EMTİA PİYASALARINDA RASYONEL BALONLAR VE VOLATİLİTE YAYILIMLARININ ARAŞTIRILMASI: DEĞERLİ METALLERDEN KANITLAR

Year 2019, Volume: 6 Issue: 3, 936 - 951, 31.12.2019

İsmail Çelik , Hilmi Tunahan Akkuş , Nazlıgül Gülcan

https://doi.org/10.30798/makuiibf.586527

Cited By: 8

Abstract

Bir varlığın fiyatının, varlığın temel
değerinden sapması olarak ifade edilebilen fiyat balonları, piyasalar üzerinde
önemli etkilere sahiptir. ABD’de 2008 yılında konut fiyat balonunun
patlamasıyla başlayan finansal krizin etkileri tüm dünyaya yayılarak küresel
krize dönüşmüştür. Bu çalışmada emtia piyasalarında yer alan değerli
metallerden altın, gümüş, platin ve paladyum fiyatlarında 01.01.2010-19.02.2019
dönemi için fiyat balonlarının varlığı araştırılmıştır. Araştırmada fiyat
balonlarının oluşum ve patlama dönemlerini ortaya koyabilen RtADF, SADF ve
GSADF yöntemleri kullanılmıştır. Analizler sonucunda altın, gümüş ve platin
fiyatlarında balona rastlanırken, paladyum fiyatında herhangi bir balonun
varlığına dair kanıt bulunamamıştır. Söz konusu balonların birbirine yakın
tarihlerde meydana gelmesi nedeniyle de ayrıca altın, gümüş ve platin
piyasaları arasında getiri ve volatilite yayılımının bulunup bulunmadığı
VAR-EGARCH yöntemi ile araştırılmıştır. Araştırma sonucunda da altın, gümüş ve
platin getirileri arasında çoklu bir yayılım olduğu tespit edilmiş, böylece
kıymetli madenlerde oluşan fiyat balonlarının birbirini tetiklediği sonucuna
ulaşılmıştır. Kıymetli metal piyasalarında fiyat balonlarının varlığı ile
ilgili elde edilen bulgular, bu piyasadaki yatırımcılar için işlem zamanlaması
açısından önemlidir. Diğer taraftan kıymetli metaller arasındaki volatilite
yayılımı ile ilgili bulgular da kıymetli metallerle finansal korunma sağlayan
yatırımcıların kıymetli metaller arasındaki şok yayılımlarını dikkate alması
açısından önemlidir.

Keywords

Rasyonel Fiyat Balonları, Değerli Metaller, Emtia Piyasaları

INVESTIGATION OF RATIONAL BUBBLES AND VOLATILITY SPILLOVERS IN COMMODITY MARKETS: EVIDENCES FROM PRECIOUS METALS

Abstract

Price bubbles which can be expressed as the
deviation of the price of an asset from its fundamental value, have significant
impacts on markets. The effects of the financial crisis that started with the
burst of the housing bubbles in the USA in 2008 have spread all over the world
and turned into a global crisis. In this study, the price bubbles of gold, silver,
platinum and palladium in the commodity markets for the period between
01.01.2010-19.02.2019 were investigated. RtADF, SADF and GSADF methods were
used to determine the formation and burst periods of price bubbles. As a result
of the analysis, price bubbles were found in gold, silver and platinum, whereas
no bubbles were found in palladium prices. Due to the close formation dates of
these bubbles, whether there was any return or volatility spillover between
gold, silver and platinum markets was investigated with VAR-EGARCH method. As a
result of the study, it was found that there was a multiple spillover between
the gold, silver and platinum returns. Thus, it was concluded that the price
bubbles formed in precious metals triggered each other. Findings regarding the
presence of price bubbles in the precious metal markets are crucial for traders
in terms of trading timing. However, the findings related to the volatility
spillover among precious metals are also important in terms of considering the
effect of this spillover for the investors who provide hedging by precious
metals.

Keywords

Rational Price Bubbles, Precious Metals, Commodity Markets

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