Factors Determining Gold Prices in Malaysia
DOI:
https://doi.org/10.46754/umtjur.v1i2.69Keywords:
gold price, volatility, time series, ARDLAbstract
Gold is a valuable asset to a country because of its liquidity. Gold reserve can stabilize the currency in a country. The objective of this paper is to identify the factors contributing to the volatility of gold prices, such as Real Malaysia GDP, inflation rates, crude oil prices and exchange rates. The data was analysed using Autoregressive Distributed Lag (ARDL) approach with time series data, with 30-year coverage from 1987 to 2016. Findings showed that only Real Malaysia GDP and crude oil prices were significantly related to gold prices. As a conclusion, this study can be used as reference by other investors. The author suggests to other researchers to further improve upon this study by adding more variables or diversifying the variables that relate to volatility of gold prices.
References
Aggarwal, R., & Soenen, L. A. (1988). The nature and efficiency of the gold market. The Journal of Portfolio Management Spring 1988, 14 (3), 18-21.
Amin, M. A. (1991). Ekonometrik: Teori dan Gunaan. Kuala Lumpur: Dewan Bahasa dan Pustaka.
Baber, P., Baber, R., & Thomas, D. G. (2013). Factors affecting Gold prices: a case study of India. Conference Paper.
Baharin, N., Yusof, I., & Ismail, R. (2012). Faktor-faktor yang Mempengaruhi Pengangguran di Malaysia. Prosiding PERKEM VII, Jilid 1 , 209-227.
Bhaumik, S. K. (2015). Principles of Econometrics: A Modern Approach Using Eviews. Oxford University Press.
Capie, F., Mills, T. C., & Wood, G. (2005). Gold as a hedge against the dollar. Journal of International Financial Markets, Institutions and Money Volume 15, Issue 4, 343-352.
Gosh, D., Levin, E. J., Macmillan, P., & Wright, R. (2000). Gold as an Inflation Hedge? Discussion Paper Series, Department of Economics from Department of Economics, University of St. Andrews.
Hossain, S. (1 May, 2018). Hossain Academy Note. Retrieved from http://www.sayedhossain.com
Hox, J. J., & Boeije, H. R. (2005). Data Collection, Primary vs. Secondary. Encyclopedia of Social Measurement .
Ibrahim, S. N., Kamaruddin, N. I., & Hassan, R. (2014). The Determinants of Gold Prices in Malaysia. Journal of Advanced Management Science Vol. 2, No. 1, 38-41.
Kaul, A., & Sapp, S. (2006). Y2K fears and safe heaven trading of the U.S. dollar. Journal of International Money and Finance 25, 760-779.
Khoury, S. J. (1984). Speculative Markets. University of Michigan: Macmillan.
Ling, A. C. (2011). The Relationship Between Gold Price And Exchange Rate Of Asean Currencies (Ringgit Malaysia, Singapore Dollar, Thai Baht) Against U.S Dollar. Faculty of Economics and Business Universiti Malaysia Sarawak.
Mashayeki, B., Ara, M. S., & Jafari, A. (2013). Gold Price and Exchange Rate Volatility: Effects of Economic Sanctions. International Journal of Information Technology and Management, 121-127.
Md Hashim, S. L., Ramlan, H., Ahmad Razali, N. H., & Mohd Nordin, N. Z. (2017). Macroeconomic Variables Affecting The Volatility Of Gold Price. Journal of Global Business and Social Entrepreneurship (GBSE) Vol. 3: no. 5, 97-106.
Meera, A. K. (2002). The Islamic Gold Dinar. Kuala Lumpur: Pelanduk Publications.
Mohd Jamli, E. A. (2013). Hubungan Pemboleh Ubah Makroekonomi ke Atas Harga Emas di Malaysia. Prosiding PERKEM VIII, Jilid 3, 1413-1421.
Nadzari, N. N. (2013). Harga emas jatuh. Kuala Lumpur: Utusan Online.
Nair, G. K., Choudbary, N., & Purohit, H. (2015). The Relationship between Gold Prices and Exchange Value of US Dollar in. Emerging Market Journal Volume 5, No 1, 17-25.
O'Connor, F., Bursa, L., & Lucey, D. B. (2014). Gold's negative relationship with the US dollar. Alchemist Issus Sixty Six, 16.
Omag, A. (2012). An Observation of The Relationship Between Gold Prices and Selected Financial Variables in Turkey . The Journal of Accounting and Finance, 195-206.
Pesaran, H., Shin, Y., & Smith, R. (1999). Bounds Testing Approaches to the Analysis of Level Relationship. Journal of Applied Econometrics , 289-326.
Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, Volume 75, Issue 2, 335-346.
Sapuan, N. M., & Sanusi, N. A. (2013). Cointegration Analysis of Social Services Expenditure and Human Capital Development in Malaysia: a Bound Testing Approach. Journal of Economic Cooperation and Development, 34, 1, 1-18.
Sindhu, D. (2013). A study on impact of select factors on the price of gold. IOSR Journal of Business and Management (IOSR-JBM), 84-93.
Sjaastad, L. A. (2008). The price of gold and the exchange rates: Once again. Resource Policy Volume 33 Issue 2, 118-124.
Sukri, K. A., Mohd Zain, H. N., & Zainal Abidin, N. S. (2015). The Relationship Between Selected Macroeconomic Factors And Gold Price In Malaysia. International Journal of Business, Economics and Law, Vol. 8, Issue 1 (Dec.), 2289-1552.
Tsen, W. H. (2014). Exchange Rate and Gold Price: Evidence from Malaysia. Labuan Bulletin of International Business & Finance, 1-18.
Weng, Y. W. (2011). Causal Relationship Between Gold Price, Oil Price, Exchange Rate and. Prosiding PERKEM VI, Jilid 2, 282-291.
World Gold Council. (20 December, 2017). Retrieved from World Gold Council: https://www.gold.org
Worthington, A. C., & Pahlavani, M. (2007). Gold investment as an inflationary hedge: cointegration evidence with allowance for endogenous structural breaks. Journal Applied Financial Economics Letters, 259-262.
Yaacob, S. (2012). Study of Implementation Gold Dinar as Currency. World Applied Sciences Journal 20 (7), 1014-1023.
Zakaria, H., Abdul Shukur, N., Affandi, S., & Wan Mahmood, W. (2015). Factors Affecting the Price of Gold in Malaysia. Journal of Basic and Applied, 41-46.
Ziaei, S. M. (2012). Effects Of Gold Price On Equity, Bond And Domestic. Procedia - Social and Behavioral Sciences 40, 341-346.
