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AN ANALYSIS OF THE LONG-TERM ASYMMETRIC RELATIONSHIP BETWEEN GOLD PRICES, EXCHANGE RATES, YIELDS OF GOVERNMENT BOND, AND THE BIST100 INDEX

Year 2024, Volume: 33 Issue: 1, 297 - 310, 30.04.2024
https://doi.org/10.35379/cusosbil.1371599

Abstract

This study examines the asymmetric effects of the gold price, the USD/TRY exchange rate, the corporate governance index, and the 10-year government bond yield on the BIST100 index, thus delving into the intricate web of financial markets. Using weekly data from September 2007 to September 2023, we employed the nonlinear ARDL model to examine the asymmetric effects of the variables on the BIST100 index. As a result, the nonlinear ARDL bound test proved the long-term cointegration between the BIST100 index and the explanatory variables used in the analysis. All asymmetric variables except the negative variable of gold price had statistically significant long-run effects on the BIST100 index. Government bond yields and gold price had negative effects on the stock index, while USD/TRY exchange rate and corporate governance index had positive effects on it. The Wald test's null hypothesis of no long-term asymmetries was rejected for government bond yields, the USD/TRY exchange rate, and the corporate governance index. On the other hand, the test for short-term asymmetry was rejected only for the corporate governance index. Accordingly, the corporate governance index has both short-term and long-term asymmetric effects on the BIST100 index, while government bond yields and the dollar exchange rate have only long-term asymmetric effects on it.

