Print ISSN: 2204-1990

Online ISSN: 1323-6903

Keywords : KSE-100 Index

Impact of Crude Oil, Exchange rate and Gold Price on KSE100 Index: Before & during Covid-19 Pandemic by using VAR model

Ismat Mohiuddin, Jahanzaib Alvi, Syed Ghazanfer Inam, Muhammad Rehan

Journal of Contemporary Issues in Business and Government, 2021, Volume 27, Issue 6, Pages 420-439
DOI: 10.47750/cibg.2021.27.06.036

The Covid-19 pandemic has been one of the most severe global crises, effected nearly 87m
people with a death count of 1.8m people around the world, and particularly affected mostly the
developing countries. Overall, the economic movement got massive shocks by facing a crystalclear
decline in almost all the economic activities. This research will figure out the before and
after COVID-19 impact of Gold, oil prices, and exchange rate on the movement of the KSE100
index. A daily data set of 10 months for KSE-100 Index, Crude Oil Price, Exchange Rate and
Gold Prices before (from January 01, 2019, till February 26, 2020) and after (February 27, 2020,
to December 15, 2020) pandemic have been employed to undertake this study. Structural Vector
Autoregressive (VAR) model has been applied to determine the direct effects and shocks on
stock market. Further, the before and after effect hypotheses have been tested through the
WALD test. Findings revealed that before the Covid-19 exchange rate, gold price and oil price
showed insignificant impact on the KSE-100 index, but after the Covid-19 period, all the three
variables showed a significant but negative impact on the KSE-100, which is also reconfirmed
by Impulse Response Function (IRF). This research article will be helpful to sketch a sound
policy to optimize the effect of such a pandemic by taking some key measures. With best of our
knowledge, this attempt is one of the few attempts in such detailed and structured with the
reported effect of Covid-19 before and during the pandemic regime in Pakistan.