BIST 100 Endeksi ile USD, Altın ve BITCOIN Arasında COVID-19 Pandemisi Öncesi ve Sonrasında Nedensellik Değişimi: Türkiye Üzerine Fourier İşlevli Bir Tarihsel Analiz

Abstract

Bu çalışmanın amacı COVID-19 pandemisi döneminde yatırımcı kararlarında meydana gelen değişimleri pandemi öncesi ve sonrası dönemler şeklinde ortaya koyarak finansal sistem içerisinde yer alan ve etkilenen tarafların kararlarında yol gösterici veriler ortaya koymak ve literatüre katkıda bulunmaktır. Çalışma Türkiye örneği üzerinden COVID-19 pandemisi öncesi ve sonrasını içerecek şekilde ve en son güncel değerlerle 01/01/2018-24/02/2023 dönemini kapsamaktadır. Analizler Toda-Yamamoto prosedürünü Fourier fonksiyonu (FTY) ile zenginleştiren bir nedensellik testi kullanılarak yapılmıştır. Çalışma yapılan dönem Chow yapısal kırılma testi ile dört alt döneme ayrılmıştır. Çalışmada USD, Altın (AU) ve Bitcoin değişkenleri ile BIST 100 endeksi arasındaki nedensellik ilişkisi analiz edilmiştir. Yapılan analiz sonuçları pandemi öncesi ve sonrası dönemin birbirinden oldukça farklı nedensellik ilişkileri ortaya koyduğunu, pandeminin ilk şok dalgasında altının güvenli liman özelliğinin ortaya çıktığını, devam eden pandemi sürecinde ise altının bu özelliğini kaybettiği ve ele alınan tüm değişkenler arasındaki nedenselliklerin belirginleştiği görülmüştür. Pandemi sonrası dönemde ise pandemi öncesi döneme kıyasla sadece altının aynı şekilde tek taraflı nedensellik ilişkisine sahip olduğu diğer değişkenler olan USD ve Bitcoin’in BIST100 değişkeniyle nedensellik ilişkisinin tamamen kaybolduğu görülmüştür. Çalışma kriz dönemlerinin her bir aşamasında yatırımcı davranışlarının analiz edilmesi açısından literatüre önemli bir katkı sunmaktadır.

Keywords

• Covid-19
• Finansal Göstergeler
• Nedensellik
• Fourier Fonksiyon
• Toda–Yamamoto

Causality Change Between BIST 100 Index and USD, Gold, and BITCOIN Before and After the COVID-19 Pandemic: A Historical Analysis with a Fourier Function on Turkiye

Abstract

The aim of this study is to present guiding data in the decisions of the affected parties in the financial system and contribute to the literature by revealing the changes in investor decisions during the COVID-19 pandemic period as pre-pandemic and post-pandemic periods. The study covers the period of 01/01/2018-24/02/2023 with the latest updated values, including before and after the COVID-19 pandemic, over the case of Turkiye. Analyzes were performed using a causality test that enriched the Toda-Yamamoto procedure with the Fourier function (FTY). The study period was divided into four sub-periods with the Chow structural break test. In the study, the causality relationship between USD, Gold (AU) and that between Bitcoin variables and BIST100 index were analyzed. The results of the analysis showed that the pre-pandemic and post-pandemic period revealed quite different causality relationships in that gold emerged as a safe haven in the first shock wave of the pandemic, and gold lost this feature in the ongoing pandemic process and the causality between all the variables discussed became clear. In the post-pandemic period, compared to the pre-pandemic one, it was observed that the causality relationship between the BIST100 variable of USD and Bitcoin, which are the other variables that only gold has a one-sided causality relationship in the same way, disappeared completely. The study makes an important contribution to the literature in terms of analyzing investor behavior at each stage of crisis periods.

