The Relationship between the Oil Price, Gold Price, and the Stock Market in Malaysia during the Covid-19 Pandemic

Due to the negative impact of the COVID-19 pandemic on the worldwide financial and economic sectors, investors have been opting for safer, low-risk assets like gold and crude oil during periods of instability. This study aims to investigate the relationship between the stock market, gold price, and crude oil price using the quantile regression method. The study focused on examining the parameters of the stock price index within deciles 0.1-0.9, based on daily data from March 18th, 2020, to March 30th, 2022. The findings indicated that the relationship between gold prices and the stock market was generally insignificant during the COVID-19 pandemic. However, a negative and significant correlation between crude oil prices and the stock market was observed in deciles 0.6, 0.7, 0.8, and 0.9. Hence, the impact of these variables on the returns of the stock market should be taken into account by investors and policymakers.