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Cointegration and Causality Relationship between Gold Spot and Futures Markets in Turkey

Year 2020, Volume: 11 Issue: 2, 474 - 483, 26.06.2020

Abstract

Thanks to global financialization, gold has become the world's most liquid trading entity. Gold plays a vital role in short and long term investment decisions for portfolio managers. In order to protect against risks arising from fluctuations in gold prices and to better manage risk, investors evaluate futures markets. The role of price discovery in the futures markets and the possibility of reducing certain risks increase the importance of researching the relationship between spot and futures prices. The purpose of this study is to determine whether there is a relationship between the Gold spot market and the Gold futures market. For this purpose, the relationship between the two markets is analyzed by using Johansen Cointegration analysis and Vector Error Correction Model (VECM) using the daily data of the period 02.01.2009 - 31.05.2018. Unit root tests show that each series is not stationary at the level values and that the first differences of the series are stationary. The results of the cointegration analysis show that there is a long term equilibrium relationship between the gold spot market and the gold futures market and it is a single cointegration vector. To determine the causality relationship between the series, vector error correction model was used and it was determined that there is a bidirectional causality relationship between the gold spot market and the gold futures market. These results show that markets are integrated with each other and mutual information flow is provided.

References

  • Ahmad, N. (2016). Price discovery role and causal relationship between Malaysian gold futures prices and spot gold prices. Advanced Science Letters, 22, 4099-4103.
  • Brooks, C. (2008). Introductory econometrics for finance, Cambridge, Cambridge University Press.
  • Charemza, W.W. & Deadman, D.F. (1993). New directions in econometric practice: general to specific modeling cointegration and vector autoregression, Cambridge, Aldershot, Hanst: Edward Elgar Publishing Limited.
  • Dickey, D., and Fuller, W.A. (1979). Distributions of the estimators for autoregressive time series with a unit root. The American Statistical Association, 74, 423-431.
  • Engle, R.F., & Granger, C.W.J. (1987). Cointegration and error correction: Representation, estimation and testing. Econometrica, 55(2), 251–276.
  • Ersoy, E. ve Bayrakdaroğlu, A. (2013). İMKB 30 endeksi ile VOB-İMKB 30 endeks vadeli işlem sözleşmeleri arasındaki öncül-ardıl ilişkisi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 42(1), 26-40.
  • Fuangkasem, R., Chunhachinda, P. & Nathaphan, S. (2014). Information transmission among world major gold futures markets: evidence from high-frequency synchronous trading data. Journal of US-China Public Administration, 11(3), 255-269.
  • İşeri, M. ve Kaçmazer, M. (2016). 2005-2015 Yılları arasında BIST30 endeksi ve BIST30 endeks vadeli işlem sözleşmeleri arasındaki nedensellik (öncül-ardıl) ilişkisinin irdelenmesi. Finans Politik & Ekonomik Yorumlar, 53(615), 9-21.
  • Jena, S.K., Kumar Tiwari, A. & Roubaud, D. (2018). Comovements of gold futures markets and the spot market: A wavelet analysis. Finance Research Letters, 24,19-24.
  • Jerry Ho, W., Wang, Y. & Liou, G. (2010). The interactive relationship among international gold indices, gold futures and the overall economy. African Journal of Business Management. 4(9), 1903-1915.
  • Johansen, J. (1988). Statistical Analysis of Cointegrating Vectors. Economic Dynamics and Control, 12, 231-54.
