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Kıymetli Madenlerin Range-Based Realized Volatilite Serileri Arasındaki Asimetrik İlişkiler

Year 2022, Volume: 6 Issue: 3, 3215 - 3236, 30.09.2022
https://doi.org/10.29023/alanyaakademik.1032905

Abstract

Finansal piyasalarda oluşan yüksek oynaklık ve bulaşma etkisi paniği yatırımcıların risklerini artırmaktadır. Böylece yatırımcılar artan riskten korunmak için portföylerinde yer alabilecek alternatif enstrümanları düşünmeye başlamış ve bu noktada kıymetli madenler güvenli liman olarak görülmeye başlanmıştır. Kıymetli madenlerin diğer finansal varlıklar ve piyasalarla olan ilişkisi önemli olduğu kadar birbirleriyle olan ilişkisi de oldukça önemli ve araştırılması gereken bir konudur. Bu amaçla kıymetli madenler arasındaki nedensellik ilişkisi Garman-Klass (1980) range-based realized volatilite serileri kullanılarak Hacker ve Hatemi-J Boostrap (2006) Nedensellik testinin yanı sıra asimetrik ilişkilerin de görülebilmesi için Hatemi-J (2012) Asimetrik Nedensellik testi ile analiz edilmiştir. Analizler sonucunda değişkenler arasında çeşitli nedensellik ilişkileri bulunmuştur. Ulaşılan en önemli sonuç ise altının gümüşle sınırlı bir ilişkisinin bulunduğu ve platin, paladyumla herhangi bir nedensellik ilişkisi bulunmadığı için altının oluşturulacak portföylerde daha fazla bulundurulabileceği ve halen yatırım aracı olarak güvenli liman olma özelliğini koruduğudur.

