Gold As Hedge and Safe Haven: Evidence From Turkey

Yıl 2018, Cilt: 4 Sayı: 1, 1 - 15, 30.06.2018

Ruslan Nagayev , Yusuf Dinç

Öz

The aim of
this paper is to investigate the properties of gold as a hedge and/or safe
haven for diverse equity investors in Turkey (conventional and Islamic
portfolios). The study covers the period from January 2010 to April 2018 and
employs Wavelet Coherence as a multi-resolution analysis tool. The results
suggest that gold maintains its role both as a hedging instrument during normal
market conditions and save haven during the market disturbances for short-,
medium- and long-term portfolio investors. The findings have important
implications for policy-makers and market players of Turkey.

Anahtar Kelimeler

Islamic Equity, Safe haven, Hedge, Gold, Portfolio, Wavelets

GÜVENLİ LİMAN VE HEDGE ARACI OLARAK ALTIN: TÜRKİYE ÖRNEĞİ

Öz

Bu çalışmanın amacı altının hedge veya güvenli liman özelliğinin günlük
veri üzerinden genel endeks ve katılım endeksiyle arasındaki ilişkiyi
incelemektedir. Türkiye pay piyasaları üzerine ilk defa Wavelet Coherence
tekniği uygulanarak altının hedge özelliğinin Multi Resolutional Analysis
yöntemiyle koeralsyon ve değişik yatırım sıklığı ve periyotlarındaki durumu
gösterilmiştir. Aynı zamanda olumsuz piyasa şartlarında altının güvenli liman
sunup sunmadığı incelenmiştir. Sonuçlar altının hem hedge hem değişik zaman
periyotlarında sıfır veya çok sınırlı korelasyonuyla güvenli liman özelliğine
sahip olduğunu göstermektedir. Bulgular akademik çalışmalar ve piyasadaki
yatırımcılar için önemlidir.

Anahtar Kelimeler

Hedge, İslami Pay endeksleri, Güvenli liman, Altın, Portföy, Wavelets Coherence

Kaynakça

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