Keywords

• Covid-19
• Financial Indicators
• Causality
• Fourier Function
• Toda–Yamamoto

References

1. Abate, M., Christidis, P. & Purwanto, A. J. (2020). Government Support to Airlines in The Aftermath of The Covid-19 Pandemic. Journal of Air Transport Management, 89, 101931. https://doi.org/10.1016/j.jairtraman.2020.101931
2. Adrangi, B., Chatrath, A. & Raffiee, K. (2003). Economic Activity, Inflation, and Hedging: The Case of Gold and Silver Investments. The Journal of Wealth Management, 6(2), 60-77. https://doi.org/10.3905/jwm.2003.320482
3. Akhtaruzzaman, M., Boubaker, S., Lucey, B. M. & Sensoy, A. (2021). Is Gold A Hedge or A Safe-Haven Asset in the COVID–19 Crisis?. Economic Modelling, 102, 105588. https://doi.org/10.1016/j.econmod.2021.105588
4. Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A. & Alhammadi, S. (2020). Death and Contagious Infectious Diseases: Impact of The Covid-19 Virus on Stock Market Returns. Journal of Behavioral and Experimental Finance, 27, 100326. https://doi.org/10.1016/j.jbef.2020.100326
5. Ali, S., Bouri, E., Czudaj, R. L. & Shahzad, S. J. H. (2020). Revisiting The Valuable Roles of Commodities for International Stock Markets. Resources Policy, 66, 101603. https://doi.org/10.1016/j.resourpol.2020.101603
6. Allayannis, G. & Ofek, E. (2001). Exchange Rate Exposure, Hedging, and the Use of Foreign Currency Derivatives. Journal of International Money and Finance, 20(2), 273-296. https://doi.org/10.1016/S0261-5606(00)00050-4
7. Anderson, G. J. & Mizon, G. E. (1989). Statistical Analysis and Forecasting of Economic Structural Change. P. Hackl (Ed.), What Can Statistics Contribute to The Analysis of Economic Structural Change? (3-22). Springer.
8. Bae, S. C. & Kwon, T. H. (2022). Exchange Rate Risk Management using Currency Derivatives: The Case of Exposures to Japanese Yen. Asia-Pacific Financial Markets, 1-27. https://doi.org/10.1007/s10690-022-09391-7

