The effects of gold and oil prices with volatility indexes on stock markets: An investigation on emerging countries

The relationship between financial and commodity markets is one of the most important issues in investors' decision to make portfolio. The initially point of the study is that the prices and the volatilies of oil and gold, strategic commodities, have significant effects on emerging markets' economies and stock markets. The effect of gold and oil prices, gold and oil volatility indices on stock prices are examined from the perspective of developing countries in this study. The period of June 2008- April 2017 was determined as the analysis period and analyzes were made by using monthly datas.The short and long run asymmetric relationships between the variables were analyzed by non-linear ARDL (NARDL) method. As a result of the analyzes gold prices have negative impact on the emerging stock markets except Brazil and Russia in the short run. It was determined that the short run effect is asymmetric in all emerging countries, the long run effect is asymmetric in Brazil, Thailand and Turkey. It has been determined that the changes in oil prices affect stock prices positively in Russia, Brazil, Mexico, Malaysia and Indonesia which are net oil exporters and negatively in South Africa and Thailand which are net oil importers. The positive and negative shocks of gold and oil volatilities showed different on the other hand, asymmetric effects on stock markets in the short and long run. Moreover, it is concluded that gold and oil prices indices which are the underlying indices of gold and oil implied volatility indices, have negative impact on the overall markets in long run. The results of the study indicates that price fluctations in strategic commodities such as gold and oil effect emerging countries stock markets significantly and asymmetrically.