KIYMETLİ METALLER PİYASASININ FRAKTAL ANALİZİ

Öz

Kıymetli madenler antik dönemlerden bu yana insan hayatında hem ödeme aracı hem de tasarruf aracı olarak kullanılmaktadır. Modern piyasaların gelişmesi ile beraber, yatırımcılar tarafından portföye dahil edilmesi mümkün bir finansal varlık özelliği kazanmıştır. Tüm finansal varlık piyasalarında olduğu gibi kıymetli madenler piyasası da etkin piyasa hipotezi varsayımlarının muhatabıdır. Finansal piyasaların rassal yürüyüş özelliği sergilediği varsayımını ortaya atan etkin piyasa hipotezine karşılık, uzun zamandır birçok aksi görüş iddia edilmiştir. Bu görüşlerden birisi de fraktal piyasa hipotezidir ve gelecek dönem getirilerinin geçmiş dönem getirilerinden bağımsız olamayacağını ifade etmektedir. Çalışmanın temel amacı, kıymetli madenler piyasasında fraktal yapının varlığını araştırmaktır. Bu amaçla altın, gümüş, platin ve paladyum madenlerinin günlük, haftalık, aylık ve çeyreklik (dönemlik) frekanslarda getirileri kullanılmıştır. Elde edilen bulgular, söz konusu piyasaların fraktal yapıya sahip olabileceğini ve yatırımcının elde tutma süresi uzadıkça, varlığın getirilerinin geçmiş hareketlere (pozitif/negatif yönlü) daha bağımlı hale geldiğini ortaya koymaktadır.

Anahtar Kelimeler

• Etkin Piyasa Hipotezi,Fraktal Piyasa Hipotezi,Kıymetli Madenler Piyasası

THE FRACTAL ANALYSIS OF PRECIOUS METALS MARKET

Abstract

Precious metals have been using not only a payment instrument but also a saving instrument since the antique era by human. Associated with modern markets, they are seen as an investment instrument which could be a part of portfolio by investors. As with all financial markets, the precious metals market is also a subject of efficient market hypothesis assumptions. Although the assumption of the random walk of efficient market hypothesis, there are some counter ideas which claim random walk has not existed in literature. One of these counter ideas is the fractal market hypothesis. The hypothesis claims that the current or future returns cannot be independent of past returns or price fluctuations, so, the financial markets have a long-memory. The main purpose of the study, to investigate the existence of the fractal market hypothesis in the gold, silver, platinum and palladium markets. With that purpose, different return frequencies which daily, weekly, monthly and quarterly used for the various precious metal assets. The results show that the fractal market hypothesis could be valid for the precious metal markets. Moreover, the findings indicate that while the holding period of assets is increasing, the existence of long-memory (positive/negative direction) is more possible.

Keywords

• Efficient Market Hypothesis,Fractal Market Hypothesis,Precious Metal Markets

Kaynakça

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