The impact of Gold, Bond, Currency, Metals and Oil markets on the USA stock market

Authors

  • Xanthi Partalidou Technological Education Institute of West Macedonia, Department of Financial Applications, Kila, 50100 Kozani, Greece, (+30) 697 9474995, Email: partalidouxanthi@gmail.com
  • Apostolos Kiohos Assistant Professor, University of Macedonia, Department of International and European Studies, 54006, Egnatia 156, Thessaloniki, Greece, Email: akiohos@uom.gr
  • Grigoris Giannarakis Adjacent Lecturer, Technological Educational Institution of Western Macedonia, Department of Business of Administration, 51100, 6km Paleas E.O Grevenon Kozanis, Grevena, Greece, (+30) 2462061628, Email: ggianaris@gmail.com
  • Nikolaos Sariannidis Associate Professor, Technological Education Institute of West Macedonia, Department of Financial Applications, Kila, 50100 Kozani, Greece,(+30) 697 5902950, Email: sarn@hol.gr

Abstract

This study examines the impact of financial and economic variables on the industrial Dow Jones Industrial Average (DJIA) using daily data over the sample period March 1995 - May 2014. Gold, Bond, Currency, Metals and Oil market were taken into consideration, and, as well as, their impact on the DJIA. The results of the model GJR – GARCH proved that the purchase of gold, of decade bonds (10 Year Treasury Note) and the U.S. Dollar/Yen exchange rate affect, negatively, the returns of DJIA.  On the other hand, it was made clear that the purchase of industrial metals affects, positively, the returns of DJIA. Lastly, our findings indicate that the asymmetry of the oil returns affects- extremely negatively- the DJIA returns.

Keywords: GJR-GARCH, Brent oil, Gold, Metals, Equity market, Exchange rates, Bond market, market risk

JEL Classifications: C5; G1; G32; R3

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Published

2016-01-18

How to Cite

Partalidou, X., Kiohos, A., Giannarakis, G., & Sariannidis, N. (2016). The impact of Gold, Bond, Currency, Metals and Oil markets on the USA stock market. International Journal of Energy Economics and Policy, 6(1), 76–81. Retrieved from https://www.econjournals.com/index.php/ijeep/article/view/1549

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Articles