9. Bae, S. C., Kwon, T. H. & Park, R. S. (2018). Managing Exchange Rate Exposure with Hedging Activities: New Approach and Evidence. International Review of Economics & Finance, 53, 133-150. https://doi.org/doi.org/10.1016/j.iref.2017.10.017
10. Baffes, J. (2007). Oil Spills on Other Commodities. Resources Policy, 32(3), 126-134. https://doi.org/10.1016/j.resourpol.2007.08.004
11. Bahloul, S., Mroua, M. & Naifar, N. (2022). Are Islamic Indexes, Bitcoin and Gold, still “Safe-Haven” Assets During The COVID-19 Pandemic Crisis?. International Journal of Islamic and Middle Eastern Finance and Management, 15(2), 372-385. https://doi.org/10.1108/IMEFM-06-2020-0295
12. Bartram, S. M. (2008). What Lies Beneath: Foreign Exchange Rate Exposure, Hedging and Cash Flows. Journal of Banking & Finance, 32(8), 1508-1521. https://doi.org/10.1016/j.jbankfin.2007.07.013
13. Baur, D. G. & Lucey, B. M. (2010). Is Gold A Hedge or A Safe Haven? An Analysis of Stocks, Bonds and Gold. Financial Review, 45(2), 217-229. https://doi.org/10.1111/j.1540-6288.2010.00244.x
14. Baur, D. G. & McDermott, T. K. (2010). Is Gold a Safe Haven? International Evidence. Journal of Banking & Finance, 34(8), 1886-1898. https://doi.org/10.1016/j.jbankfin.2009.12.008
15. Baur, D. G. & Trench, A. (2022). Not All Gold Shines in Crisis Times-Gold Firms, Gold Bullion and the COVID-19 Shock. Journal of Commodity Markets, 28, 100260. https://doi.org/10.1016/j.jcomm.2022.100260
16. Becker, R., Enders, W. & Lee, J. (2006). A Stationarity Test in The Presence of An Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 27(3), 381-409. https://doi.org/10.1111/j.1467-9892.2006.00478.x
17. Beckers, S. & Soenen, L. (1984). Gold: More Attractive to Non‐Us Than to Us Investors?. Journal of Business Finance & Accounting, 11(1), 107-112. https://doi.org/10.1111/j.1468-5957.1984.tb00061.x
18. Bekiros, S., Boubaker, S., Nguyen, D. K. & Uddin, G. S. (2017). Black Swan Events and Safe Havens: The Role of Gold in Globally Integrated Emerging Markets. Journal of International Money and Finance, 73, 317-334. https://doi.org/10.1016/j.jimonfin.2017.02.010
19. Bouri, E., Molnár, P., Azzi, G., Roubaud, D. & Hagfors, L. I. (2017). On The Hedge and Safe Haven Properties of Bitcoin: Is It Really More Than a Diversifier?. Finance Research Letters, 20, 192-198. https://doi.org/10.1016/j.frl.2016.09.025
20. Canbaloğlu, B. (2022). Gold and Stock Market Linkage: Pre-and Post-Covid-19 Periods. Başkent Üniversitesi Ticari Bilimler Fakültesi Dergisi, 6(2), 123-131.
21. Capie, F., Mills, T. C. & Wood, G. (2005). Gold As a Hedge Against the Dollar. Journal of International Financial Markets, Institutions and Money, 15(4), 343-352. https://doi.org/10.1016/j.intfin.2004.07.002
22. Carse, S., Williamson, J. & Wood, G. E. (1980). The Financing Procedures of British Foreign Trade. CUP Archive. Cassidy, H. J. (1981). Using Econometrics. Reston Publishing Company.
23. Cheema, M. A., Faff, R. & Szulczyk, K. R. (2022). The 2008 Global Financial Crisis And COVID-19 Pandemic: How Safe Are the Safe Haven Assets?. International Review of Financial Analysis, 83, 102316. https://doi.org/10.1016/j.irfa.2022.102316
24. Chow, G. C. (1960). Tests Of Equality Between Sets of Coefficients in Two Linear Regressions. Econometrica: Journal of the Econometric Society, 591-605.
25. Clarke, J. A. & Mirza, S. (2006). A Comparison of Some Common Methods for Detecting Granger Noncausality. Journal of Statistical Computation and Simulation, 76(3), 207-231. https://doi.org/10.1080/10629360500107741
26. Conlon, T., Corbet, S. & McGee, R. J. (2020). Are Cryptocurrencies a Safe Haven for Equity Markets? An International Perspective from the COVID-19 Pandemic. Research in International Business and Finance, 54, 101248. https://doi.org/10.1016/j.ribaf.2020.101248
27. Conover, C. M., Jensen, G. R., Johnson, R. R. & Mercer, J. M. (2009). Can Precious Metals Make Your Portfolio Shine?. The Journal of Investing, 18(1), 75-86. https://doi.org/10.3905/JOI.2009.18.1.075
28. Corbet, S., Hou, Y., Hu, Y., Lucey, B. & Oxley, L. (2021). Aye Corona! The Contagion Effects of Being Named Corona During The COVID-19 Pandemic. Finance Research Letters, 38, 101591. https://doi.org/10.1016/j.frl.2020.101591
29. Döhring, B. (2008). Hedging And Invoicing Strategies to Reduce Exchange Rate Exposure-A Euro-Area Perspective (Sy 299). Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
