Gold is a safe haven asset especially in times of uncertainties and can provide long-term capital gain. The objective of this study is to investigate the causality relationship among the changes of the Malaysia stock price index (KLCI), US stock price index (DOJ), Malaysian currency exchange rate (EXR) and crude oil price (COP) on the gold price (POG) in the Malaysian Market. This study employs vector error correction method with co-integration analysis, Granger causality test, and model evaluation. Based on the findings, COP and the lagged of the gold price (POG) only have a significant short-term relationship, however, the KLCI, DOJ, EXR and COP has also a significant long-term relationship with the gold price. Moreover, POG granger causes KLCI and COP also granger causes POG, both are uni-directional causality. Furthermore, EXR granger causes POG with bi-directional causality. Evidently, EXR and COP changes are importantly affecting the gold price changes. Otherwise, the gold price changes are affecting also the changes of KLCI and EXR in the study. These findings are important for investors who are opportunities for investment in gold in Malaysia.