References

  • Abdalla, I. S., & Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines. Applied Financial Economics, 7(1), 25-35.
  • Ahmed, S., Hasan, M. M., & Kamal, M. R. (2023). Russia–Ukraine crisis: The effects on the European stock market. European Financial Management, 29(4), 1078-1118.
  • Allen, D. E., & McAleer, M. (2021). A Nonlinear Autoregressive Distributed Lag (NARDL) analysis of the ftse and S&P500 indexes. Risks, 9(11), 195.
  • Ali, R., Mangla, I. U., Rehman, R. U., Xue, W., Naseem, M. A., & Ahmad, M. I. (2020). Exchange rate, gold price, and stock market nexus: A quantile regression approach. Risks, 8(3), 86.
  • Ambros, M., Frenkel, M., Huynh, T. L. D., & Kilinc, M. (2021). COVID-19 pandemic news and stock market reaction during the onset of the crisis: evidence from high-frequency data. Applied Economics Letters, 28(19), 1686-1689.
  • Arı, Y. (2022). ARDL Sınır Testi Uygulamaları Üzerine Tartışmalar. 21. Yüzyılda İktisadı Anlamak: Güncel Ekonometrik Zaman Serileri Çalışmaları (1. baskı). Ankara: Gazi Kitabevi
  • Arouri, M. E. H., Lahiani, A., & Nguyen, D. K. (2015). World gold prices and stock returns in China: Insights for hedging and diversification strategies. Economic Modelling, 44, 273-282.
  • Aydemir, O., & Demirhan, E. (2009). The relationship between stock prices and exchange rates: Evidence from Turkey. International Research Journal of Finance and Economics, 23(2), 207-215.
  • Ayhan, F. (2019). Türkiye ekonomisinde döviz kuru oynaklığının dış ticaret üzerindeki etkisinin analizi. Business and Economics Research Journal, 10(3), 629-647.
  • Barak, D., & Naimoğlu, M. (2018). Reel döviz kurunun dış ticaret üzerindeki etkisi: Kırılgan Beşli örneği. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11(2), 82-95.
  • Bekaert, G., & Engstrom, E. (2010). Inflation and the stock market: Understanding the “Fed Model”. Journal of Monetary Economics, 57(3), 278-294.
  • Cengiz, V. (2010). Keynesyen ve monetarist görüşte parasal aktarım mekanizması: bir karşılaştırma. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 22(1), 115-127.
  • Chadha, J. S., Turner, P., & Zampolli, F. (2013). The interest rate effects of government debt maturity. BIS paper (no:415) Available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2282396
  • Chernov, M., & Mueller, P. (2012). The term structure of inflation expectations. Journal of financial economics, 106(2), 367-394.
  • Cheung, S. Y., & Chan, B. Y. (2004). Corporate governance in Asia. Asia Pacific Development Journal, 11(2), 1-32.
  • Cieslak, A., & Pflueger, C. (2023). Inflation and asset returns. Annual Review of Financial Economics, 15.
  • Clare, A. D., Thomas, S. H., & Wickens, M. R. (1994). Is the gilt-equity yield ratio useful for predicting UK stock returns?. The Economic Journal, 104(423), 303-315.
  • Coibion, O., Gorodnichenko, Y., Kumar, S., & Pedemonte, M. (2020). Inflation expectations as a policy tool?. Journal of International Economics, 124, 103297.
  • Cologni, A., & Manera, M. (2008). Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries. Energy Economics, 30(3), 856-888.
  • Daly, D. J. (1993). Porter's diamond and exchange rates. MIR: Management International Review, 119-134.
  • De Rezende, R. B. (2017). The interest rate effects of government bond purchases away from the lower bound. Journal of International Money and Finance, 74, 165-186.
  • Deacon, M., & Derry, A. (1994). Estimating market interest rate and inflation expectations from the prices of UK government bonds. Bank of England Quarterly Bulletin, 34(3), 232-240.
  • Durré, A., & Giot, P. (2007). An international analysis of earnings, stock prices and bond yields. Journal of Business Finance and Accounting, 34(3‐4), 613-641.
  • Ehrmann, M., Fratzscher, M. & Rigobon, R. (2011). Stocks, bonds, money markets and exchange rates: measuring international financial transmission. Journal of Applied Econometrics, 26(6), 948-974.
  • Emeç, A. S., & Demirdöğen, Y. (2022). Altın fiyatlarının BIST100 endeksi üzerine etkisi: varyansta nedensellik Analizi. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 27(4), 547-561.
  • Emsen, H. S. (2022). Dolarizasyon ve borsa ilişkileri: Türkiye üzerine incelemeler. Uluslararası Ekonomi Siyaset İnsan ve Toplum Bilimleri Dergisi, 5(1), 29-48.
  • Erdoğan, S., Gedikli, A., & Çevik, E. İ. (2020). Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries. Borsa Istanbul Review, 20(4), 322-333.
  • Erel, I., Julio, B., Kim, W., & Weisbach, M. S. (2012). Macroeconomic conditions and capital raising. The Review of Financial Studies, 25(2), 341-376.
  • Gadanecz, B., & Mehrotra, A. N. (2013). The exchange rate, real economy and financial markets. BIS Paper, (73b). Gazel, S. (2016). Cointegration and causality between BIST100 index and gold price. International Journal of Business and Management Studies, 5(02), 337-344.
  • Gokmenoglu, K. K., & Fazlollahi, N. (2015). The interactions among gold, oil, and stock market: Evidence from SandP500. Procedia Economics and Finance, 25, 478-488.
  • He, X., Gokmenoglu, K. K., Kirikkaleli, D., & Rizvi, S. K. A. (2023). Co‐movement of foreign exchange rate returns and stock market returns in an emerging market: Evidence from the wavelet coherence approach. International Journal of Finance and Economics, 28(2), 1994-2005.
  • İlkhan, C., Çevikgil, D., Aydın, B., & Zeren, F. (2022). Altın fiyatları, ABD doları ve BIST100 endeksi arasındaki ilişkinin incelenmesi: Türkiye örneği. Malatya Turgut Özal Üniversitesi İşletme ve Yönetim Bilimleri Dergisi, 3(1), 46-53.
  • Ilmanen, A. (2003). Stock-bond correlations. The Journal of Fixed Income, 13(2), 55.
  • Jordan, C. (2004). The conundrum of corporate governance. Brook. J. Int'l L., 30, 983.
  • Kanasro, H. A., Junejo, M. A., & Junejo, M. A. (2011). Analyzing the stock markets role as a source of capital formation in Pakistan. Pakistan Journal of Commerce and Social Sciences (PJCSS), 5(2), 273-282.
  • Kandil, M., Berument, H., & Dincer, N. N. (2007). The effects of exchange rate fluctuations on economic activity in Turkey. Journal of Asian Economics, 18(3), 466-489.
  • Kumar, S., Kumar, A., & Singh, G. (2023). Causal relationship among international crude oil, gold, exchange rate, and stock market: Fresh evidence from NARDL testing approach. International Journal of Finance and Economics, 28(1), 47-57.
  • Liang, C. C., Troy, C., & Rouyer, E. (2020). US uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model. The North American Journal of Economics and Finance, 51, 101046.
  • Machlup, F. (1940). The stock market, credit and capital formation [online]. Alabama: Ludwig von Mises Institute. Available from: https://books.google.com.tr/books?hl=tr&lr=&id=LjeLzbc9GiYC&oi=fnd&pg=PA1&dq=Machlup,+F.+(1940).+The+stock+market,+credit+and+capital+formation.+Ludwig+von+Mises+Institute&ots=xuLvIP2Ade&sig=nODfnLHe-GVOaIJ0X3CQYln_m3c&redir_esc=y#v=onepage&q=Machlup%2C%20F.%20(1940).%20The%20stock%20market%2C%20credit%20and%20capital%20formation.%20Ludwig%20von%20Mises%20Institute&f=false (Accessed at 30 September 2023)
  • Mishkin, F. S. (2012). The Economics of money, banking and financial markets (Global edition): The Pearson Series in Economics. Pearson Education Press.
  • Okere, K. I., Muoneke, O. B., & Onuoha, F. C. (2021). Symmetric and asymmetric effects of crude oil price and exchange rate on stock market performance in Nigeria: Evidence from multiple structural break and NARDL analysis. The Journal of International Trade and Economic Development, 30(6), 930-956.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
  • Pratiwi, C. J., & Mustafa, M. H. (2021). The analysis the effect of macroeconomic factors on Indonesia 10-year government bond yield. Dinasti International Journal of Digital Business Management, 2(3), 471-481.
  • Şenol, Z., & Selahattin, K. O. Ç. (2018). Yabancı portföy yatırımları, borsa ve makroekonomik değişkenler arası ilişkilerin VAR yöntemiyle analizi: Türkiye örneği. Uluslararası İktisadi ve İdari İncelemeler Dergisi, (21), 1-20.
  • Sensoy, A., & Sobaci, C. (2014). Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey. Economic Modelling, 43, 448-457.
  • Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, 281-314.
  • Siddiqui, S., & Roy, P. (2019). Predicting volatility and dynamic relation between stock market, exchange rate and select commodities. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 67(6).
  • Sidhu, A., & Katoch, R. (2021). Do internatıonal gold prices and nse nifty 50 move together?. Advances in Mathematics: Scientific Journal, 10(1), 497-506.
  • Smith Jr, C. W. (1988). Raising capital: Theory and evidence. The Investment Banking Handbook, 11(7), 71. Tily, G. (2012). Keynes’s monetary theory of interest. BIS Paper, (65c).
  • Uyar, U., Kangallı Uyar, S. G., & Gökçe, A. (2016). Gösterge faiz oranı dalgalanmaları ve BIST endeksleri arasındaki ilişkinin eşanlı kantil regresyon ile analizi. Ege Academic Review, 16(4).
  • Waldenström, D. (2014). Swedish stock and bond returns, 1856–2012.Working Paper, No. 2014:5. Available at: http://hdl.handle.net/10419/123793