  • Johansen, S., and Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration with application to the demand for money. Oxford Bulletin of Economics and Statistics, 52, 169-210.
  • Joseph, A., Sisodia, G. & Kumar Tiwari, A. (2014). A frequency-domain causality investigation between futures and spot prices of Indian commodity markets. Economic Modelling, 40, 250-258.
  • Kasman, A. ve Kasman, S. (2008). The ımpact of futures trading on volatility of the underlying asset in the Turkish stock market. Physica A: Statistical Mechanics and its Applications, 387, 2837-2845.
  • Kirkulak-Uludağ, B. ve Lkhamazhapov, Z. (2016). The volatility dynamics of spot and futures gold prices: Evidence from Russia. Research in International Business and Finance, 38, 474-484, DOI: 10.1016/j.ribaf.2016.07.003
  • Korkmaz, T., Çevik, E.İ. ve Uygurtürk, H. (2017). Spot ve vadeli piyasalar arasında risk durumunda nedensellik ilişkisi. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 10(2), 737-756, DOI:10.17218/hititsosbil.305741
  • Lafuente-Luengo, J. A. (2009). Intraday realized volatility relationships between the S&P 500 spot and futures market. Journal of Derivatives & Hedge Funds, 15(2), 116-121.
  • Lin, H., Chiang, S. & Chen, K. (2008) The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM. Applied Financial Economics Letters, 4(1), 19-24, DOI: 10.1080/17446540701262868
  • Nicolau, M. & Palomba, G. (2015). Dynamic relationships between spot and futures prices. The case of energy and gold commodities. Resources Policy, 45, 130-143.
  • Ordu-Akkaya, B.M., Uğurlu-Yıldırım, E. ve Saytaş, U. (2019). The role of trading volume, open interest and trader positions on volatility transmission between spot and futures markets. Resources Policy, 61, 410-422.
  • Özdemir, L. (2017). VADELİ işlem piyasası ile hisse senedi piyasa oynaklığı arasındaki ilişki: İzmir vadeli işlem ve opsiyon borsası üzerine bir uygulama. The Journal of Academic Social Science, 5(44), 171-189.
  • Özdemir, L. ve Kula, V. (2017). Döviz piyasa oynaklığı ile vadeli işlem piyasası arasındaki nedensellik ilişkisi. İşletme Araştırmaları Dergisi. 9(3), 618-636, DOI: 10.20491/isarder.2017.315
  • Pavabutr, p. & Chaihetphon, P. (2010). Price discovery in the Indian gold futures market. Economic Finance, 34, 455-467.
  • Perron, P. (1990). Testing for a unit root in a time series with a changing mean. Journal of Business and Economic Statistics, 8, 153-162.
  • Pok, W.C. & Poshakwale, S. (2004). The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange. Applied Financial Economics, 14, 143-154.
  • Ruan, Q., Huang, Y. & Jiang, W. (2016). The exceedance and cross-correlations between the gold spot and futures markets. Physica A, 463,139-151, DOI: 10.1016/j.physa.2016.07.021
  • Ryoo, H.J. & Smith, G. (2004). The impact of stock index futures on the Korean stock market. Applied Financial Economics, 14, 243-251.
  • Sims, C.A. (1972). Money, ıncome, and causality. American Economic Review, 62(4), 540-552.
  • Srinivasan, P. (2009). An empirical analysis of price discovery in the NSE spot and futures markets of India, IUP Journal of Applied Finance, 15(11), 24-36.
  • Srinivasan, K. & Deo, M. (2009). The temporal lead-lag and causality between spot and futures markets: evidence from multi commodity exchange of India. International Review of Applied Financial Issues and Economics,1(1), 74-82.
  • Tse, Y.K. & Chan, W.S. (2010). The lead-lag relation between the S&P 500 spot and futures markets: an ıntraday-data analysis using a threshold regression model. The Japanese Economic Review, 61(1), 133-144.

Türkiye’de Altın Spot ve Vadeli İşlem Piyasaları Arasındaki Eşbütünleşme ve Nedensellik İlişkisi

