Araştırma Makalesi
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STRATEJİK EMTİALARIN FİYAT VE VOLATİLİTE ENDEKSLERİNİN HİSSE SENEDİ PİYASALARI ÜZERİNDEKİ ETKİLERİ: BRICS EKONOMİLERİ ÜZERİNE BİR İNCELEME

Yıl 2024, Cilt: 25 Sayı: 3, 23 - 47, 29.09.2024
https://doi.org/10.53443/anadoluibfd.1389265

Öz

Bu çalışmada, stratejik emtialar olan altın, petrol fiyatları ile altın, petrol volatilite endekslerinin BRICS borsalarına etkisi araştırılmıştır. NARDL yöntemiyle değişkenler arasındaki ilişki kısa ve uzun dönemli ilişki analiz edilmiştir. Kısa dönem ve uzun dönem için altın fiyatlarının Brezilya ve Rusya hariç hisse senedi piyasalarında negatif etkili olduğu tespit edilmiştir. Petrol fiyatlarındaki değişikliklerin kısa dönemde ve uzun dönemde, petrol ithal eden Güney Afrika’da hisse senedi fiyatlarını negatif, net petrol ihracatçısı Rusya ve Brezilya’da ise pozitif etkilediği tespit edilmiştir. Stratejik emtia volatilitelerinin negatif ve pozitif şoklarının ise kısa ve uzun dönemde gelişen ülkelerin borsaları üzerinde asimetrik etkili olduğu sonucuna ulaşılmıştır.