ALTIN FİYATLARI, DÖVİZ KURU VE TAHVİL VERİMLİLİĞİNİN BIST100 ENDEKSİ ÜZERİNDEKİ ASİMETRİK İLİŞKİSİNİN ANALİZİ

Year 2024, Volume: 33 Issue: 1, 297 - 310, 30.04.2024
https://doi.org/10.35379/cusosbil.1371599

Abstract

Bu çalışmada altın fiyatları, USD/TRY döviz kuru, kurumsal yönetim endeksi ve 10 yıllık tahvil getirilerinin BIST100 endeksi üzerindeki asimetrik etkileri incelenmiştir. Analizde Eylül 2007-Eylül 2023 dönemini kapsayan haftalık veriler kullanılarak, değişkenlerin BIST100 endeksi üzerindeki asimetrik etkileri doğrusal olmayan ARDL sınır testi yardımıyla araştırılmıştır. Sonuç olarak, doğrusal olmayan ARDL sınır testi, BIST100 endeksi ile açıklayıcı değişkenler arasında uzun dönemli bir eşbütünleşme ilişkisi olduğunu göstermiştir. Negatif altın fiyatları değişkeni hariç tüm asimetrik değişkenlerin BIST100 endeksi üzerinde istatistiksel olarak anlamlı bir etkiye sahip olduğu görülmüştür. Buna göre, tahvil verimliliği ve altın fiyatları BIST100 endeksini negatif yönde etkilerken, USD/TRY döviz kuru ve kurumsal yönetim endeksi BIST100 üzerinde pozitif etkilere sahiptir. Asimetrik etkilerin olmadığını ifade eden Wald testinin boş hipotezi 10 yıllık tahvil verimliliği, USD/TRY döviz kuru ve kurumsal yönetim endeksi için reddedilmiştir. Öte yandan, kısa dönem asimetri testi sadece kurumsal yönetim endeksi için reddedilmiştir. Sonuç olarak, kurumsal yönetim BIST100 endeksi üzerinde hem kısa dönemli hem de uzun dönemli asimetrik etkilere sahipken, on yıllık tahvil verimliliği serisi ve dolar kurunun BIST100 endeksi üzerinde sadece uzun dönemli asimetrik etkileri bulunmaktadır.