Year 2020, Volume: 11 Issue: 2, 474 - 483, 26.06.2020

Abstract

Küresel finansallaşma sayesinde altın, dünya çapında en likit ticareti yapılan varlık haline gelmiştir. Altın portföy yöneticileri için kısa ve uzun vadeli yatırım kararlarında hayati bir rol oynamaktadır. Altın fiyatlarında meydana gelen dalgalanmalar sonucu ortaya çıkan risklerden korunmak ve riski daha iyi yönetebilmek için yatırımcılar vadeli işlem piyasalarını değerlendirmektedirler. Vadeli işlem piyasalarının fiyat keşif rolü ve belirli riskleri azaltma imkânı, spot ve vadeli fiyatlar arasındaki ilişkiyi araştırmanın önemini artırmaktadır. Bu çalışmanın amacı Altın spot piyasası ile Altın vadeli işlem piyasası arasında bir ilişki olup olmadığını tespit etmektir. Bu amaçla 15.03.2013 – 31.05.2018 dönemine ait günlük veriler kullanılarak iki piyasa arasındaki ilişkisi, Johansen Eşbütünleşme testi ve Vektör Hata Düzeltme Modeli (VECM) kullanılarak analiz edilmiştir. Birim kök testleri her serinin seviye değerlerinde durağan olmadığını, serilerin birinci farklarında ise durağanlığın sağlandığını göstermektedir. Eşbütünleşme analizi sonuçları altın spot piyasası ile altın vadeli işlem piyasası arasında uzun dönem denge ilişkisinin mevcut olduğunu ve en az bir eşbütünleşme vektörü olduğunu ortaya koymaktadır. Seriler arasındaki nedensellik ilişkisini belirlemek için vektör hata düzeltme modeli kullanılmış ve altın spot piyasası ile altın vadeli işlem piyasası arasında çift yönlü bir nedensellik ilişkisinin olduğu tespit edilmiştir. Bu sonuçlar piyasaların birbiri ile entegre olduğunu ve karşılıklı bilgi akışının sağlandığını göstermektedir.