Kaynakça

  • Apergis, N., & Miller, S. M. (2009). Do structural oil-market shocks affect stock prices?. Energy Economics, 31(4), 569-575.
  • Arouri, M. E. H., Lahiani, A., & Nguyen, D. K. (2015), World gold prices and stock returns in China: Insights for hedging and diversification strategies. Economic Modelling, 44, 273-282.
  • Arouri, M. E. H., Lahiani, A., & Nguyen, D. K. (2011). Return and volatility transmission between world oil prices and stock markets of the GCC countries. Economic Modelling, 28(4), 1815-1825.
  • Ayaydin, H., & Barut, A. (2016). Petrol fiyatları, altın fiyatları ve hisse senedi getirisi ilişkisi. Balkan Sosyal Bilimler Dergisi, Özel Sayı, 13-26.
  • Badeeb, R. A., & Lean, H. H. (2016). Assessing the asymmetric impact of oil price on Islamic stocks in Malaysia: new evidence from non-linear ARDL. The Journal of Muamalat and Islamic Finance Research, 13(2), 19-29.
  • Banerjee, A., Dolado, J., & Mestre, R. (1998). Error‐correction mechanism tests for cointegration in a single‐equation framework. Journal of time series analysis, 19(3), 267-283.
  • Barunik, J., Kocenda, E., & Vacha, L. (2016). Gold, Oil, And Stocks: Dynamic Corelations. International Review of Economics & Finance, 42, 186-201.
  • Basher, S. A., & Sadorsky, P. (2016). Hedging emerging market stock prices with oil, gold, VIX, and bonds: a comparison between DCC, ADCC and GO-GARCH. Energy Economics, 54, 235-247.
  • Baur, D. G., & Mcdermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886-1898.
  • Beckmann, J. & Czudaj, R. (2013). Gold as an inflation hedge in a time-varying coefficient framework. The North American Journal of Economics And Finance, 24, 208-222.
  • Beckmann, J., Berger, T., & Czudaj, R. (2015). Does gold act as a hedge or a safe haven for stocks? A smooth transition approach. Economic Modelling, 48, 16-24.
  • Bhunia, A. (2013). Cointegration and causal relationship among crude price, domestic gold price and financial variables: An evidence of BSE and NSE. Journal Of Contemporary Issues in Business Research, 2(1), 1-10.
  • Bildirici, M. E., & Turkmen, C. (2015). Nonlinear causality between oil and precious metals. Resources Policy, 46, 202-211.
  • Bouri, E., Jain, A., Biswal, P. C. & Roubaud, D. (2017). Cointegration and nonlinear causality amongst gold, oil, and the indian stock market: Evidence from implied volatility indices. Resources Policy, 52, 201-206.
  • Chan, K. F., Treepongkaruna, S., Brooks, R., & Gray, S. (2011). Asset market linkages: Evidence from financial, commodity and real estate assets. Journal Of Banking & Finance, 35(6), 1415-1426.
  • Chang, C. L., Mcaleer, M., & Tansuchat, R. (2013). Conditional correlations and volatility spillovers between crude oil and stock index returns. The North American Journal of Economics and Finance, 25, 116-138.
  • Chen, A. & Lin, J. W. (2013). the relation between gold and stocks: an analysis of severe bear markets. Applied Economics Letters, 21(3), 158-170.
  • Chen, Y. & Zou, Y. (2015). Examination on the relationship between OVX and crude oil price with Kalman Filter. Procedia Computer Science, 55, 1359-1365.
  • Chicago Board Options Exchange (n.d.). GVZ and OVX Indices. [Data Set]. Retrieved from www.cboe.com/products/vix-index-volatility/volatility-on-etfs
  • Choi, K., & Hammoudeh, S. (2010). Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment. Energy Policy, 38(8), 4388-4399.
  • Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013). Hedges and safe havens: an examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202-211.
  • Cong, R., Wei, Y., Jiao, J. & Fan, Y. (2008). Relationships between oil price shocks and stock market: An empirical analysis from China. Energy Policy, 36(9), 3544-3553.
  • Creti, A., Joëts, M. & Mignon, V. (2013). On the links between stock and commodity markets' volatility. Energy Economics, 37, 16-28.
  • Delgado, N. A. B., Delgado, E. B., & Saucedo, E. (2018). The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico. The North American Journal of Economics and Finance, 45, 266-275.
  • Doğru, E. (2015). Petrol fiyatları ile hisse senedi piyasaları arasındaki getiri ve volatilite etkileşimi: gelişen ülkeler üzerine bir araştırma (Unpublished doctoral dissertation). Süleyman Demirel Üniversitesi, Isparta.
  • Domanski, D., & Heath, A. (2007). Financial investors and commodity markets. BIS Quarterly Review, March 2007.
  • Fousekis, P., Katrakilidis, C., & Trachanas, E. (2016). vertical price transmission in the us beef sector: evidence from the nonlinear ardl model. Economic Modelling, 52, 499-506.
  • Gazel, S. (2017). Hisse senedi piyasalarinda işlem hacmi ve volatilite ilişkisi: Kırılgan beşli ekonomiler üzerine bir inceleme. Uluslararası Yönetim İktisat ve İşletme Dergisi, 13(2), 347-364.
  • Gokmenoglu, K. K., & Fazlollahi, N. (2015). The interactions among gold, oil, and stock market: evidence from S&P500. Procedia Economics and Finance, 25, 478-488.
  • Granger, C. W., & Yoon, G. (2002). Hidden cointegration. [Unpublished Working Paper] Department of Economics, University of California, San Diego.
  • Hammoudeh, S. M., & Yuan, Y. (2008). Metal volatility in presence of oil and interest rate shocks. Energy Economics, 30(2), 606-620.
  • Huang, S., An, H., Gao, X., & Huang, X. (2016). Time–Frequency featured co-movement between the stock and prices of crude oil and gold. Physica A: Statistical Mechanics and Its Applications, 444, 985-995.
