN:

1309-4289

Covid-19

Russia-Ukraine war

gold volatility

oil volatility index

stock market index

index

oil prices

gold prices

MIST countries

Panel Quantile Regression.Covid-19

Rusya-Ukrayna savaşı

altın volatilitesi

petrol volatilite endeksi

borsa endeksi

endeks

petrol fiyatları

altın fiyatları

MIST ülkeleri

panel kantil regresyonu

Sayı

Makale detayları

Yazarlar: Fahrettin Pala | Mehmet Ragıp Görgün | Mustafa Torusdağ | Furkan Demirtaş | Abdulkadir Barut

Yayıncı: Kafkas University

Ana Başlıklar: Sermaye Piyasaları | Makro İktisat (Diğer)

Dergi: Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.16 Issue 31, pp.550-577

Belge Tipi: Makale

Yayın Tarihi: 6/2025

Belge Dili: İngilizce

Document ID (Org No.): 2001352669

pISSN: 1309-4289

Sayı

Yazarlar:

Fahrettin Pala | Mehmet Ragıp Görgün | Mustafa Torusdağ | Furkan Demirtaş | Abdulkadir Barut

Yayıncı:

Kafkas University

Ana Başlıklar:

Sermaye Piyasaları | Makro İktisat (Diğer)

Dergi:

Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.16 Issue 31, pp.550-577

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001352669

pISSN:

1309-4289