References

  • Ahmad, N. (2016). Price discovery role and causal relationship between Malaysian gold futures prices and spot gold prices. Advanced Science Letters, 22, 4099-4103.
  • Brooks, C. (2008). Introductory econometrics for finance, Cambridge, Cambridge University Press.
  • Charemza, W.W. & Deadman, D.F. (1993). New directions in econometric practice: general to specific modeling cointegration and vector autoregression, Cambridge, Aldershot, Hanst: Edward Elgar Publishing Limited.
  • Dickey, D., and Fuller, W.A. (1979). Distributions of the estimators for autoregressive time series with a unit root. The American Statistical Association, 74, 423-431.
  • Engle, R.F., & Granger, C.W.J. (1987). Cointegration and error correction: Representation, estimation and testing. Econometrica, 55(2), 251–276.
  • Ersoy, E. ve Bayrakdaroğlu, A. (2013). İMKB 30 endeksi ile VOB-İMKB 30 endeks vadeli işlem sözleşmeleri arasındaki öncül-ardıl ilişkisi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 42(1), 26-40.
  • Fuangkasem, R., Chunhachinda, P. & Nathaphan, S. (2014). Information transmission among world major gold futures markets: evidence from high-frequency synchronous trading data. Journal of US-China Public Administration, 11(3), 255-269.
  • İşeri, M. ve Kaçmazer, M. (2016). 2005-2015 Yılları arasında BIST30 endeksi ve BIST30 endeks vadeli işlem sözleşmeleri arasındaki nedensellik (öncül-ardıl) ilişkisinin irdelenmesi. Finans Politik & Ekonomik Yorumlar, 53(615), 9-21.
  • Jena, S.K., Kumar Tiwari, A. & Roubaud, D. (2018). Comovements of gold futures markets and the spot market: A wavelet analysis. Finance Research Letters, 24,19-24.
  • Jerry Ho, W., Wang, Y. & Liou, G. (2010). The interactive relationship among international gold indices, gold futures and the overall economy. African Journal of Business Management. 4(9), 1903-1915.
  • Johansen, J. (1988). Statistical Analysis of Cointegrating Vectors. Economic Dynamics and Control, 12, 231-54.
  • Johansen, S., and Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration with application to the demand for money. Oxford Bulletin of Economics and Statistics, 52, 169-210.
  • Joseph, A., Sisodia, G. & Kumar Tiwari, A. (2014). A frequency-domain causality investigation between futures and spot prices of Indian commodity markets. Economic Modelling, 40, 250-258.
  • Kasman, A. ve Kasman, S. (2008). The ımpact of futures trading on volatility of the underlying asset in the Turkish stock market. Physica A: Statistical Mechanics and its Applications, 387, 2837-2845.
  • Kirkulak-Uludağ, B. ve Lkhamazhapov, Z. (2016). The volatility dynamics of spot and futures gold prices: Evidence from Russia. Research in International Business and Finance, 38, 474-484, DOI: 10.1016/j.ribaf.2016.07.003
  • Korkmaz, T., Çevik, E.İ. ve Uygurtürk, H. (2017). Spot ve vadeli piyasalar arasında risk durumunda nedensellik ilişkisi. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 10(2), 737-756, DOI:10.17218/hititsosbil.305741
  • Lafuente-Luengo, J. A. (2009). Intraday realized volatility relationships between the S&P 500 spot and futures market. Journal of Derivatives & Hedge Funds, 15(2), 116-121.
  • Lin, H., Chiang, S. & Chen, K. (2008) The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM. Applied Financial Economics Letters, 4(1), 19-24, DOI: 10.1080/17446540701262868
  • Nicolau, M. & Palomba, G. (2015). Dynamic relationships between spot and futures prices. The case of energy and gold commodities. Resources Policy, 45, 130-143.
  • Ordu-Akkaya, B.M., Uğurlu-Yıldırım, E. ve Saytaş, U. (2019). The role of trading volume, open interest and trader positions on volatility transmission between spot and futures markets. Resources Policy, 61, 410-422.
  • Özdemir, L. (2017). VADELİ işlem piyasası ile hisse senedi piyasa oynaklığı arasındaki ilişki: İzmir vadeli işlem ve opsiyon borsası üzerine bir uygulama. The Journal of Academic Social Science, 5(44), 171-189.
  • Özdemir, L. ve Kula, V. (2017). Döviz piyasa oynaklığı ile vadeli işlem piyasası arasındaki nedensellik ilişkisi. İşletme Araştırmaları Dergisi. 9(3), 618-636, DOI: 10.20491/isarder.2017.315
  • Pavabutr, p. & Chaihetphon, P. (2010). Price discovery in the Indian gold futures market. Economic Finance, 34, 455-467.
  • Perron, P. (1990). Testing for a unit root in a time series with a changing mean. Journal of Business and Economic Statistics, 8, 153-162.
  • Pok, W.C. & Poshakwale, S. (2004). The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange. Applied Financial Economics, 14, 143-154.
  • Ruan, Q., Huang, Y. & Jiang, W. (2016). The exceedance and cross-correlations between the gold spot and futures markets. Physica A, 463,139-151, DOI: 10.1016/j.physa.2016.07.021
  • Ryoo, H.J. & Smith, G. (2004). The impact of stock index futures on the Korean stock market. Applied Financial Economics, 14, 243-251.
  • Sims, C.A. (1972). Money, ıncome, and causality. American Economic Review, 62(4), 540-552.
  • Srinivasan, P. (2009). An empirical analysis of price discovery in the NSE spot and futures markets of India, IUP Journal of Applied Finance, 15(11), 24-36.
  • Srinivasan, K. & Deo, M. (2009). The temporal lead-lag and causality between spot and futures markets: evidence from multi commodity exchange of India. International Review of Applied Financial Issues and Economics,1(1), 74-82.
  • Tse, Y.K. & Chan, W.S. (2010). The lead-lag relation between the S&P 500 spot and futures markets: an ıntraday-data analysis using a threshold regression model. The Japanese Economic Review, 61(1), 133-144.
There are 31 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Letife Özdemir 0000-0002-8636-2277

Publication Date June 26, 2020
Submission Date February 3, 2020
Published in Issue Year 2020 Volume: 11 Issue: 2

Cite

APA Özdemir, L. (2020). Türkiye’de Altın Spot ve Vadeli İşlem Piyasaları Arasındaki Eşbütünleşme ve Nedensellik İlişkisi. Gümüşhane Üniversitesi Sosyal Bilimler Dergisi, 11(2), 474-483. https://doi.org/10.36362/gumus.683714