  • Hussin, M. Y. M., Muhammad, F., Razak, A. A., Tha, G. P., & Marwan, N. (2013). The link between gold price, oil price and Islamic stock market: experience from Malaysia. Journal Of Studies in Social Sciences, 4(2), 161-182.
  • Ibrahim, M. H. (2015). Oil and food prices in Malaysia: A nonlinear ARDL analysis. Agricultural And Food Economics, 3(1), 2, 1-14.
  • Investing Data Set. (n.d.) BRICS Ülke Borsalarının Kapanış Fiyatları [Data Set]. Retrieved from https://www.investing.com/indices/
  • ITC [International Trade Centre Trade Briefs]. (n.d.). Retrieved from https://tradebriefs.intracen.org/2018
  • Jain, A., & Biswal, P. C. (2016). Dynamic linkages among oil price, gold price, exchange rate, and stock market in India. Resources Policy, 49, 179-185.
  • Ji, Q. (2012). System analysis approach for the identification of factors driving crude oil prices. Computers & Industrial Engineering, 63(3), 615-625.
  • Junttila, J., Pesonen, J., & Raatikainen, J. (2018). Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold. Journal Of International Financial Markets, Institutions and Money, 56, 255-280.
  • Katrakilidis, C. & Trachanas, E. (2012). What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration. Economic Modelling, 29(4), 1064-1069.
  • Kocaarslan, B., Sari, R., Gormus, A. & Soytas, U. (2017). Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets. Journal Of Commodity Markets, 7, 41-56.
  • Kumar, D. (2014). Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness. IIMB Management Review, 26(1), 5-16.
  • Kurt Cihangir, Ç. (2019). The effect of commodity volatility indexes and Fed fund rates on the stock market indices of developing countries''. Muhasebe ve Finansman Dergisi, 81, 293-314.
  • Le, T., & Chang, Y. (2012). Oil price shocks and gold returns. International Economics, 131, 71-103.
  • Lin, B., Wesseh, P. K., & Appiah, M. O. (2014). Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness. Energy Economics, 42, 172-182.
  • Miyazaki, T., & Hamori, S. (2013). Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’. Applied Financial Economics, 23(1), 27-40.
  • Naifar, N., & Al Dohaiman, M. S. (2013). Nonlinear analysis among crude oil prices, stock markets' return and macroeconomic variables. International Review of Economics & Finance, 27, 416-431.
  • Öget, E., & Şahin, S. (2017). Hisse senetleri ile altın ons fiyatları ve ham petrol fiyatları arasındaki eşbütünleşme ilişkisi: BIST 100. Ulakbilge Sosyal Bilimler Dergisi, 5(11), 637-653.
  • Panopoulou, E., & Pittis, N. (2004). A comparison of autoregressive distributed lag and dynamic ols cointegration estimators in the case of a serially correlated cointegration error. The Econometrics Journal, 7(2), 585-617.
  • Park, J., & Ratti, R. A. (2008). Oil price shocks and stock markets in the US and 13 European countries. Energy Economics, 30(5), 2587-2608.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal Of Applied Econometrics, 16(3), 289-326.
  • Ray, S. (2012). Testing granger causal relationship between macroeconomic variables and stock price behavior: Evidence from India. Advances In Applied Economics and Finance, 3(1), 470-481.
  • Ray, S. (2013). Causal nexus between gold price movement and stock market: Evidence from Indian stock market. Sciknow Publications Ltd. Econometrics, 3, 12-19.
  • Raza, N., Shahzad, S. J. H., Tiwari, A. K., & Shahbaz, M. (2016). Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets. Resources Policy, 49, 290-301.
  • Sadorsky, P. (2014a). Modeling volatility and conditional correlations between socially responsible investments, gold and oil. Economic Modelling, 38, 609-618.
  • Sadorsky, P. (2014b). Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat. Energy Economics, 43, 72-81.
  • Samanta, S. K., & Zadeh, A. H. (2012). Co-movements of oil, gold, the US dollar, and stocks. Modern Economy, 3(01), 111-117.
  • Shahbaz, M., Tahir, M. I., Ali, I., & Rehman, I. U. (2014). Is gold investment a hedge against inflation in Pakistan? A co-integration and causality analysis in the presence of structural breaks. The North American Journal of Economics and Finance, 28, 190-205.
  • Shahzadi, H. & Chohan, M. N. (2012). Impact of gold prices on stock exchange: a case study of Pakistan. [Unpublished Manuscript]. Lahore: University of Central Punjab.
  • Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. Sickles & Horrace W. (eds), Festschrift in honor of Peter Schmidt: Econometric methods and applications (p. 281-314) Springer: New York.
  • Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking & Finance, 55, 1-8.
  • Singhal, S., Choudhary, S., & Biswal, P. C. (2019). Return and volatility linkages among international crude oil price, gold price, exchange rate and stock markets: evidence from Mexico. Resources Policy, 60, 255-261.
  • Sujit, K. S., & Kumar, B. R. (2011). Study on dynamic relationship among gold price, oil price, exchange rate and stock market returns. International Journal of Applied Business and Economic Research, 9(2), 145-165.
  • Tursoy, T., & Faisal, F. (2018). The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration. Resources Policy, 55, 49-54.
  • Tüzemen, S. (2018). Petrol fiyatlarının Türkiye'deki sektörler üzerine etkisinin analizi (Unpublished doctoral dissertation). Karadeniz Teknik Üniversitesi, Trabzon.
  • U.S. Energy Information Administration (n.d). Brent Crude Oil Prices [Data Set]. Retrieved from https://www.eia.gov/dnav/pet/pet_pri_spt_s1_d.htm
  • World Gold Council (n.d.). Gold Prices [Data Set]. Retrieved from https://www.gold.org/goldhub/data/price-and-performance

