EFFECT OF GOLD PRICE VOLATILITY ON STOCK RETURNS: EXAMPLE OF TURKEY

Year 2013, Volume: 5 Issue: 1, 119 - 140, 01.06.2013

Filiz Yıldız Contuk Hümeyra Burucu Bener Güngör

Abstract

This study analyzes the effect of fluctuations in gold prices on ISE 100 index
using daily prices and the index data from 01.01.2009 to 31.12.2012. The raw
data has been converted into earnings yields and analyzed. The study first
determines whether or not the use of a GARCH model would be appropriate using
a heteroskedasticity test. The test results show that there was an ARCH effect in
both variables, and that GARCH modeling could be used. The results obtained
from MGARCH modeling show that gold and stock exchange yields have been
affected both by their own shocks and by shocks of each other.

Keywords

Gold Prices, Stock Returns, GARCH modeling

References

• Aksoy, M.; Topcu, N., (2013) “Altın ile Hisse Senedi ve Enflasyon Arasındaki
• İlişki” , Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt:27,Sayı(1), 59- Baillie, R.T. and Myers, R.J.(1991) “Bivariate GARCH Estimation of the Optimal
• Commodity Futures Hedge,” Journal of Applied Econometrics, 6, 109-124. Balı,Selçuk; Cinel M.Ozan, (2011), “Altın Fiyatlarının İMKB 100 Endeksi’ne
• Etkisi Ve Bu Etkinin Ölçümlenmesi”, “Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi”, Cilt: 25, Sayı: 3-4 ,45-63
• Baur, Dirk G., (2009), “The Volatility of Gold” ,School of Finance and Economics University of Technology, Sydney.
• Bera, A. K., and Higgins, M. L. (1993), “ARCH Models: Properties,Estimation and Testing,”Journal of Economic Surveys, Vol. 7, No. 4,307-366.
• Bhunia, Amalendu; Das, Amit, (2012), “Assocıatıon Between Gold Prıces And Stock Market Returns:Empırıcal Evıdence From Nse” , Journal of Exclusive
• Management Science,Vol 1 Issue 2 - ISSN 2277 – 5684
• Bollerslev, T. (1990), “Modelling the Coherence in Short-Run Nominal Exchange
• Rates: A Multivariate Generalized ARCH Model”, Review of Economics and Statistics, 72, 498-505. Bollerslev, T., R.Y. Chou, and K.F. Kroner (1992), "ARCH Modeling in
• Finance:A Review of the Theory and Empirical Evidence," Journal of Econometrics,Vol.52, p.5-59
• Cheung, Yin-Wong; Lilian, K.Ng ,(1998), “International Evidence on the Stock
• Market and Aggregate Duyar, M. (2010),”Altın Arzını Etkileyen Faktörlerin Oluşan Fiyatlar Üzerindeki
• Etkisi” ,Journal Of International Social Research, Volume(3)-Issue(14), 214-225. Economic Activity”, Journal of Empirical Finance, 5, 281-296
• Engle, R.F. and K.F. Kroner (1995), “Multivariate Simultaneous Generalized
• ARCH”, Econometric Theory, 11, 122-150. Fama, Eugene F.,(1981), “Stock Returns, Real Activity, Inflation, and Money”,
• The American Economic Review ,Vol. 71, No. 4,pp. 545-565
• Ghosh, D., Levın, E.J., Macmıllan, P., Wrıght, R.E., (2002), “Gold as an inflation hedge?”, University of St. Andrews, Department of Economics, Discussion Paper Series.
• Gökdemir L.; S. Ergün, (2007) “Altın Fiyatlarındaki İstikrarsızlığın Altın Ticareti
• Üzerindeki Etkisi: Türkiye Örneği”, E-Journal of Yaşar University, 27-40, No.5, Vol.1 Gong, Fangxiong ; Mariano, Roberto S., (1997), “Stock Market Returns And Economic Fundamentals In An Emerging Market: The Case of Korea”, Financial
• Engineering and the Japanese Markets, 4(2), 147-169
• Gourieroux, C. (1997), “ARCH Models and Financial Applications”, New York:Springer
• Gwilym, Owain ap; Clare, Andrew; Seaton, James; Thomas, Stephen; (2011) ,
• “Gold Stocks, The Gold Price And Market Timing”, “Journal of Derivatives & Hedge Funds” , Vol. 17 Issue 3, p.266. Kaliyamoorthy,S. ;Parithi, S., (2012), “ Relationship of Gold Market and Stock
