Nonlinear spillover effects between gold and oil prices in Vietnamese and global markets: A Quantile-on-Quantile approach
Main Article Content
Abstract
Purpose – This study examines the nonlinear, asymmetric, and state-dependent effects of international gold prices (XAU) and crude oil prices (WTI) on Vietnam’s domestic gold market, represented by SJC gold prices, during the COVID-19 crisis and post-pandemic recovery.
Design/methodology/approach – Using daily data from January 1, 2020, to December 31, 2023, the study converts the price series into logarithmic returns and applies Quantile-on-Quantile Regression to capture heterogeneous relationships across different market conditions.
Findings – The findings indicate that these effects are stronger and more widespread during the COVID-19 period than in the post-pandemic period. International gold prices exert a more persistent influence on SJC prices than crude oil prices, while domestic supply constraints, regulatory controls, and market segmentation weaken the response of domestic gold prices to international price movements.
Originality/value – The study provides new evidence on how institutional characteristics shape the response of Vietnam’s domestic gold market to external shocks by jointly examining the effects of international gold and crude oil prices across crisis and recovery conditions.
Practical implications – The results support state-dependent portfolio allocation and risk management and suggest that policymakers should improve market transparency, supply responsiveness, and the transmission of international gold-price information.
Social implications – Greater transparency and more efficient transmission of international price signals can strengthen investor protection, reduce market distortions, and support financial stability in Vietnam.
Keywords
Quantile-on-Quantile Regression; SJC; Vietnam; WTI; XAU
Article Details
Field of Economic (JEL Codes)
C58 - Financial Econometrics - Econometric Modeling, G15 - International Financial Markets - General Financial Markets, Q41 - Demand and Supply • Prices - Energy
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