THE EFFECTS OF PRICE AND VOLATILITY INDICES OF STRATEGIC COMMODITIES ON STOCK MARKETS: A STUDY ON BRICS ECONOMIES

Yıl 2024, Cilt: 25 Sayı: 3, 23 - 47, 29.09.2024
https://doi.org/10.53443/anadoluibfd.1389265

Öz

The effect of gold, oil prices, which are strategic commodities, and gold, oil volatility indices on the BRICS stock exchanges is investigated in this paper. The relationship between the variables is analysed for the short and long-run using the NARDL method. Gold prices have a negative effect on stock markets except Brazil and Russia, in the short and long-run. Changes in oil prices have a negative effect on stock prices in South Africa, which imported oil, and a positive effect in net oil exporters Brazil and Russia, in the short and long-run. It is concluded that positive and negative shocks of strategic commodity volatilities have an asymmetric effect on the stock exchanges of emerging countries in the short and long-run.

Kaynakça

  • Apergis, N., & Miller, S. M. (2009). Do structural oil-market shocks affect stock prices?. Energy Economics, 31(4), 569-575.
  • Arouri, M. E. H., Lahiani, A., & Nguyen, D. K. (2015), World gold prices and stock returns in China: Insights for hedging and diversification strategies. Economic Modelling, 44, 273-282.
  • Arouri, M. E. H., Lahiani, A., & Nguyen, D. K. (2011). Return and volatility transmission between world oil prices and stock markets of the GCC countries. Economic Modelling, 28(4), 1815-1825.
  • Ayaydin, H., & Barut, A. (2016). Petrol fiyatları, altın fiyatları ve hisse senedi getirisi ilişkisi. Balkan Sosyal Bilimler Dergisi, Özel Sayı, 13-26.
  • Badeeb, R. A., & Lean, H. H. (2016). Assessing the asymmetric impact of oil price on Islamic stocks in Malaysia: new evidence from non-linear ARDL. The Journal of Muamalat and Islamic Finance Research, 13(2), 19-29.
  • Banerjee, A., Dolado, J., & Mestre, R. (1998). Error‐correction mechanism tests for cointegration in a single‐equation framework. Journal of time series analysis, 19(3), 267-283.
  • Barunik, J., Kocenda, E., & Vacha, L. (2016). Gold, Oil, And Stocks: Dynamic Corelations. International Review of Economics & Finance, 42, 186-201.
  • Basher, S. A., & Sadorsky, P. (2016). Hedging emerging market stock prices with oil, gold, VIX, and bonds: a comparison between DCC, ADCC and GO-GARCH. Energy Economics, 54, 235-247.
  • Baur, D. G., & Mcdermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886-1898.
  • Beckmann, J. & Czudaj, R. (2013). Gold as an inflation hedge in a time-varying coefficient framework. The North American Journal of Economics And Finance, 24, 208-222.
  • Beckmann, J., Berger, T., & Czudaj, R. (2015). Does gold act as a hedge or a safe haven for stocks? A smooth transition approach. Economic Modelling, 48, 16-24.
  • Bhunia, A. (2013). Cointegration and causal relationship among crude price, domestic gold price and financial variables: An evidence of BSE and NSE. Journal Of Contemporary Issues in Business Research, 2(1), 1-10.
  • Bildirici, M. E., & Turkmen, C. (2015). Nonlinear causality between oil and precious metals. Resources Policy, 46, 202-211.
  • Bouri, E., Jain, A., Biswal, P. C. & Roubaud, D. (2017). Cointegration and nonlinear causality amongst gold, oil, and the indian stock market: Evidence from implied volatility indices. Resources Policy, 52, 201-206.
  • Chan, K. F., Treepongkaruna, S., Brooks, R., & Gray, S. (2011). Asset market linkages: Evidence from financial, commodity and real estate assets. Journal Of Banking & Finance, 35(6), 1415-1426.
  • Chang, C. L., Mcaleer, M., & Tansuchat, R. (2013). Conditional correlations and volatility spillovers between crude oil and stock index returns. The North American Journal of Economics and Finance, 25, 116-138.
  • Chen, A. & Lin, J. W. (2013). the relation between gold and stocks: an analysis of severe bear markets. Applied Economics Letters, 21(3), 158-170.
  • Chen, Y. & Zou, Y. (2015). Examination on the relationship between OVX and crude oil price with Kalman Filter. Procedia Computer Science, 55, 1359-1365.
  • Chicago Board Options Exchange (n.d.). GVZ and OVX Indices. [Data Set]. Retrieved from www.cboe.com/products/vix-index-volatility/volatility-on-etfs