30. EC. (2020). Future of Transport: Update on The Economic Impacts Of COVID-19 (Science for Policy Briefs (2020)2637972). The European Commission’s Science and Knowlegde Service. https://joint-research-centre.ec.europa.eu/system/files/2020-05/202005_future_of_transport_covid_sfp.brief_.pdf
31. Eisl, A., Gasser, S. M. & Weinmayer, K. (2015). Caveat Emptor: Does Bitcoin Improve Portfolio Diversification?. SSRN 2408997.
32. Enders, W. & Jones, P. (2016). Grain Prices, Oil Prices, and Multiple Smooth Breaks in a VAR. Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419. https://doi.org/doi.org/10.1515/snde-2014-0101
33. Enders, W. & Lee, J. (2012). The Flexible Fourier form and Dickey-Fuller Type Unit Root Tests. Economics Letters, 117(1), 196-199. https://doi.org/doi.org/10.1016/j.econlet.2012.04.081
34. Escribano, A. & Granger, C. W. (1998). Investigating The Relationship Between Gold and Silver Prices. Journal of Forecasting, 17(2), 81-107.
35. Fatum, R. & Yamamoto, Y. (2016). Intra-Safe Haven Currency Behavior During the Global Financial Crisis. Journal of International Money and Finance, 66, 49-64. https://doi.org/10.1016/j.jimonfin.2015.12.007
36. Gogas, P., Gupta, R., Miller, S. M., Papadimitriou, T. & Sarantitis, G. A. (2017). Income Inequality: A Complex Network Analysis of US States. Physica A: Statistical Mechanics and its Applications, 483, 423-437. https://doi.org/10.1016/j.physa.2017.04.102
37. Goodell, J. W. & Goutte, S. (2021). Diversifying Equity with Cryptocurrencies During COVID-19. International Review of Financial Analysis, 76, 101781. https://doi.org/10.1016/j.irfa.2021.101781
38. Harvey, C. (2020). Topic: The Economic and Financial Implications of Covid-19. Mayo Center for Asset Management Virtual Seminar Series. https://www.darden.virginia.edu/mayo-center/events/virtual-speaker-series
39. Hasan, M. B., Mahi, M., Hassan, M. K. & Bhuiyan, A. B. (2021). Impact of COVID-19 Pandemic on Stock Markets: Conventional vs. Islamic Indices Using Wavelet-Based Multi-Timescales Analysis. The North American Journal of Economics and Finance, 58, 101504. https://doi.org/10.1016/j.najef.2021.101504
40. Hentschel, L. & Kothari, S. P. (1995). Life Insurance or Lottery: Are Corporations Managing or Taking Risks with Derivatives?. [Working paper]. University of Rochester.
41. Hu, X., Yan, H., Casey, T. & Wu, C.-H. (2021). Creating a Safe Haven During the Crisis: How Organizations Can Achieve Deep Compliance with COVID-19 Safety Measures in the Hospitality Industry. International Journal of Hospitality Management, 92, 102662. https://doi.org/10.1016/j.ijhm.2020.102662
42. Ivanov, D. (2021). Exiting the COVID-19 Pandemic: After-Shock Risks and Avoidance of Disruption Tails in Supply Chains. Annals of Operations Research, 1-18. https://doi.org/10.1007/s10479-021-04047-7
43. İlhan, A. & Akdeniz, C. (2020). The Impact of Macroeconomic Variables on The Stock Market in The Time of Covid-19: The Case of Turkey. Ekonomi Politika ve Finans Araştırmaları Dergisi, 5(3), 893-912. https://doi.org/10.30784/epfad.810630
44. Jaffe, J. F. (1989). Gold and Gold Stocks as Investments for Institutional Portfolios. Financial Analysts Journal, 45(2), 53-59. https://doi.org/10.2469/faj.v45.n2.53
45. Ji, Q., Zhang, D. & Zhao, Y. (2020). Searching For Safe-Haven Assets During The COVID-19 Pandemic. International Review of Financial Analysis, 71, 101526. https://doi.org/10.1016/j.irfa.2020.101526
46. Joy, M. (2011). Gold and the US Dollar: Hedge or Haven?. Finance Research Letters, 8(3), 120-131. https://doi.org/10.1016/j.frl.2011.01.001
47. Kamal, J. B., Wohar, M. & Kamal, K. B. (2022). Do Gold, Oil, Equities, and Currencies Hedge Economic Policy Uncertainty and Geopolitical Risks During Covid Crisis?. Resources Policy, 78, 102920. https://doi.org/10.1016/j.resourpol.2022.102920
48. Li, S., Wang, Y., Filieri, R. & Zhu, Y. (2022). Eliciting Positive Emotion Through Strategic Responses to COVID-19 Crisis: Evidence from The Tourism Sector. Tourism Management, 90, 104485. https://doi.org/10.1016/j.tourman.2021.104485
49. Li, Z., Farmanesh, P., Kirikkaleli, D. & Itani, R. (2022). A Comparative Analysis of COVID-19 and Global Financial Crises: Evidence from US Economy. Economic Research-Ekonomska Istraživanja, 35(1), 2427-2441. https://doi.org/10.1080/1331677X.2021.1952640
