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PRICE TRANSMISSION BETWEEN GOLD, SILVER, COPPER PRICES AND MINING INDEX IN TURKEY

Year 2019, Issue: 25, 41 - 56, 25.10.2019
https://doi.org/10.18092/ulikidince.522173

Abstract

Günümüzde,
madencilik sektörü, ülkelerin kalkınması ve ekonomileri için önemli bir rol
oynamaktadır. Madencilik sektörünü etkileyen faktörleri kavramak, ülkelerin
kalkınması için oldukça büyük öneme sahiptir. Bu amaçla altın, gümüş ve bakır
fiyatları ile
Borsa İstanbul (BİST) ulusal
pazarda işlem gören Madencilik Endeksi (XMADN) arasındaki ilişki incelenmiştir.
4 Şubat 2013 - 13 Aralık 2018 arasındaki dönem için 1477 günlük gözlem kullanılmıştır.
Altın, gümüş ve bakır fiyatları ile Madencilik Endeksi (XMADN) arasındaki uzun
dönem ilişki Banerje vd. (2017) tarafından geliştirilen Fourier Otoregressive
Dağıtıcı Lag (FADL) eşbütünleşme testi kullanılarak analiz edilmiştir. Elde
edilen sonuçlara göre, ele alınan değişkenler arasında uzun dönemde bir ilişki
tespit edilememiş ancak kısa dönemde madencilik endeksi ile altın ve bakır
fiyatları arasında istatistiksel olarak anlamlı ve pozitif, gümüş fiyatları ile
ise istatistiksel olarak anlamlı ve negatif bir ilişki tespit edilmiştir. Ayrıca
çalışma ile Türkiye'de altın, gümüş ve bakır fiyatlarının madencilik endeksindeki
değişimlere karşı dinamik politika oluşturma ihtiyacı vurgulanmaktadır.

References

  • Ağazade, S. (2018). Asymmetry in the relationship between Real Exchange Rate and Oil Prices: An Analysis for Azerbaijan. International Journal of Economic and Administrative Studies (Prof. Dr. Harun TERZİ Özel Sayısı), 113-126.
  • Apergis, N., & Miller, S. M. (2009). Do structural oil-market shocks affect stock prices? Energy Economics, 31, 569–575.
  • Arouri, M., Jouini, J., & Nguyen, D. K. (2011). Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management. Journal of International Money and Finance, 30, 1387–1405.
  • Asteriou, D., Dimitras, A., & Lendewig, A. (2013). The Influence of Oil Prices on Stock Market Returns: Empirical Evidence from Oil Exporting and Oil Importing Countries. International Journal of Business and Management, 8(18), 101-120.
  • Banerjee, A., Dolado, J. and Mestre, R. (1998). “Error Correction Mechanism Tests for Cointegration in a Single Equation Framework”, Journal of Time Series Analysis, 19, 267-283.
  • Banerjee, P., Arcabic, V. and Lee, H. (2017). “Fourier ADL Cointegration Test to Approximate Smooth Breaks with New Evidence from Crude Oil Market”, Economic Modelling, 67, 114-124.
  • Becker, R., Enders, W. and Lee, J. (2006). “A Stationarity Test in The Presence Of An Unknown Number Of Smooth Breaks”, Journal of Time Series Analysis, 27(3), 381-409.
  • Blose, L. E., & Shieh, J. C. (1995). The Impact of Gold Price on the Value of Gold Mining Stock. Review of Financial Economics, 4(2), 125-139.
  • Christopoulos, D. K. and Leon-Ledesma, M. A. (2010). “Smooth Breaks and Non-linear Mean Reversion: Post-Bretton Woods Real Exchange Rates”, Journal of International Money and Finance, 29, 1076-1093.
  • Darıcı, B., Ertuğrul, H. M., Kıral, H. & Ayhan, F., (2018). Transmission of World cotton price to Domestic Cotton Price in Turkey. %1 içindePolitico-Economic Evaluation of Current Issues. Cambridge: Cambridge International Academics, pp. 165-173.
