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Dynamic Analysis of the Relationship between Gold and Silver Markets and Stock Market Indices in Selected Countries: Vector Autoregression Model with Time-Varying Parameters Based on Wavelet Decomposition
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Saeed Kianpor1   , Maryam Darbidi2 , Reza Shamsolahi3 |
1- Assistant Professor, Payam Noor University of Tehran , s_kianpoor@pun.ac.ir
2- PhD in Economics, Razi University of Kermanshah
3- M.A. in Economics, Ayatollah Boroujerdi University |
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Abstract: (12 Views) |
This study examines the relationship between gold and silver price fluctuations and stock market indices in selected Middle Eastern countries (Iran, Saudi Arabia, Qatar, and Turkey) over the period 2005 to 2022. To analyze this relationship, a vector autoregression model (VAR) with time-varying parameters and the wavelet technique have been used. The results show that the relationship between gold and silver prices and stock indices varies depending on different time periods, at short-term, medium-term and long-term levels. At the first wavelet level, no significant fluctuations were observed, while at the second and third wavelet levels, which represent medium-term and short-term periods, the effect of gold and silver price fluctuations on stock indices was significant. The results of the time-varying conditional variance analysis show that in periods of high market volatility, the effect of global gold and silver price fluctuations on the stock market is greater. This study suggests that economic policymakers and investors in Middle Eastern countries, especially in periods of market volatility, should pay special attention to short-term and medium-term fluctuations in gold and silver prices. It is also suggested that financial instruments such as futures contracts and derivatives be used to manage the risk arising from these fluctuations. Research limitations include limited access to complete data for some countries and a focus on specific factors that may have overlooked the impact of other economic factors. Future research could provide a more comprehensive analysis of these relationships using larger data sets and more sophisticated models. |
Article number: 22 |
| Keywords: Gold market, Silver market, Stock index, Selected countries, Vector autoregression, Time-varying parameter, Wavelet |
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Full-Text [PDF 1945 kb]
(6 Downloads)
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Article type: Research |
Subject:
Special
Received: 2025/02/21 | Accepted: 2025/05/3 | Published: 2026/01/30
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