BRICS-T Borsaları İle Altın ve Brent Petrol Fiyatları Arasındaki İlişkinin Zamanla Değişen Nedensellik Testi İle İncelenmesi

Year 2021, Volume: 23 Issue: 4, 1453 - 1467, 29.12.2021

Feyyaz Zeren , Selim Güngör

https://doi.org/10.32709/akusosbil.894863

Cited By: 2

Abstract

Bu çalışmada BRICS-T ülke borsaları ile ons altın ve Brent petrol fiyatları arasındaki ilişkinin ortaya konulması amaçlanmıştır. Bu amaç doğrultusunda zamanla değişen nedensellik testi vasıtasıyla söz konusu değişkenler arasındaki ilişkilerin dönemsel farklılıkları tespit edilmeye çalışılmıştır. 5 Kasım 1995 – 29 Aralık 2019 döneminin incelendiği çalışmada haftalık veriler kullanılmış olup, elde edilen bulgulara göre BRICS-T borsaları ile hem ons altın hem de Brent petrol fiyatı arasında çift yönlü zamana bağlı nedensellik ilişkisinin varlığı tespit edilmiştir. Bu nedensellik ilişkisinin yerel ve küresel kriz dönemlerinde kuvvetlendiği görülmüştür. Söz konusu bulgular BRICS-T borsaları, altın ve Brent petrol yatırımcıları için kıymetli bilgiler sunmaktadır.

Keywords

BRICS-T ülkeleri, hisse senedi piyasaları, ons altın, brent petrol, zamanla değişen nedensellik

The Investigation of the Relationship between BRICS-T Stock Markets, Gold and Brent Oil Prices with Time Varying Causality Test

Abstract

In this paper, it is aimed to reveal the relationship between BRICS-T stock markets, gold ounce and Brent oil prices. For this purpose, periodic differences of the relationships between the mentioned variables are tried to be revealed through the time varying causality test. Weekly data were used in the study, which examined the period of 5th Nov., 1995 - 29th Dec., 2019, and according to the findings, the presence of a two-way time-varying causal relationship between both gold ounce and Brent oil prices with BRICS-T stock markets was determined. This causality relationship has been observed to strengthen in local and global crisis periods. These findings provides valuable information for BRICS-T stock market, gold and Brent oil investors.

Keywords

BRICS-T countries, stock market indices, ounce of gold, brent oil, time varying causality

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