  • Dickey, D.A. anad Fuller, W. A. (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49, 1057-1072.
  • Ewing, B. T. & Malik, F., (2016). Volatility spillovers between oil prices and the stock market under structural breaks. Global Finance Journal, Cilt 29, p. 12–23.
  • Ferraro, D., Rogoff, K., & Rossi, B. (2015). Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates. Journal of International Money and Finance, 54, 116-141.
  • Eyüboğlu, K. & Eyüboğlu, S., (2016). Testing The Relationship Between the Metal Prices And Bist-Mining Index Stocks. Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, pp. 130-141.
  • Eyüboğlu, K. & Eyüboğlu, S., (2016). Examining the Relationship among the Natural Gas, Oil Prices and SubIndexes of BIST-Industrial. Journal of Yasar University, 11(42), pp. 150-162.
  • Masih, R., Peters, S. & Mello, L. D., (2011). Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea. Energy Economics, Cilt 33, p. 975–986.
  • Mohanty, S. K., Nandha, M., Turkistani, A. Q. & Alaitani, M. Y., (2011). Oil price movements and stock market returns: Evidence from Gulf Cooperation Council (GCC) countries. Global Finance Journal, Cilt 22, pp. 42-55.
  • Narayan, P. K. & Sharma, S. S., (2011). New evidence on oil price and firm returns. Journal of Banking and Finance, Cilt 35, pp. 3253-3262.
  • Sadorsky, P., (2001). Risk Factors in stock returns of Canadian oil and gas companies. Energy Economics, Cilt 23, pp. 17-28.
  • Sadorsky, P., (2008). Assesing the impact of oil prices on firms of different sizes: its tough being in the middle. Energy Policy, Cilt 36, pp. 3854-3861.
  • Sarı, R. & Soytaş, U., (2006). The relationship between Stock Returns, Crude Oil Prices, Interest Rates, and Output: Evidence from a Developing Economy. The Empirical Economics Letters, 5(4), pp. 205-220.
  • Sari, R., Hammoudeh., S. & Soytas, U., (2010). Dynamics of oil price, precious metal prices, and exchange rate. Energy Economics, Cilt 32, p. 351–362.
  • Soytas, U. & Oran, A., (2011). Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey. Applied Energy, Cilt 88, p. 354–360.
  • Tufano, P., (1998). The Determinants of Stock Price Exposure: Financial Engineering and the Gold Mining Industry. The Journal of Finance, 53(3), pp. 1015-1052.
  • Yılancı, V. and Eriş, Z. A. (2013). “Purchasing Power Parity in African Countries: Further Evidence from Fourier Unit Root Tests Based on Linear and Nonlinear Models”, South African Journal of Economics, 81(1), 20-34.
  • Yılancı, V., Sarıdoğan, E. and Artar, O. (2014). “A Stochastic Convergence Analysis for Selected East Asian and Pacific Countries: A Fourier Unit Root Test Approach”, Theoretical and Applied Economics, 21(9), 51-60.
  • Yılancı, V., (2017). Analysis the Relationship between Oil prices and Economic Growth: A Fourier Approach. Istanbul University Econometrics and Statistics e-Journal, Cilt 27, pp. 51-67.
  • Zhang, Y.-J., & Wei, Y.-M. (2010). The crude oil market and the gold market: Evidence for cointegration, causality and price discovery. Resources Policy, 168-177.