50. Liu, M. & Lee, C.-C. (2022). Is Gold a Long-Run Hedge, Diversifier, or Safe Haven for Oil? Empirical Evidence Based on DCC-MIDAS. Resources Policy, 76, 102703. https://doi.org/10.1016/j.resourpol.2022.102703
51. 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. https://doi.org/10.1080/17446540500426789
52. Maghyereh, A. I., Awartani, B. & Tziogkidis, P. (2017). Volatility Spillovers and Cross-Hedging Between Gold, Oil and Equities: Evidence from The Gulf Cooperation Council Countries. Energy Economics, 68, 440-453. https://doi.org/10.1016/j.eneco.2017.10.025
53. McCown, J. R. & Zimmerman, J. R. (2006). Is Gold a Zero-Beta Asset? Analysis of the Investment Potential of Precious Metals [Working Paper]. Oklahoma City University.
54. Nagurney, A. (2021). Supply Chain Game Theory Network Modeling Under Labor Constraints: Applications to The Covid-19 Pandemic. European Journal of Operational Research, 293(3), 880-891. https://doi.org/10.1016/j.ejor.2020.12.054
55. Nazlioglu, S., Gormus, N. A. & Soytas, U. (2016). Oil Prices and Real Estate Investment Trusts (Reits): Gradual-Shift Causality and Volatility Transmission Analysis. Energy Economics, 60, 168-175. https://doi.org/doi.org/10.1016/j.eneco.2016.09.009
56. Nydahl, S. (1999). Exchange Rate Exposure, Foreign Involvement and Currency Hedging of Firms: Some Swedish Evidence. European Financial Management, 5(2), 241-257.
57. Pukthuanthong, K. & Roll, R. (2011). Gold and the Dollar (and the Euro, Pound, and Yen). Journal of Banking & Finance, 35(8), 2070-2083. https://doi.org/10.1016/j.jbankfin.2011.01.014
58. Reboredo, J. C. (2013). Is Gold a Safe Haven or A Hedge for The US Dollar? Implications for Risk Management. Journal of Banking & Finance, 37(8), 2665-2676. https://doi.org/10.1016/j.jbankfin.2013.03.020
59. Reboredo, J. C. & Rivera-Castro, M. A. (2014). Can Gold Hedge and Preserve Value When the US Dollar Depreciates?. Economic Modelling, 39, 168-173. https://doi.org/10.1016/j.econmod.2014.02.038
60. Salisu, A. A., Raheem, I. D. & Vo, X. V. (2021). Assessing The Safe Haven Property of The Gold Market During COVID-19 Pandemic. International Review of Financial Analysis, 74, 101666. https://doi.org/10.1016/j.irfa.2021.101666
61. Sari, R., Hammoudeh, S. & Ewing, B. T. (2009). Dynamic Relations Between Oil and Other Commodity Futures Prices. Geopolitics of Energy, 29, 1-12.
62. Sari, R., Hammoudeh, S. & Soytas, U. (2010). Dynamics of Oil Price, Precious Metal Prices, and Exchange Rate. Energy Economics, 32(2), 351-362.
63. Simkins, B. & Laux, P. (1997). Derivatives Use and The Exchange Rate Risk of Investing in Large US Corporations. 2nd International Finance Conference, Atlanta, CA.
64. Sjaastad, L. A. & Scacciavillani, F. (1996). The Price of Gold and The Exchange Rate. Journal of international Money and Finance, 15(6), 879-897. https://doi.org/10.1016/S0261-5606(96)00045-9
65. Toda, H. Y. & Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66(1-2), 225-250. https://doi.org/doi.org/10.1016/0304-4076(94)01616-8
66. Urquhart, A. & Zhang, H. (2019). Is Bitcoin A Hedge or Safe Haven for Currencies? An Intraday Analysis. International Review of Financial Analysis, 63, 49-57. https://doi.org/10.1016/j.irfa.2019.02.009
67. WHO. (2020). WHO Director-General’s opening remarks at the media briefing on COVID-19—11 March 2020. World Health Organization (WHO). https://www.who.int/director-general/speeches/detail/who-director-general-s-opening-remarks-at-the-media-briefing-on-covid-19---11-march-2020
68. Wolde-Rufael, Y. (2006). Electricity Consumption and Economic Growth: A Time Series Experience for 17 African Countries. Energy Policy, 34(10), 1106-1114. https://doi.org/10.1016/j.enpol.2004.10.008
69. Wulff, C. & Späne, A. (2020). How COVID-19 is changing food retail [Retail and Consumer]. PwC. https://www.pwc.de/en/retail-and-consumer/how-covid-19-is-changing-food-retail.html
70. Yousaf, I., Bouri, E., Ali, S. & Azoury, N. (2021). Gold Against Asian Stock Markets During The COVID-19 Outbreak. Journal of Risk and Financial Management, 14(4), 186. https://doi.org/10.3390/jrfm14040186
71. Zapata, H. O. & Rambaldi, A. N. (1997). Monte Carlo Evidence on Cointegration and Causation. Oxford Bulletin of Economics and Statistics, 59(2), 285-298. https://doi.org/doi.org/10.1111/1468-0084.00065