  • Choi, K., & Hammoudeh, S. (2010). Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment. Energy Policy, 38(8), 4388-4399.
  • Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013). Hedges and safe havens: an examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202-211.
  • Cong, R., Wei, Y., Jiao, J. & Fan, Y. (2008). Relationships between oil price shocks and stock market: An empirical analysis from China. Energy Policy, 36(9), 3544-3553.
  • Creti, A., Joëts, M. & Mignon, V. (2013). On the links between stock and commodity markets' volatility. Energy Economics, 37, 16-28.
  • Delgado, N. A. B., Delgado, E. B., & Saucedo, E. (2018). The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico. The North American Journal of Economics and Finance, 45, 266-275.
  • Doğru, E. (2015). Petrol fiyatları ile hisse senedi piyasaları arasındaki getiri ve volatilite etkileşimi: gelişen ülkeler üzerine bir araştırma (Unpublished doctoral dissertation). Süleyman Demirel Üniversitesi, Isparta.
  • Domanski, D., & Heath, A. (2007). Financial investors and commodity markets. BIS Quarterly Review, March 2007.
  • Fousekis, P., Katrakilidis, C., & Trachanas, E. (2016). vertical price transmission in the us beef sector: evidence from the nonlinear ardl model. Economic Modelling, 52, 499-506.
  • Gazel, S. (2017). Hisse senedi piyasalarinda işlem hacmi ve volatilite ilişkisi: Kırılgan beşli ekonomiler üzerine bir inceleme. Uluslararası Yönetim İktisat ve İşletme Dergisi, 13(2), 347-364.
  • Gokmenoglu, K. K., & Fazlollahi, N. (2015). The interactions among gold, oil, and stock market: evidence from S&P500. Procedia Economics and Finance, 25, 478-488.
  • Granger, C. W., & Yoon, G. (2002). Hidden cointegration. [Unpublished Working Paper] Department of Economics, University of California, San Diego.
  • Hammoudeh, S. M., & Yuan, Y. (2008). Metal volatility in presence of oil and interest rate shocks. Energy Economics, 30(2), 606-620.
  • Huang, S., An, H., Gao, X., & Huang, X. (2016). Time–Frequency featured co-movement between the stock and prices of crude oil and gold. Physica A: Statistical Mechanics and Its Applications, 444, 985-995.
  • Hussin, M. Y. M., Muhammad, F., Razak, A. A., Tha, G. P., & Marwan, N. (2013). The link between gold price, oil price and Islamic stock market: experience from Malaysia. Journal Of Studies in Social Sciences, 4(2), 161-182.
  • Ibrahim, M. H. (2015). Oil and food prices in Malaysia: A nonlinear ARDL analysis. Agricultural And Food Economics, 3(1), 2, 1-14.
  • Investing Data Set. (n.d.) BRICS Ülke Borsalarının Kapanış Fiyatları [Data Set]. Retrieved from https://www.investing.com/indices/
  • ITC [International Trade Centre Trade Briefs]. (n.d.). Retrieved from https://tradebriefs.intracen.org/2018
  • Jain, A., & Biswal, P. C. (2016). Dynamic linkages among oil price, gold price, exchange rate, and stock market in India. Resources Policy, 49, 179-185.
  • Ji, Q. (2012). System analysis approach for the identification of factors driving crude oil prices. Computers & Industrial Engineering, 63(3), 615-625.
  • Junttila, J., Pesonen, J., & Raatikainen, J. (2018). Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold. Journal Of International Financial Markets, Institutions and Money, 56, 255-280.
  • Katrakilidis, C. & Trachanas, E. (2012). What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration. Economic Modelling, 29(4), 1064-1069.
  • Kocaarslan, B., Sari, R., Gormus, A. & Soytas, U. (2017). Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets. Journal Of Commodity Markets, 7, 41-56.
  • Kumar, D. (2014). Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness. IIMB Management Review, 26(1), 5-16.
  • Kurt Cihangir, Ç. (2019). The effect of commodity volatility indexes and Fed fund rates on the stock market indices of developing countries''. Muhasebe ve Finansman Dergisi, 81, 293-314.
  • Le, T., & Chang, Y. (2012). Oil price shocks and gold returns. International Economics, 131, 71-103.
  • Lin, B., Wesseh, P. K., & Appiah, M. O. (2014). Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness. Energy Economics, 42, 172-182.
  • Miyazaki, T., & Hamori, S. (2013). Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’. Applied Financial Economics, 23(1), 27-40.
