THE EFFECTS OF PRICE AND VOLATILITY INDICES OF STRATEGIC COMMODITIES ON STOCK MARKETS: A STUDY ON BRICS ECONOMIES

Authors : Kübra Saka Ilgın, Selami Güney

Pages : 23-47

Doi:10.53443/anadoluibfd.1389265

View : 138 | Download : 135

Publication Date : 2024-09-29

Article Type : Research Paper

Abstract :The effect of gold, oil prices, which are strategic commodities, and gold, oil volatility indices on the BRICS stock exchanges is investigated in this paper. The relationship between the variables is analysed for the short and long-run using the NARDL method. Gold prices have a negative effect on stock markets except Brazil and Russia, in the short and long-run. Changes in oil prices have a negative effect on stock prices in South Africa, which imported oil, and a positive effect in net oil exporters Brazil and Russia, in the short and long-run. It is concluded that positive and negative shocks of strategic commodity volatilities have an asymmetric effect on the stock exchanges of emerging countries in the short and long-run.
Keywords : Stratejik Emtia Fiyatları, Altın Volatilite Endeksi, Petrol Volatilite Endeksi, BRICS Ekonomileri, Doğrusal Olmayan ARDL

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