• Market: An Analysis”, International Journal of Business and Management Tomorrow, Vol. 2 No. 6 Karolyi G. A. (1995), “A multivariate GARCH model of international transmissions of stock returns and volatility: The case of United States and Canada. American Statistical Association, 13, 11-25.
• Kaya, Vahdet; Çömlekçi, İstemi, Kara, Oğuz, (2013), “Hisse Senedi Getirilerini
• Etkileyen Makroekonomik Değişkenler 2002-2012 Türkiye Örneği”, Dumlupınar
• Üniversitesi Sosyal Bilimler Dergisi – Sayı 35. Korkmaz,T.;Ceylan,A.,(2010) "Sermaye Piyasası ve Menkul Değer Analizi", Ekin Yayınevi,Bursa,s:95.
• Koutsoyıannıs, A. (1983), “A Short-Run Pricing Model for a Speculative Asset,
• Tested with Data From the Gold Bullion Market”, Applied Economics, 15, 563- Kroner, K.F. and Claessens, S. (1991), “Optimal Dynamic Hedging Portfolios and the Currency Composition of External Debt,” Journal of International Money and Finance, 10, 131-148
• Mulyadi, Martin Surya; Anwar, Yunita, (2012), “Gold versus stock investment:
• An econometric analysis”, “International Journal of Development and Sustainability Online”, Volume 1, Number 1, Page 1-7. Omağ,A., (2012), “An Observation Of The Relationship Between Gold Prices
• And Selected Financial Variables In Turkey”, Journal of Accounting & Finance, (55), 195-204. P K Mishra; J R Das & S K Mishra ,(2010), “Gold Price Volatility and Stock
• Market Returns in India”, American Journal of Scientific Research ISSN 1450- X Issue 9”, pp.47-55
• Poyraz, E.; Didin, S., (2008), “Altın Fiyatlarındaki Değişimin Döviz Kuru, Döviz
• Rezervi Ve Petrol Fiyatlarından Etkilenme Derecelerinin Çoklu Faktör Modeli İle Değerlendirilmesi”, Suleyman Demirel University Journal Of Faculty Of Economics & Administrative Sciences, 13(2), 93-104. Smith, Graham,(2001); “The price of gold and stock price Indıces for the United
• States”,http://www.spdrgoldshares.com/media/GLD/file/Gold&USStockIndicesD EC200120fina.pdf-15.01.2013
• Smith,Graham (2002),“London Gold Prices and Stock Price Indices in Europe and Japan”,http://www.spdrgoldshares.com/media/GLD/file/GOLD&EUJPStockIndic esFeb2002.pdf-15.01.2013
• Topçu, Ayhan, (2010), “Altın Fiyatlarını Etkileyen Faktörler”, SPK Araştırma Raporu, Ankara
• Toraman,C.; Başarir, Ç.; Bayramoğlu, M., (2011), “ Determination of Factors
• Affecting the Price of Gold: A Study of MGARCH Model”, Business and Economics Research Journal, ISSN:1309-2448,Volume(2),Number(4),pp.37-50
• Toraman,C.; Başarir, Ç.; Bayramoğlu, M., (2011), “Altın Fiyatlarını Etkileyen
• Faktörlerin Tespiti Üzerine: Mgarch Modeli İle Bir İnceleme”, Alanya İşletme Fakültesi Dergisi, 3(1):1-20
• Tully, E.; Lucey, B. M. ,(2005) ,“An APGARCH Investigation of the Main
• Influences on the Gold Price”. available at SSRN: http://ssrn.com/abstract=79 Vural; M.Göknil, (2003), “Altın Piyasası ve Altın Fiyatlarını Etkileyen
• Faktörler”,TCMB Uzmanlık Yeterlilik Tezi, Ankara Yılmaz, Ömer; Güngör, Bener; Kaya, Vedat; (2007), “Hisse Senedi Fiyatları ve Makro Ekonomi Değiskenler Arasında Eşbütünleşme ve Nedensellik” , İMKB
• Dergisi, Cilt:9, Sayı: 34, Aralık, Zügül, Muhittin; Şahin, Cumhur; (2009), “İMKB 100 Endeksi İle Bazı
• Makroekonomik Değişkenler Arasındaki İlişkiyi İncelemeye Yönelik Bir Uygulama”, Akademik Bakış, Sayı 16, Nisan http://www.uzmantv.com/altin-almakla-altin-borsasinda-islem-yapmak-arasinda- ne-fark-var- Erişim tarihi:17.01.2013 http://www.iab.gov.tr/docs/iab.pdf- Erişim tarihi: 17.01.2013 http://www.iab.gov.tr/docs/aylikraporu.pdf- Erişim tarihi :20.01.2013 www.gold.org- Erişim tarihi:20.01.2013