  • Naifar, N., & Al Dohaiman, M. S. (2013). Nonlinear analysis among crude oil prices, stock markets' return and macroeconomic variables. International Review of Economics & Finance, 27, 416-431.
  • Öget, E., & Şahin, S. (2017). Hisse senetleri ile altın ons fiyatları ve ham petrol fiyatları arasındaki eşbütünleşme ilişkisi: BIST 100. Ulakbilge Sosyal Bilimler Dergisi, 5(11), 637-653.
  • Panopoulou, E., & Pittis, N. (2004). A comparison of autoregressive distributed lag and dynamic ols cointegration estimators in the case of a serially correlated cointegration error. The Econometrics Journal, 7(2), 585-617.
  • Park, J., & Ratti, R. A. (2008). Oil price shocks and stock markets in the US and 13 European countries. Energy Economics, 30(5), 2587-2608.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal Of Applied Econometrics, 16(3), 289-326.
  • Ray, S. (2012). Testing granger causal relationship between macroeconomic variables and stock price behavior: Evidence from India. Advances In Applied Economics and Finance, 3(1), 470-481.
  • Ray, S. (2013). Causal nexus between gold price movement and stock market: Evidence from Indian stock market. Sciknow Publications Ltd. Econometrics, 3, 12-19.
  • Raza, N., Shahzad, S. J. H., Tiwari, A. K., & Shahbaz, M. (2016). Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets. Resources Policy, 49, 290-301.
  • Sadorsky, P. (2014a). Modeling volatility and conditional correlations between socially responsible investments, gold and oil. Economic Modelling, 38, 609-618.
  • Sadorsky, P. (2014b). Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat. Energy Economics, 43, 72-81.
  • Samanta, S. K., & Zadeh, A. H. (2012). Co-movements of oil, gold, the US dollar, and stocks. Modern Economy, 3(01), 111-117.
  • Shahbaz, M., Tahir, M. I., Ali, I., & Rehman, I. U. (2014). Is gold investment a hedge against inflation in Pakistan? A co-integration and causality analysis in the presence of structural breaks. The North American Journal of Economics and Finance, 28, 190-205.
  • Shahzadi, H. & Chohan, M. N. (2012). Impact of gold prices on stock exchange: a case study of Pakistan. [Unpublished Manuscript]. Lahore: University of Central Punjab.
  • Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. Sickles & Horrace W. (eds), Festschrift in honor of Peter Schmidt: Econometric methods and applications (p. 281-314) Springer: New York.
  • Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking & Finance, 55, 1-8.
  • Singhal, S., Choudhary, S., & Biswal, P. C. (2019). Return and volatility linkages among international crude oil price, gold price, exchange rate and stock markets: evidence from Mexico. Resources Policy, 60, 255-261.
  • Sujit, K. S., & Kumar, B. R. (2011). Study on dynamic relationship among gold price, oil price, exchange rate and stock market returns. International Journal of Applied Business and Economic Research, 9(2), 145-165.
  • Tursoy, T., & Faisal, F. (2018). The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration. Resources Policy, 55, 49-54.
  • Tüzemen, S. (2018). Petrol fiyatlarının Türkiye'deki sektörler üzerine etkisinin analizi (Unpublished doctoral dissertation). Karadeniz Teknik Üniversitesi, Trabzon.
  • U.S. Energy Information Administration (n.d). Brent Crude Oil Prices [Data Set]. Retrieved from https://www.eia.gov/dnav/pet/pet_pri_spt_s1_d.htm
  • World Gold Council (n.d.). Gold Prices [Data Set]. Retrieved from https://www.gold.org/goldhub/data/price-and-performance
Toplam 67 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Sermaye Piyasaları, Uluslararası Finans
Bölüm Araştırma Makalesi
Yazarlar

Kübra Saka Ilgın 0000-0001-5797-9617

Selami Güney 0000-0001-6361-1907

Yayımlanma Tarihi 29 Eylül 2024
Gönderilme Tarihi 10 Kasım 2023
Kabul Tarihi 31 Temmuz 2024
Yayımlandığı Sayı Yıl 2024 Cilt: 25 Sayı: 3

Kaynak Göster

APA Saka Ilgın, K., & Güney, S. (2024). THE EFFECTS OF PRICE AND VOLATILITY INDICES OF STRATEGIC COMMODITIES ON STOCK MARKETS: A STUDY ON BRICS ECONOMIES. Anadolu Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 25(3), 23-47. https://doi.org/10.53443/anadoluibfd.1389265

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Bu eser 2023 yılından itibaren Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı ile lisanslanmıştır.