References

  • Abdalla, I. S., & Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines. Applied Financial Economics, 7(1), 25-35.
  • Ahmed, S., Hasan, M. M., & Kamal, M. R. (2023). Russia–Ukraine crisis: The effects on the European stock market. European Financial Management, 29(4), 1078-1118.
  • Allen, D. E., & McAleer, M. (2021). A Nonlinear Autoregressive Distributed Lag (NARDL) analysis of the ftse and S&P500 indexes. Risks, 9(11), 195.
  • Ali, R., Mangla, I. U., Rehman, R. U., Xue, W., Naseem, M. A., & Ahmad, M. I. (2020). Exchange rate, gold price, and stock market nexus: A quantile regression approach. Risks, 8(3), 86.
  • Ambros, M., Frenkel, M., Huynh, T. L. D., & Kilinc, M. (2021). COVID-19 pandemic news and stock market reaction during the onset of the crisis: evidence from high-frequency data. Applied Economics Letters, 28(19), 1686-1689.
  • Arı, Y. (2022). ARDL Sınır Testi Uygulamaları Üzerine Tartışmalar. 21. Yüzyılda İktisadı Anlamak: Güncel Ekonometrik Zaman Serileri Çalışmaları (1. baskı). Ankara: Gazi Kitabevi
  • Arouri, M. E. H., Lahiani, A., & Nguyen, D. K. (2015). World gold prices and stock returns in China: Insights for hedging and diversification strategies. Economic Modelling, 44, 273-282.
  • Aydemir, O., & Demirhan, E. (2009). The relationship between stock prices and exchange rates: Evidence from Turkey. International Research Journal of Finance and Economics, 23(2), 207-215.
  • Ayhan, F. (2019). Türkiye ekonomisinde döviz kuru oynaklığının dış ticaret üzerindeki etkisinin analizi. Business and Economics Research Journal, 10(3), 629-647.
  • Barak, D., & Naimoğlu, M. (2018). Reel döviz kurunun dış ticaret üzerindeki etkisi: Kırılgan Beşli örneği. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11(2), 82-95.
  • Bekaert, G., & Engstrom, E. (2010). Inflation and the stock market: Understanding the “Fed Model”. Journal of Monetary Economics, 57(3), 278-294.
  • Cengiz, V. (2010). Keynesyen ve monetarist görüşte parasal aktarım mekanizması: bir karşılaştırma. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 22(1), 115-127.
  • Chadha, J. S., Turner, P., & Zampolli, F. (2013). The interest rate effects of government debt maturity. BIS paper (no:415) Available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2282396
  • Chernov, M., & Mueller, P. (2012). The term structure of inflation expectations. Journal of financial economics, 106(2), 367-394.
  • Cheung, S. Y., & Chan, B. Y. (2004). Corporate governance in Asia. Asia Pacific Development Journal, 11(2), 1-32.
  • Cieslak, A., & Pflueger, C. (2023). Inflation and asset returns. Annual Review of Financial Economics, 15.
  • Clare, A. D., Thomas, S. H., & Wickens, M. R. (1994). Is the gilt-equity yield ratio useful for predicting UK stock returns?. The Economic Journal, 104(423), 303-315.
  • Coibion, O., Gorodnichenko, Y., Kumar, S., & Pedemonte, M. (2020). Inflation expectations as a policy tool?. Journal of International Economics, 124, 103297.
  • Cologni, A., & Manera, M. (2008). Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries. Energy Economics, 30(3), 856-888.
  • Daly, D. J. (1993). Porter's diamond and exchange rates. MIR: Management International Review, 119-134.
  • De Rezende, R. B. (2017). The interest rate effects of government bond purchases away from the lower bound. Journal of International Money and Finance, 74, 165-186.
  • Deacon, M., & Derry, A. (1994). Estimating market interest rate and inflation expectations from the prices of UK government bonds. Bank of England Quarterly Bulletin, 34(3), 232-240.
  • Durré, A., & Giot, P. (2007). An international analysis of earnings, stock prices and bond yields. Journal of Business Finance and Accounting, 34(3‐4), 613-641.
  • Ehrmann, M., Fratzscher, M. & Rigobon, R. (2011). Stocks, bonds, money markets and exchange rates: measuring international financial transmission. Journal of Applied Econometrics, 26(6), 948-974.
  • Emeç, A. S., & Demirdöğen, Y. (2022). Altın fiyatlarının BIST100 endeksi üzerine etkisi: varyansta nedensellik Analizi. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 27(4), 547-561.
  • Emsen, H. S. (2022). Dolarizasyon ve borsa ilişkileri: Türkiye üzerine incelemeler. Uluslararası Ekonomi Siyaset İnsan ve Toplum Bilimleri Dergisi, 5(1), 29-48.
  • Erdoğan, S., Gedikli, A., & Çevik, E. İ. (2020). Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries. Borsa Istanbul Review, 20(4), 322-333.
  • Erel, I., Julio, B., Kim, W., & Weisbach, M. S. (2012). Macroeconomic conditions and capital raising. The Review of Financial Studies, 25(2), 341-376.
