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ALTININ BİR KORUNMA ARACI VE GÜVENLİ LİMAN OLMA ÖZELLİĞİNİN İNCELENMESİ

Yıl 2022, Cilt: 1 Sayı: 11, 7 - 30, 28.10.2022

Öz

Bu çalışmada altının bir korunma aracı ve güvenli bir liman olma özellikleri incelenmiştir. Çalışmanın amacı altın fiyatının döviz kuru, tahvil ve hisse senedi gibi temel finansal enstrümanlarla ilişkisini incelemektir. Çalışmada altının ABD 2 yıllık tahvil verim oranına, S&P 500 borsa endeksi ve USD/EUR paritesine kıyasla güvenli liman özelliği ve bir korunma aracı olup olmadığını tespit etmek amacıyla ARCH/GARCH modelleri kullanılmıştır. Çalışma kapsamında ele alınan örneklem döneminde altının trend değişim tarihi belirlenerek tüm örneklem dönemi iki trend dönemi olarak ayrı ayrı ele alınmıştır.

Kaynakça

  • Adams, Z., & Glück, T. (2015). Financialization in commodity markets: a passing trend or the new normal?. Journal of Banking & Finance, 60, 93-111.
  • Apak, S., Akman, V., Çankaya, S., & Sönmezer, S. (2012). The Case for Gold Revisited: A Safe Haven Or A Hedge?. EMAJ: Emerging Markets Journal, 2(2).
  • Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial review, 45(2), 217-229.
  • 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.
  • Bhanja, N., & Dar, A. B. (2015). “The beauty of gold is, it loves bad news”: evidence from three major gold consumers. Economic Change and Restructuring, 48(3), 187-208.
  • Bredin, D., Conlon, T., & Potì, V. (2015). Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon. International Review of Financial Analysis, 41, 320-328.
  • Caballero, R. J., & Krishnamurthy, A. (2008). Collective risk management in a flight to quality episode. The Journal of Finance, 63(5), 2195-2230.
  • Capie, F., Mills, T. C., & Wood, G. (2005). Gold as a hedge against the dollar. Journal of International Financial Markets, Institutions and Money, 15(4), 343-352.
  • 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.
  • Dar, A. B., & Maitra, D. (2017). Is gold a weak or strong hedge and safe haven against stocks? Robust evidences from three major gold-consuming countries. Applied Economics, 49(53), 5491-5503.
  • Daskalaki, C., & Skiadopoulos, G. (2011). Should investors include commodities in their portfolios after all? New evidence. Journal of Banking & Finance, 35(10), 2606-2626.
  • Elie, B., Naji, J., Dutta, A., & Uddin, G. S. (2019). Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach. Energy, 178, 544-553.
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the econometric society, 987-1007.
  • Erdoğan, S., Gedikli, A., Çevik, E. İ., Erdoğan, F., & Çevik, E. (2022). Precious metals as safe-haven for clean energy stock investment: Evidence from nonparametric Granger causality in distribution test. Resources Policy, 79, 102945.
  • Garner, C. A. (1995). How useful are leading indicators of inflation?. Federal Reserve Bank of Kansas City Economic Review, 80(2), 5-18.
  • Gürgün, G., & Ünalmış, İ. (2014). Is gold a safe haven against equity market investment in emerging and developing countries?. Finance Research Letters, 11(4), 341-348.
  • Hammoudeh, S., Malik, F., & McAleer, M. (2011). Risk management of precious metals. The Quarterly Review of Economics and Finance, 51(4), 435-441.
  • Hood, M., & Malik, F. (2013). Is gold the best hedge and a safe haven under changing stock market volatility?. Review of Financial Economics, 22(2), 47-52.
  • Joy, M. (2011). Gold and the US dollar: Hedge or haven?. Finance Research Letters, 8(3), 120-131.
  • Kaul, A., and Sapp, S. (2006). Y2K Fears and Safe Haven Trading of the U.S. Dollar, Journal of International Money and Finance 25(5): 760–769. doi:10.1016/j. jimonfin.2006.04.003.
  • 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.
  • Lawrence, C. (2003). Why is gold different from other assets? An empirical investigation. London, UK: The World Gold Council.
  • Levin, E. J., Ghosh, D., MacMillan, P., & Wright, R. E. (2004). Gold as an inflation hedge?. Studies in Economics and Finance, 22, 1-25.
  • Levin, E. R., and Wright, R. E. (2006). Short-Run and LongRun Determinants of the Price of Gold, World Gold Council Research Study, 32.
  • Naeem, M. A., Hasan, M., Arif, M., & Shahzad, S. J. H. (2020). Can bitcoin glitter more than gold for investment styles?. Sage Open, 10(2), https://doi.org/10.1177/2158244020926508.
  • Nargeleçekenler, M. (2004). Euro kuru satış değerindeki volatilitenin ARCH ve GARCH modelleri ile tahmini. İstanbul Üniversitesi İktisat Fakültesi Mecmuası, 54(2), 153-179.
  • Ranaldo, A., & Söderlind, P. (2010). Safe haven currencies. Review of finance, 14(3), 385-407.
  • Ranson, D., & Wainwright, H. C. (2005). Inflation protection: Why gold works better than “linkers”. London, World Gold Council.
  • Reboredo, J. C. (2013). Is gold a safe haven or a hedge for the US dollar? Implications for risk management. Journal of Banking & Finance, 37(8), 2665-2676.
  • Reboredo, J. C., & Rivera-Castro, M. A. (2014). Wavelet-based evidence of the impact of oil prices on stock returns. International Review of Economics & Finance, 29, 145-176.
  • Shahzad, S. J. H., Bouri, E., Roubaud, D., & Kristoufek, L. (2020). Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin. Economic Modelling, 87, 212-224.
  • Shakil, M. H., Tasnia, M., & Saiti, B. (2018). Is gold a hedge or a safe haven? An application of ARDL approach. Journal of Economics, Finance and Administrative Science, 23(44), 60-76.
  • Silvennoinen, A., & Thorp, S. (2013). Financialization, crisis and commodity correlation dynamics. Journal of International Financial Markets, Institutions and Money, 24, 42-65.
  • Thanh, S.D. (2015), Threshold effects of inflation on growth in the ASEAN-5 countries: a panel smooth transition regression approach, Journal of Economics, Finance and Administrative Science, Vol. 20 No. 38, 41-48.
  • Uğurlu, E. (2019). Research Data Analysis Using EViews: An Empirical Example of Modeling Volatility. In Research Data Access and Management in Modern Libraries (pp. 292-324). IGI Global.
  • Wang, K. M., Lee, Y. M., & Thi, T. B. N. (2011). Time and place where gold acts as an inflation hedge: An application of long-run and short-run threshold model. Economic Modelling, 28(3), 806-819.
  • Wang, K.M., Lee, Y.M. and Thi, T.B.N. (2011), Time and place where gold acts as an inflation hedge: an application of long-run and short-run threshold model, Economic Modelling, Vol. 28 No. 3, 806-819.
  • Zagaglia, P., & Marzo, M. (2013). Gold and the US dollar: tales from the turmoil. Quantitative Finance, 13(4), 571-582.
  • Perron, P., 1997, Further Evidence on Breaking Trend Functions in Macroeconomic Variables, Journal of Econometrics, 80, p.355-385.
  • Perron, P., 1989, The Great Crash , The Oil Price Shock and the Unit Root Hypothesis, Econometrica(57), p.1361-1402.
  • Özata, Erkan ve Esen, Ethem; (2010); “Reel Ücretler ile İstihdam Arasındaki İlişkinin Ekonometrik Analizi” Anadolu Üniversitesi Sosyal Bilimler Dergisi, Cilt 10, p. 55-70.

