A Nonlinear Causality Analysis of the Relationship Between Gold Prices, Exchange Rates and Stock Market in Türkiye

Year 2024, Volume: 32 Issue: 62, 179 - 187

Fatma İdil Baktemur

Abstract

With globalisation and rapidly developing technology, financial investment instruments have diversified, and investors have begun to look for ways to make the most of their investments. Consequently, the relationships between financial instruments have gained more and more importance. This study aims to determine the direction of the causality relationship between exchange rates, gold prices, and the BIST100 index by using monthly data covering the period of 2003:01-2022:06 in the Turkish economy. Diks & Panchenko’s (2006) non-linear causality test was used to determine the direction of causality, and the test shows a unidirectional causality relationship from BIST100 to exchange rates.

Keywords

Exchange Rate, Gold Prices, Stock Market, Nonlinear Causality

Türkiye’de Altın Fiyatları, Döviz Kurları ve Hisse Senedi Piyasası İlişkisinin Doğrusal Olmayan Nedensellik Analizi

Abstract

Küreselleşme ve hızla gelişen teknolojiyle birlikte finansal yatırım araçları çeşitlenmiş ve yatırımcılar yatırımlarından en iyi şekilde yararlanmanın yollarını aramaya başlamıştır. Bunun sonucunda finansal araçlar arasındaki ilişkiler giderek daha fazla önem kazanmıştır. Bu çalışma, Türkiye ekonomisinde 2003:01-2022:06 dönemini kapsayan aylık verileri kullanarak döviz kurları, altın fiyatları ve BİST100 endeksi arasındaki nedensellik ilişkisinin yönünü belirlemeyi amaçlamaktadır. Diks ve Panchenko (2006) doğrusal olmayan nedensellik testi nedenselliğin yönünü belirlemek için kullanılmıştır ve test BİST100’den döviz kurlarına doğru tek yönlü bir nedensellik ilişkisini göstermektedir.

Keywords

Döviz Kuru, Altın Fiyatları, Hisse Senedi Piyasası, Doğrusal Olmayan Nedensellik

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