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Stock Market vs Commodities: Investigating non-linear Granger causality between the stock market, gold, oil and wheat.

Smusin, Sebastian LU (2024) NEKP01 20241
Department of Economics
Abstract (Swedish)
The relationship between commodities and the stock market is commonly discussed. We will investigate the non-linear Granger causality between the stock market, gold, oil and wheat prices. To do this we have conducted a non-linearity test for the bivariate VAR models in the form of the BDS-test which showed that the models are misspecified and non-linear. We found that oil non-linear Granger causes gold and that wheat non-linear Granger causes oil. To deepen the understanding we further investigate these relationships during the financial crisis, Covid pandemic, and the Ukraine war. We found that during the financial crisis, we saw more Granger causality compared to the Covid pandemic and the Ukraine war.
Please use this url to cite or link to this publication:
author
Smusin, Sebastian LU
supervisor
organization
course
NEKP01 20241
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Granger Causality, Non-linear Granger Causality, Stock Market, Commodities
language
English
id
9156996
date added to LUP
2024-10-01 13:20:14
date last changed
2024-10-01 13:20:14
@misc{9156996,
  abstract     = {{The relationship between commodities and the stock market is commonly discussed. We will investigate the non-linear Granger causality between the stock market, gold, oil and wheat prices. To do this we have conducted a non-linearity test for the bivariate VAR models in the form of the BDS-test which showed that the models are misspecified and non-linear. We found that oil non-linear Granger causes gold and that wheat non-linear Granger causes oil. To deepen the understanding we further investigate these relationships during the financial crisis, Covid pandemic, and the Ukraine war. We found that during the financial crisis, we saw more Granger causality compared to the Covid pandemic and the Ukraine war.}},
  author       = {{Smusin, Sebastian}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Stock Market vs Commodities: Investigating non-linear Granger causality between the stock market, gold, oil and wheat.}},
  year         = {{2024}},
}