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Project Number

yok

Thanks

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References

  • Açacak, A., Gülsar, E. & Meriç, E. (2020). “Kıymetli Madenlerin Birbirleriyle İlişkisi: Asimetrik Nedensellik”. Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 21(1), 28-37.
  • Al Janabi, M. A., Hatemi-J, A., & Irandoust, M. (2010). “An empirical investigation of the informational efficiency of the GCC equity markets: evidence from bootstrap simulation”. International Review of Financial Analysis, 19(1), 47-54.
  • Arif, I., Khan, L., & Iraqi, K. M. (2019). “Relationship between oil price and white precious metals return: A new evidence from quantile-on-quantile regression”. Pakistan Journal of Commerce and Social Sciences (PJCSS), 13(2), 515-528.
  • Arouri, M. E. H., Hammoudeh, S., Lahiani, A. & Nguyen, D. K. (2012). “Long memory and structural breaks in modeling the return and volatility dynamics of precious metals”. The Quarterly Review of Economics and Finance, 52(2), 207-218.
  • Balcilar, M. & Ozdemir, Z. A. (2019). “The volatility effect on precious metals price returns in a stochastic volatility in mean model with time-varying parameters”. Physica A: Statistical Mechanics and Its Applications, 534, 122329.
  • Batten, J. A., Ciner, C. & Lucey, B. M. (2010). “The macroeconomic determinants of volatility in precious metals markets”. Resources Policy, 35(2), 65-71.
  • Batten, J. A., Ciner, C., & Lucey, B. M. (2015). “Which precious metals spill over on which, when and why? Some evidence”. Applied Economics Letters, 22(6), 466-473.
  • Batten, J., Lucey, B., McGroarty, F., Peat, M. & Urquhart, A. (2017). “Stylized facts of intraday precious metals”. PloS one, 12(4), e0174232.
  • Bhatia, V., Das, D., Tiwari, A. K., Shahbaz, M. & Hasim, H. M. (2018). “Do precious metal spot prices influence each other? Evidence from a nonparametric causality-in-quantiles approach”. Resources policy, 55, 244-252.
  • Bunnag, T. (2015). “The precious metals volatility comovements and spillovers, hedging strategies in comex market”. Journal of Applied Economic Sciences (JAES), 10(31), 82-103.
  • Carrion-i-Silvestre, J. L., Kim, D., & Perron, P. (2009). “GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses”. Econometric theory, 25(6), 1754-1792.
  • Chen, M.-H. 2010. “Understanding world metals prices—Returns, volatility and diversification”. Resources Policy, 35, 127-140.
  • Çelik, İ., Akkuş, H. T. & Gülcan, N. (2019). “Investigation of rational bubbles and volatility spillovers in commodity markets: Evidences from precious metals”. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(3), 936-951.
  • Demiralay, S. & Ulusoy, V. (2014). “Value-at-risk predictions of precious metals with long memory volatility models”.
  • Eryiğit, M. (2017). “Short-term and long-term relationships between gold prices and precious metal (palladium, silver and platinum) and energy (crude oil and gasoline) prices”. Economic research-Ekonomska istraživanja, 30(1), 499-510.
  • Garman, M.B.,& Klass, M.J. (1980). “On the Estimation of Security Price Volatility from Historical Data”. The Journal of Business, 53(1), 67–78.
  • Granger, C.W., Yoon, G. (2002). Hidden Cointegration. Department of Economics Working Paper. University of California. San Diego.
  • Granger, C. W. (1969). “Investigating causal relations by econometric models and cross-spectral methods”. Econometrica: journal of the Econometric Society, 424-438.
  • Hacker, R. S., & Hatemi-J, A. (2006). “Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application”. Applied Economics, 38(13), 1489-1500.
  • Hammoudeh, S., Malik, F. & McAleer, M. (2011). “Risk management of precious metals”. The Quarterly Review of Economics and Finance, 51(4), 435-441.