  • Gadanecz, B., & Mehrotra, A. N. (2013). The exchange rate, real economy and financial markets. BIS Paper, (73b). Gazel, S. (2016). Cointegration and causality between BIST100 index and gold price. International Journal of Business and Management Studies, 5(02), 337-344.
  • Gokmenoglu, K. K., & Fazlollahi, N. (2015). The interactions among gold, oil, and stock market: Evidence from SandP500. Procedia Economics and Finance, 25, 478-488.
  • He, X., Gokmenoglu, K. K., Kirikkaleli, D., & Rizvi, S. K. A. (2023). Co‐movement of foreign exchange rate returns and stock market returns in an emerging market: Evidence from the wavelet coherence approach. International Journal of Finance and Economics, 28(2), 1994-2005.
  • İlkhan, C., Çevikgil, D., Aydın, B., & Zeren, F. (2022). Altın fiyatları, ABD doları ve BIST100 endeksi arasındaki ilişkinin incelenmesi: Türkiye örneği. Malatya Turgut Özal Üniversitesi İşletme ve Yönetim Bilimleri Dergisi, 3(1), 46-53.
  • Ilmanen, A. (2003). Stock-bond correlations. The Journal of Fixed Income, 13(2), 55.
  • Jordan, C. (2004). The conundrum of corporate governance. Brook. J. Int'l L., 30, 983.
  • Kanasro, H. A., Junejo, M. A., & Junejo, M. A. (2011). Analyzing the stock markets role as a source of capital formation in Pakistan. Pakistan Journal of Commerce and Social Sciences (PJCSS), 5(2), 273-282.
  • Kandil, M., Berument, H., & Dincer, N. N. (2007). The effects of exchange rate fluctuations on economic activity in Turkey. Journal of Asian Economics, 18(3), 466-489.
  • Kumar, S., Kumar, A., & Singh, G. (2023). Causal relationship among international crude oil, gold, exchange rate, and stock market: Fresh evidence from NARDL testing approach. International Journal of Finance and Economics, 28(1), 47-57.
  • Liang, C. C., Troy, C., & Rouyer, E. (2020). US uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model. The North American Journal of Economics and Finance, 51, 101046.
  • Machlup, F. (1940). The stock market, credit and capital formation [online]. Alabama: Ludwig von Mises Institute. Available from: https://books.google.com.tr/books?hl=tr&lr=&id=LjeLzbc9GiYC&oi=fnd&pg=PA1&dq=Machlup,+F.+(1940).+The+stock+market,+credit+and+capital+formation.+Ludwig+von+Mises+Institute&ots=xuLvIP2Ade&sig=nODfnLHe-GVOaIJ0X3CQYln_m3c&redir_esc=y#v=onepage&q=Machlup%2C%20F.%20(1940).%20The%20stock%20market%2C%20credit%20and%20capital%20formation.%20Ludwig%20von%20Mises%20Institute&f=false (Accessed at 30 September 2023)
  • Mishkin, F. S. (2012). The Economics of money, banking and financial markets (Global edition): The Pearson Series in Economics. Pearson Education Press.
  • Okere, K. I., Muoneke, O. B., & Onuoha, F. C. (2021). Symmetric and asymmetric effects of crude oil price and exchange rate on stock market performance in Nigeria: Evidence from multiple structural break and NARDL analysis. The Journal of International Trade and Economic Development, 30(6), 930-956.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
  • Pratiwi, C. J., & Mustafa, M. H. (2021). The analysis the effect of macroeconomic factors on Indonesia 10-year government bond yield. Dinasti International Journal of Digital Business Management, 2(3), 471-481.
  • Şenol, Z., & Selahattin, K. O. Ç. (2018). Yabancı portföy yatırımları, borsa ve makroekonomik değişkenler arası ilişkilerin VAR yöntemiyle analizi: Türkiye örneği. Uluslararası İktisadi ve İdari İncelemeler Dergisi, (21), 1-20.
  • Sensoy, A., & Sobaci, C. (2014). Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey. Economic Modelling, 43, 448-457.
  • Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, 281-314.
  • Siddiqui, S., & Roy, P. (2019). Predicting volatility and dynamic relation between stock market, exchange rate and select commodities. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 67(6).
  • Sidhu, A., & Katoch, R. (2021). Do internatıonal gold prices and nse nifty 50 move together?. Advances in Mathematics: Scientific Journal, 10(1), 497-506.
  • Smith Jr, C. W. (1988). Raising capital: Theory and evidence. The Investment Banking Handbook, 11(7), 71. Tily, G. (2012). Keynes’s monetary theory of interest. BIS Paper, (65c).
  • Uyar, U., Kangallı Uyar, S. G., & Gökçe, A. (2016). Gösterge faiz oranı dalgalanmaları ve BIST endeksleri arasındaki ilişkinin eşanlı kantil regresyon ile analizi. Ege Academic Review, 16(4).
  • Waldenström, D. (2014). Swedish stock and bond returns, 1856–2012.Working Paper, No. 2014:5. Available at: http://hdl.handle.net/10419/123793

