Economic Virus in Our Body Cells: To What Extent Are Gold Prices Immune Against Sectoral Stock Indexes?

Abstract

Yeni koronavirüs (COVID-19), yalnızca küresel finansal piyasalarda değil, aynı zamanda emtia piyasalarında da derin ve orantısız etkiler ortaya koymuştur. Altının ekonomik çalkantılara ve belirsizliklere karşı önemli bir emtia olarak potansiyel güvenli liman rolü dikkate alınarak; bu çalışmada 10.03.2020-22.03.2021 örneklem dönemi için COVID-19 ile ilişkili değişkenlerin (dünyada ve ABD’de günlük yeni vaka sayıları, COVID-19 Containment & Health Endeksi) ve farklı makro-finansal faktörlerin günlük COMEX altın vadeli işlem kontrat fiyatları üzerindeki uzun vadeli etkilerinin ve kısa vadeli dinamiklerinin, Gecikmesi Dağıtılmış Otoregresif (ARDL) yaklaşım kullanılarak ve S&P 500 ve Dow Jones ile ilişkili çeşitli sektörel borsa endeksleri (Sağlık Hizmeti, Teknoloji, Tıbbi Malzeme, Finans, Sanayi, Bilgi Teknolojisi ve Enerji) bakımından karşılaştırmalı analizinin sunularak araştırılması amaçlanmıştır. Analiz sonuçları, altın fiyatlarının en çok hangi faktörlerden ve sektörel hisse senetlerinden etkilendiğine dair önemli politika çıkarımlarının oluşturulmasında büyük önem taşımaktadır. Sonuç olarak; Dow-Jones Finans, S&P 500 Sanayi ve S&P 500 Enerji hisse senedi endekslerinin uzun dönemde %10 anlamlılık düzeyinde altın fiyatları üzerinde anlamlı bir etki yarattığı söylenebilir. Bu endeksleri içeren modellerde WTI petrol fiyatlarının altın fiyatları üzerinde hiçbir etkisi bulunmazken CBOE volatilite endeksi altın fiyatlarını ters yönde etkilemektedir. Uzun dönemde katsayı anlamlılıkları açısından en zayıf bulgular S&P 500 Enerji hisse senedi endeksi getirilerini içeren model için elde edilmiştir. Ayrıca ABD'deki günlük yeni vakaların aksine dünyadaki günlük yeni vakalar genel olarak altın fiyatlarını etkilemektedir.

Keywords

• COVID-19
• ARDL Modeli
• Altın Fiyatları
• Sektörel Borsa Endeksi

Economic Virus in Our Body Cells: To What Extent Are Gold Prices Immune Against Sectoral Stock Indexes?

Abstract

The novel coronavirus (COVID-19) has revealed profound and disproportionate effects not only on global financial markets but also on commodity markets. Considering the potential safe-haven role of gold as a vital commodity against economic turmoils and uncertainties; in this study, it has been aimed to investigate the long run impacts and short-run dynamics of the COVID-19 related variables (daily new confirmed cases in the world and U.S., COVID-19 Containment & Health Index) and different macro-financial factors on daily COMEX gold futures contracts prices, especially presenting a comparative analysis with respect to various sectoral stock indexes associated with S&P 500 and Dow Jones -including Health Care, Technology, Medical Equipment, Financials, Industrials, Information Technology and Energy sectors- for the sample period 10.03.2020-22.03.2021 by utilizing from Autoregressive Distributed Lag (ARDL) approach. Analysis results are of great importance in forming crucial policy implications about by which factors and sectoral stocks gold prices are being influenced the most. Consequently; Dow-Jones Financials, S&P 500 Industrials and S&P 500 Energy stock indexes can be said to have a significant impact on gold prices in the long run at 10% significance level. In the models containing these indexes, CBOE volatility index affects gold prices inversely while WTI oil prices have no impact on gold prices. In the long term, the weakest findings in terms of coefficient significancies have been obtained for the model which includes S&P 500 Energy stock index returns. Furthermore, daily new cases in the world -contrary to the cases in U.S.- generally affect gold prices.

Keywords

• COVID-19
• ARDL Model
• Gold Prices
• Sectoral Stock Index

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