  • Hatemi-J, A. (2011). “Asymmetric panel causality tests with an application to the impact of fiscal policy on economic performance in Scandinavia”. MPRA Paper No. 55527.
  • Hatemi-j, A. (2012). “Asymmetric causality tests with an application”. Empirical economics, 43(1), 447-456.
  • Hatemi-J, A., & Roca, E. (2014). “BRICs and PIGS in the presence of Uncle Sam and big brothers: Who drive who? Evidence based on asymmetric causality tests”. Griffith Business School Discussion Papers Finance.
  • Hatemi-J, A., Al Shayeb, A., & Roca, E. (2017). “The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests”. Applied Economics, 49(16), 1-19.
  • Hatemi-J, A., Roca, E., & Buncic, D. (2006). “Bootstrap causality tests of the relationship between the equity markets of the US and other developed countries: Pre-and post-September 11”. Journal of Applied Business Research (JABR), 22(3), 65-74.
  • Hernandez, J. A., Kang, S. H., & Yoon, S. M. (2021). “Spillovers and portfolio optimization of precious metals and global/regional equity markets”. Applied Economics, 1-23.
  • Hillier, D., Draper, P. & Faff, R. (2006). “Do precious metals shine? An investment perspective”. Financial Analysts Journal, 62(2), 98-106.
  • Kamışlı, M., Kamışlı, S. & Temizel, F. (2017). “Emtia Fiyatları Birbirlerini Etkiler Mi? Asimetrik Frekans Nedensellik Analizi”. Uluslararası Yönetim İktisat ve İşletme Dergisi, 13(13), 1079-1093.
  • Kaushik, N. (2018). “Do global oil price shocks affect Indian metal market?”. Energy & Environment, 29(6), 891-904.
  • Kirkulak-Uludag, B. & Lkhamazhapov, Z. (2017). “Volatility dynamics of precious metals: evidence from Russia”. Finance a uver, 67(4), 300.
  • Kocabıyık, T., & Tunçel, M. B. “Kıymetli Metaller Arası Nedensellik İlişkisi Üzerine Ekonometrik Bir Çalışma”. Stratejik ve Sosyal Araştırmalar Dergisi, 4(2), 365-379.
  • Lucey, B. M. & Tully, E. (2006). “The evolving relationship between gold and silver 1978–2002: evidence from a dynamic cointegration analysis: a note”. Applied Financial Economics Letters, 2(1), 47-53.
  • Mokni, K. (2018). “Empirical analysis of the relationship between oil and precious metals markets”. Annals of Financial Economics, 13(01), 1850003.
  • Morales, L. & Andreosso-O’Callaghan, B. (2014). “Volatility analysis of precious metals returns and oil returns: An ICSS approach”. Journal of Economics and Finance, 38(3), 492-517.
  • Morales, L. (2008, June). “Volatility spillovers on precious metals markets: the effects of the asian crisis”. In Proceedings of the European Applied Business Research Conference (EABR).
  • Moralı, T. & Umut, Uyar. (2018). “Kıymetli Metaller Piyasasının Fraktal Analizi”. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 11(3), 2203-2218.
  • Palanska, T. (2018). Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets (No. 27/2018). IES Working Paper. Charles University in Prague, Institute of Economic Studies (IES), Prague
  • Robiyanto, R., Wahyudi, S. & Pangestuti, I. R. D. (2017). “The volatility-variability hypotheses testing and hedging effectiveness of precious metals for the Indonesian and Malaysian capital market”. Gadjah Mada International Journal of Business, 19(2), 167-192.
  • Salisu, A. A., Vo, X. V. & Lawal, A. (2021). “Hedging oil price risk with gold during COVID-19 pandemic”. Resources Policy, 70, 101897.
  • Tansuchat, R. (2017, January). “Realized Volatility of Precious Metal Returns: HAR-RV”. In 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017) (pp. 532-536). Atlantis Press.
  • Toda, H. Y., & Yamamoto, T. (1995). “Statistical inference in vector autoregressions with possibly integrated processes”. Journal of econometrics, 66(1-2), 225-250.
  • Yıldırım, D. Ç., Cevik, E. I. & Esen, Ö. (2020). “Time-varying volatility spillovers between oil prices and precious metal prices”. Resources Policy, 68, 101783.