PRICE TRANSMISSION BETWEEN GOLD, SILVER, COPPER PRICES AND MINING INDEX IN TURKEY

Year 2019, Issue: 25, 41 - 56, 25.10.2019
https://doi.org/10.18092/ulikidince.522173

Abstract

Mining
industry has a substantial role for countries development and economies. To
comprehend the factors affecting the mining sectors is most crucial for the
countries development. In order to fill in this gap, we studied on the relation
between gold, silver, copper prices and Mining Index (XMADN) in Borsa İstanbul
Stock Exchange (BIST). 1477 daily observations for the time period between
4
February 2013 to 13 December 2018 were used
. To detect the cointegrationon between gold, silver,
copper and Mining Index, we use Fourier Autoregressive Distributive Lag FADL
which was developed by Banerje et al (2017). We find no evidence of a long run
relation but strong significant feedback in the short run. Gold and copper
price have positive relation with mining index. On the other hand, silver price
has negative relation with mining index. This study highlights the need for
dynamic policy making in Turkey to hedge against mining index fluctuations
using gold, silver and copper price as instruments.

References

  • Ağazade, S. (2018). Asymmetry in the relationship between Real Exchange Rate and Oil Prices: An Analysis for Azerbaijan. International Journal of Economic and Administrative Studies (Prof. Dr. Harun TERZİ Özel Sayısı), 113-126.
  • Apergis, N., & Miller, S. M. (2009). Do structural oil-market shocks affect stock prices? Energy Economics, 31, 569–575.
  • Arouri, M., Jouini, J., & Nguyen, D. K. (2011). Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management. Journal of International Money and Finance, 30, 1387–1405.
  • Asteriou, D., Dimitras, A., & Lendewig, A. (2013). The Influence of Oil Prices on Stock Market Returns: Empirical Evidence from Oil Exporting and Oil Importing Countries. International Journal of Business and Management, 8(18), 101-120.
  • Banerjee, A., Dolado, J. and Mestre, R. (1998). “Error Correction Mechanism Tests for Cointegration in a Single Equation Framework”, Journal of Time Series Analysis, 19, 267-283.
  • Banerjee, P., Arcabic, V. and Lee, H. (2017). “Fourier ADL Cointegration Test to Approximate Smooth Breaks with New Evidence from Crude Oil Market”, Economic Modelling, 67, 114-124.
  • Becker, R., Enders, W. and Lee, J. (2006). “A Stationarity Test in The Presence Of An Unknown Number Of Smooth Breaks”, Journal of Time Series Analysis, 27(3), 381-409.
  • Blose, L. E., & Shieh, J. C. (1995). The Impact of Gold Price on the Value of Gold Mining Stock. Review of Financial Economics, 4(2), 125-139.
  • Christopoulos, D. K. and Leon-Ledesma, M. A. (2010). “Smooth Breaks and Non-linear Mean Reversion: Post-Bretton Woods Real Exchange Rates”, Journal of International Money and Finance, 29, 1076-1093.
  • Darıcı, B., Ertuğrul, H. M., Kıral, H. & Ayhan, F., (2018). Transmission of World cotton price to Domestic Cotton Price in Turkey. %1 içindePolitico-Economic Evaluation of Current Issues. Cambridge: Cambridge International Academics, pp. 165-173.
  • Dickey, D.A. anad Fuller, W. A. (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49, 1057-1072.
  • Ewing, B. T. & Malik, F., (2016). Volatility spillovers between oil prices and the stock market under structural breaks. Global Finance Journal, Cilt 29, p. 12–23.
  • Ferraro, D., Rogoff, K., & Rossi, B. (2015). Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates. Journal of International Money and Finance, 54, 116-141.
  • Eyüboğlu, K. & Eyüboğlu, S., (2016). Testing The Relationship Between the Metal Prices And Bist-Mining Index Stocks. Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, pp. 130-141.
  • Eyüboğlu, K. & Eyüboğlu, S., (2016). Examining the Relationship among the Natural Gas, Oil Prices and SubIndexes of BIST-Industrial. Journal of Yasar University, 11(42), pp. 150-162.
  • Masih, R., Peters, S. & Mello, L. D., (2011). Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea. Energy Economics, Cilt 33, p. 975–986.
  • Mohanty, S. K., Nandha, M., Turkistani, A. Q. & Alaitani, M. Y., (2011). Oil price movements and stock market returns: Evidence from Gulf Cooperation Council (GCC) countries. Global Finance Journal, Cilt 22, pp. 42-55.
  • Narayan, P. K. & Sharma, S. S., (2011). New evidence on oil price and firm returns. Journal of Banking and Finance, Cilt 35, pp. 3253-3262.
  • Sadorsky, P., (2001). Risk Factors in stock returns of Canadian oil and gas companies. Energy Economics, Cilt 23, pp. 17-28.
  • Sadorsky, P., (2008). Assesing the impact of oil prices on firms of different sizes: its tough being in the middle. Energy Policy, Cilt 36, pp. 3854-3861.
  • Sarı, R. & Soytaş, U., (2006). The relationship between Stock Returns, Crude Oil Prices, Interest Rates, and Output: Evidence from a Developing Economy. The Empirical Economics Letters, 5(4), pp. 205-220.
  • Sari, R., Hammoudeh., S. & Soytas, U., (2010). Dynamics of oil price, precious metal prices, and exchange rate. Energy Economics, Cilt 32, p. 351–362.
  • Soytas, U. & Oran, A., (2011). Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey. Applied Energy, Cilt 88, p. 354–360.
  • Tufano, P., (1998). The Determinants of Stock Price Exposure: Financial Engineering and the Gold Mining Industry. The Journal of Finance, 53(3), pp. 1015-1052.
  • Yılancı, V. and Eriş, Z. A. (2013). “Purchasing Power Parity in African Countries: Further Evidence from Fourier Unit Root Tests Based on Linear and Nonlinear Models”, South African Journal of Economics, 81(1), 20-34.
  • Yılancı, V., Sarıdoğan, E. and Artar, O. (2014). “A Stochastic Convergence Analysis for Selected East Asian and Pacific Countries: A Fourier Unit Root Test Approach”, Theoretical and Applied Economics, 21(9), 51-60.
  • Yılancı, V., (2017). Analysis the Relationship between Oil prices and Economic Growth: A Fourier Approach. Istanbul University Econometrics and Statistics e-Journal, Cilt 27, pp. 51-67.
  • Zhang, Y.-J., & Wei, Y.-M. (2010). The crude oil market and the gold market: Evidence for cointegration, causality and price discovery. Resources Policy, 168-177.
There are 28 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

Mustafa Uysal 0000-0002-6377-2644

Tuğba Kayhan This is me 0000-0002-6347-6298

Publication Date October 25, 2019
Published in Issue Year 2019 Issue: 25

Cite

APA Uysal, M., & Kayhan, T. (2019). PRICE TRANSMISSION BETWEEN GOLD, SILVER, COPPER PRICES AND MINING INDEX IN TURKEY. Uluslararası İktisadi Ve İdari İncelemeler Dergisi(25), 41-56. https://doi.org/10.18092/ulikidince.522173

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