ALTIN FİYATLARI, DÖVİZ KURLARI, TAHVİL VERİMLİLİĞİNİN BORSA İSTANBUL 100 ENDEKSİ ÜZERİNDEKİ ASİMETRİK İLİŞKİSİNİN ANALİZİ

Year 2024, Volume: 33 Issue: 1, 297 - 310, 30.04.2024
https://doi.org/10.35379/cusosbil.1371599

Abstract

References

  • Abdalla, I. S., & Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines. Applied Financial Economics, 7(1), 25-35.
  • Ahmed, S., Hasan, M. M., & Kamal, M. R. (2023). Russia–Ukraine crisis: The effects on the European stock market. European Financial Management, 29(4), 1078-1118.
  • Allen, D. E., & McAleer, M. (2021). A Nonlinear Autoregressive Distributed Lag (NARDL) analysis of the ftse and S&P500 indexes. Risks, 9(11), 195.
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There are 51 citations in total.

Details

Primary Language English
Subjects International Economics (Other)
Journal Section Articles
Authors

Salih Çam 0000-0002-3521-5728

Publication Date April 30, 2024
Submission Date October 5, 2023
Published in Issue Year 2024 Volume: 33 Issue: 1

Cite

APA Çam, S. (2024). AN ANALYSIS OF THE LONG-TERM ASYMMETRIC RELATIONSHIP BETWEEN GOLD PRICES, EXCHANGE RATES, YIELDS OF GOVERNMENT BOND, AND THE BIST100 INDEX. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 33(1), 297-310. https://doi.org/10.35379/cusosbil.1371599