GLOBAL EFFECTS OF COVID-19 PANDEMIC ON THE FINANCIAL MARKETS: IS GOLD HEDGE OR SAFE HAVEN FOR STOCKS?

Yıl 2022, Cilt: 9 Sayı: 20, 337 - 353, 30.12.2022

Fatma Özgü Serttaş , Zaim Reha Yaşar

Öz

This study investigates whether gold is hedge or safe haven for stocks for a sample of 14 countries (7 developed and 7 emerging markets), using regression methods with GARCH(1,1) errors. The analysis is based on daily frequency observations of a period of nearly 20 years, ranging from September 17, 2001 to September 10, 2021. The data are split into two sub-samples on December 30, 2019 to diversify the effects of the COVID-19 crisis on global investor behavior. Different currency denominations are considered for gold and stock prices both in terms of national currencies and the U.S. dollar to distinguish between the behaviors of domestic and foreign investors. The results indicate that gold is hedge and safe haven especially for the emerging markets during the COVID-19 pandemic when market falls become more severe in the aftermath of the worldwide economic turmoil. The number of countries where gold acts as hedge and safe haven increases when the market prices are in terms of national currencies.

Anahtar Kelimeler

Gold, Stock Market, COVID-19 Effects, Hedge, Safe Haven.

COVID-19 PANDEMİSİNİN FİNANSAL PİYASALARA GLOBAL ETKİSİ: ALTIN HİSSELER İÇİN HEDGE VEYA GÜVENLİ LİMAN MIDIR?

Öz

Bu çalışma altının, 14 ülkede (7 gelişmiş ve 7 gelişmekte olan) hisse senedi yatırımlarına karşı güvenli liman ve hedge özelliğini GARCH (1,1) hata terimleri varsayımlı regresyon metodları kullanarak araştırmaktadır. Verilerimiz günlük frekansta olup 17 Eylül 2001 tarihinden 10 Eylül 2021 tarihine kadar uzanan yaklaşık 20 yıllık bir periyodu kapsamaktadır. COVİD-19 krizinin global yatırımcı davranışını nasıl değiştirdiğinin ayrıştırılmasına yönelik olarak, 30 Aralık 2019 tarihi itibariyla örneklem iki alt gruba ayrılmıştır. Yerli ve yabancı yatırımcıların farklı davranışlarını ortaya çıkarabilmek için tüm fiyatlar hem yerel para birimleri hem de A.B.D. doları olarak analiz edilmiştir. Altın, özellikle de gelişmekte olan piyasalar için COVID-19 kriz döneminde hedge ve güvenli liman olarak öne çıkmaktadır. COVID-19 döneminde, dünya çapındaki ekonomik çalkantının ardından piyasa düşüşleri daha şiddetli hale gelmiştir. Yerli yatırımcı davranışını anlayabilmek için A.B.D. doları yerine yerel para birimi cinsinden piyasa fiyatlarına odaklandığımızda da altının riskten korunma aracı ve güvenli liman işlevi gördüğü ülke sayısının arttığı görülmektedir.

Anahtar Kelimeler

Altın, Hisse Senetleri, COVID-19 Etkileri, Hedge, Güvenli Liman

Kaynakça

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