Assymetric Relations Between Range-Based Realized Volatility Series of Precious Metals

Year 2022, Volume: 6 Issue: 3, 3215 - 3236, 30.09.2022
https://doi.org/10.29023/alanyaakademik.1032905

Abstract

High volatility and contagion effect panic in financial markets increase the risks of investors. Thus, investors started to consider alternative instruments that could be included in their portfolios in order to be protected from the increasing risk, and at this point, precious metals began to be seen as a safe haven. The relationship of precious metals with other financial assets and markets is as important as their relationship with each other and is a subject that needs to be investigated. For this purpose, the causality relationship between precious metals was analyzed using the Garman-Klass (1980) range-based realized volatility series, as well as the Hacker and Hatemi-J Boostrap (2006) Causality test, in order to see the asymmetrical relationships as well as the Hatemi-J (2012) Asymmetric Causality test. As a result of the analysis, various causality relationships were found between the variables. In particular, the copper variable has a reciprocal causality relationship with all of the gold, silver, palladium, and platinum variables. The most important conclusion reached is that gold has a limited relationship with silver and since there is no causal relationship with platinum and palladium, gold can be kept more in portfolios to be formed and it still remains a safe haven as an investment tool.

Project Number

yok

References

  • Açacak, A., Gülsar, E. & Meriç, E. (2020). “Kıymetli Madenlerin Birbirleriyle İlişkisi: Asimetrik Nedensellik”. Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 21(1), 28-37.
  • Al Janabi, M. A., Hatemi-J, A., & Irandoust, M. (2010). “An empirical investigation of the informational efficiency of the GCC equity markets: evidence from bootstrap simulation”. International Review of Financial Analysis, 19(1), 47-54.
  • Arif, I., Khan, L., & Iraqi, K. M. (2019). “Relationship between oil price and white precious metals return: A new evidence from quantile-on-quantile regression”. Pakistan Journal of Commerce and Social Sciences (PJCSS), 13(2), 515-528.
  • Arouri, M. E. H., Hammoudeh, S., Lahiani, A. & Nguyen, D. K. (2012). “Long memory and structural breaks in modeling the return and volatility dynamics of precious metals”. The Quarterly Review of Economics and Finance, 52(2), 207-218.
  • Balcilar, M. & Ozdemir, Z. A. (2019). “The volatility effect on precious metals price returns in a stochastic volatility in mean model with time-varying parameters”. Physica A: Statistical Mechanics and Its Applications, 534, 122329.
  • Batten, J. A., Ciner, C. & Lucey, B. M. (2010). “The macroeconomic determinants of volatility in precious metals markets”. Resources Policy, 35(2), 65-71.
  • Batten, J. A., Ciner, C., & Lucey, B. M. (2015). “Which precious metals spill over on which, when and why? Some evidence”. Applied Economics Letters, 22(6), 466-473.
  • Batten, J., Lucey, B., McGroarty, F., Peat, M. & Urquhart, A. (2017). “Stylized facts of intraday precious metals”. PloS one, 12(4), e0174232.
  • Bhatia, V., Das, D., Tiwari, A. K., Shahbaz, M. & Hasim, H. M. (2018). “Do precious metal spot prices influence each other? Evidence from a nonparametric causality-in-quantiles approach”. Resources policy, 55, 244-252.
  • Bunnag, T. (2015). “The precious metals volatility comovements and spillovers, hedging strategies in comex market”. Journal of Applied Economic Sciences (JAES), 10(31), 82-103.
  • Carrion-i-Silvestre, J. L., Kim, D., & Perron, P. (2009). “GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses”. Econometric theory, 25(6), 1754-1792.
  • Chen, M.-H. 2010. “Understanding world metals prices—Returns, volatility and diversification”. Resources Policy, 35, 127-140.
  • Çelik, İ., Akkuş, H. T. & Gülcan, N. (2019). “Investigation of rational bubbles and volatility spillovers in commodity markets: Evidences from precious metals”. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(3), 936-951.
  • Demiralay, S. & Ulusoy, V. (2014). “Value-at-risk predictions of precious metals with long memory volatility models”.
  • Eryiğit, M. (2017). “Short-term and long-term relationships between gold prices and precious metal (palladium, silver and platinum) and energy (crude oil and gasoline) prices”. Economic research-Ekonomska istraživanja, 30(1), 499-510.
  • Garman, M.B.,& Klass, M.J. (1980). “On the Estimation of Security Price Volatility from Historical Data”. The Journal of Business, 53(1), 67–78.
  • Granger, C.W., Yoon, G. (2002). Hidden Cointegration. Department of Economics Working Paper. University of California. San Diego.
