Modeling the relationships among gold price, oil price, foreign exchange, and the stock market index in Thailand

This study examines the relationship among price variables in Thailand stock market, foreign exchange international gold and crude oil market. Specifically, investigates whether (1) there exists a long-run equilibrium price, exchange, market index Thailand, (2) is any dynamic effect of each asset on other markets. All series have shown both upward downward trends over period. monthly four markets from January 2000 to December 2018 are nonstationary integrated order one. Then, Johansen cointegration test employed. The normalized cointegrating coefficients negative. Such empirical result reveals that significant all markets, so class acts as hedge against other. Granger causality shows causations run rate rate. Other short-run relationships no causal links.