Analysis Of Effect of Dynamic Link Among Oil, Gold and Stock Markets of South Asian Economies During and After Covid-19
DOI:
https://doi.org/10.54938/ijemdss.2026.05.5.856Keywords:
Oil, Gold, Stock, DCC GARCH, Connectedness, Volatility, COVID-19Abstract
This research study investigates the dynamic connectedness among gold, oil and selected South Asian Stock markets, during and after the COVID-19 pandemic. The study collected data of gold from World gold council oil data from West Texas intermediate and stock market from Yahoo finance on daily bases for time period 2020 to 2023.we adopted the recent DCC-GARCH CONNECTEDNESS approach proposed by Gabauer (2020) to conduct a time-varying analysis that investigates the dynamic connectedness among crude oil, gold and stock markets. Unlike traditional rolling-window analysis, the DCC-GARCH offers advantages in capturing time-varying transmission mechanisms without the loss of observations. Findings show stronger connectedness between oil, gold, and stock market indices during COVID-19 than after the COVID-19 pandemic. The findings highlight gold as a potential safe haven asset during economic slumps. This suggests that investors may consider allocating a portion of their portfolios to gold to hedge against market volatility and uncertainty. We also find that during pandemic both gold and oil are receiver of shocks from the five stock markets whereas the oil and gold become net transmitter of shocks after pandemic subsidies. The empirical results show a moderate connectedness between gold, oil and south Asian stock markets which is helpful for investors and portfolio managers in the construction and reallocation of their portfolios under crises period. Policymakers to monitor and analyze volatility in oil and gold prices, and measures to address disruptions in oil demand and supply chains during pandemics. For instance, policymakers should be aware of the links between oil and gold and their effect on financial markets when preparing strategies to reduce connectedness between stock markets during pandemics and crises.
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