  • Granger, C. W. (1969). “Investigating causal relations by econometric models and cross-spectral methods”. Econometrica: journal of the Econometric Society, 424-438.
  • Hacker, R. S., & Hatemi-J, A. (2006). “Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application”. Applied Economics, 38(13), 1489-1500.
  • Hammoudeh, S., Malik, F. & McAleer, M. (2011). “Risk management of precious metals”. The Quarterly Review of Economics and Finance, 51(4), 435-441.
  • Hatemi-J, A. (2011). “Asymmetric panel causality tests with an application to the impact of fiscal policy on economic performance in Scandinavia”. MPRA Paper No. 55527.
  • Hatemi-j, A. (2012). “Asymmetric causality tests with an application”. Empirical economics, 43(1), 447-456.
  • Hatemi-J, A., & Roca, E. (2014). “BRICs and PIGS in the presence of Uncle Sam and big brothers: Who drive who? Evidence based on asymmetric causality tests”. Griffith Business School Discussion Papers Finance.
  • Hatemi-J, A., Al Shayeb, A., & Roca, E. (2017). “The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests”. Applied Economics, 49(16), 1-19.
  • Hatemi-J, A., Roca, E., & Buncic, D. (2006). “Bootstrap causality tests of the relationship between the equity markets of the US and other developed countries: Pre-and post-September 11”. Journal of Applied Business Research (JABR), 22(3), 65-74.
  • Hernandez, J. A., Kang, S. H., & Yoon, S. M. (2021). “Spillovers and portfolio optimization of precious metals and global/regional equity markets”. Applied Economics, 1-23.
  • Hillier, D., Draper, P. & Faff, R. (2006). “Do precious metals shine? An investment perspective”. Financial Analysts Journal, 62(2), 98-106.
  • Kamışlı, M., Kamışlı, S. & Temizel, F. (2017). “Emtia Fiyatları Birbirlerini Etkiler Mi? Asimetrik Frekans Nedensellik Analizi”. Uluslararası Yönetim İktisat ve İşletme Dergisi, 13(13), 1079-1093.
  • Kaushik, N. (2018). “Do global oil price shocks affect Indian metal market?”. Energy & Environment, 29(6), 891-904.
  • Kirkulak-Uludag, B. & Lkhamazhapov, Z. (2017). “Volatility dynamics of precious metals: evidence from Russia”. Finance a uver, 67(4), 300.
  • Kocabıyık, T., & Tunçel, M. B. “Kıymetli Metaller Arası Nedensellik İlişkisi Üzerine Ekonometrik Bir Çalışma”. Stratejik ve Sosyal Araştırmalar Dergisi, 4(2), 365-379.
  • Lucey, B. M. & Tully, E. (2006). “The evolving relationship between gold and silver 1978–2002: evidence from a dynamic cointegration analysis: a note”. Applied Financial Economics Letters, 2(1), 47-53.
  • Mokni, K. (2018). “Empirical analysis of the relationship between oil and precious metals markets”. Annals of Financial Economics, 13(01), 1850003.
  • Morales, L. & Andreosso-O’Callaghan, B. (2014). “Volatility analysis of precious metals returns and oil returns: An ICSS approach”. Journal of Economics and Finance, 38(3), 492-517.
  • Morales, L. (2008, June). “Volatility spillovers on precious metals markets: the effects of the asian crisis”. In Proceedings of the European Applied Business Research Conference (EABR).
  • Moralı, T. & Umut, Uyar. (2018). “Kıymetli Metaller Piyasasının Fraktal Analizi”. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 11(3), 2203-2218.
  • Palanska, T. (2018). Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets (No. 27/2018). IES Working Paper. Charles University in Prague, Institute of Economic Studies (IES), Prague
  • Robiyanto, R., Wahyudi, S. & Pangestuti, I. R. D. (2017). “The volatility-variability hypotheses testing and hedging effectiveness of precious metals for the Indonesian and Malaysian capital market”. Gadjah Mada International Journal of Business, 19(2), 167-192.
  • Salisu, A. A., Vo, X. V. & Lawal, A. (2021). “Hedging oil price risk with gold during COVID-19 pandemic”. Resources Policy, 70, 101897.
  • Tansuchat, R. (2017, January). “Realized Volatility of Precious Metal Returns: HAR-RV”. In 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017) (pp. 532-536). Atlantis Press.
  • Toda, H. Y., & Yamamoto, T. (1995). “Statistical inference in vector autoregressions with possibly integrated processes”. Journal of econometrics, 66(1-2), 225-250.
  • Yıldırım, D. Ç., Cevik, E. I. & Esen, Ö. (2020). “Time-varying volatility spillovers between oil prices and precious metal prices”. Resources Policy, 68, 101783.
There are 42 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Makaleler
Authors

Arife Özdemir Höl 0000-0002-9902-9174

Nazlıgül Gülcan 0000-0002-1390-0820

Project Number yok
Publication Date September 30, 2022
Acceptance Date August 31, 2022
Published in Issue Year 2022 Volume: 6 Issue: 3

Cite

APA Özdemir Höl, A., & Gülcan, N. (2022). Kıymetli Madenlerin Range-Based Realized Volatilite Serileri Arasındaki Asimetrik İlişkiler. Alanya Akademik Bakış, 6(3), 3215-3236. https://doi.org/10.29023/alanyaakademik.1032905