Impact of Oil and Gold Prices on Southeast Asian Stock Markets: Empirical Evidence from Quantile Regression Analysis

Abstract

According to Chang and Li (2022), the COVID-19 pandemic may have had an impact on the European and American capital markets’ dependence on crude oil. However, no studies have assessed the returns and impacts of crude oil and gold prices on Southeast Asian stock markets in conjunction with the COVID-19 pandemic. To address this gap, a quantile regression model was used to analyze data of Southeast Asia stock prices from 2016 to 2023, alongside the daily closing prices of Dubai crude oil and world gold. The findings suggest that crude oil has a large trickle-down impact on the Southeast Asian market returns. This highlights the importance of dynamic linkages over time by reporting dynamic spillover to be statistically significant in Southeast Asian stock returns. Most stock returns show that volatility shocks are enduring. In Singapore and Thailand, the gold returns significantly and favorably affect the stock returns at all quantiles. At various quantiles, the impact of gold returns is notably favorable in the remaining scenarios.