The Effect of Exchange Rate, Gold Price and Oil Price on Stock Markets

Siow  Xiu Yun; Wong Hock Tsen

doi:10.66445/twe.v44i2.274669

Authors

Siow Xiu Yun Faculty of Business, Economics and Accountancy, Universiti Malaysia Sabah (UMS), Malaysia
Wong Hock Tsen Faculty of Business, Economics and Accountancy, Universiti Malaysia Sabah (UMS), Malaysia /Center for Economic Development and Policy (CEDP), Universiti Malaysia Sabah (UMS), Malaysia

DOI:

https://doi.org/10.66445/twe.v44i2.274669

Keywords:

REER, Real Gold Price, Real Oil Price, Real Stock Market, Cumulative Dynamic Multipliers

Abstract

This study examines the effects of the real effective exchange rate (REER), real gold price, and real oil price on real stock markets in Malaysia, Thailand, Indonesia, Singapore, and South Korea from January 2005 to August 2025 using linear Autoregressive Distributed Lag (ARDL) and Nonlinear Autoregressive Distributed Lag (NARDL) models. The findings indicate that fluctuations in the REER and real oil price generally depress stock markets in Singapore, Thailand, Indonesia, and South Korea, while enhancing Malaysia’s stock market performance. Changes in real gold prices increase stock market returns in Malaysia, Singapore, and Thailand but reduce them in Indonesia and South Korea. An appreciation of REER benefits Malaysia’s stock market but adversely affects the other economies, whereas a depreciation of REER supports Malaysia and Singapore’s stock markets while harming stock markets of the other economies. Rising and falling real gold prices generally elevate stock markets across all countries. This study offers valuable guidance for policymakers in the management of stock market risk, including through hedging strategies using futures and options.

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