INVESTIGATION OF GOLD AS A HEDGE TOOL AND SAFE HAVEN

Yıl 2022, Cilt: 1 Sayı: 11, 7 - 30, 28.10.2022

Öz

This study examined the properties of gold as a hedge and a safe haven. The study aims to examine the relationship of the gold price with the main determinants such as exchange rate, bonds, and stocks. The study used ARCH/GARCH models to determine whether gold is a safe haven and a hedging instrument compared to the US 2-year bond yield, the S&P 500 stock market index, and the USD/EUR exchange rate. The trend change date of gold was determined in the sampling period considered within the scope of the study, and the whole sampling period was handled separately as two trend periods.

Kaynakça

  • Adams, Z., & Glück, T. (2015). Financialization in commodity markets: a passing trend or the new normal?. Journal of Banking & Finance, 60, 93-111.
  • Apak, S., Akman, V., Çankaya, S., & Sönmezer, S. (2012). The Case for Gold Revisited: A Safe Haven Or A Hedge?. EMAJ: Emerging Markets Journal, 2(2).
  • Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial review, 45(2), 217-229.
  • 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.
  • Bhanja, N., & Dar, A. B. (2015). “The beauty of gold is, it loves bad news”: evidence from three major gold consumers. Economic Change and Restructuring, 48(3), 187-208.
  • Bredin, D., Conlon, T., & Potì, V. (2015). Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon. International Review of Financial Analysis, 41, 320-328.
  • Caballero, R. J., & Krishnamurthy, A. (2008). Collective risk management in a flight to quality episode. The Journal of Finance, 63(5), 2195-2230.
  • Capie, F., Mills, T. C., & Wood, G. (2005). Gold as a hedge against the dollar. Journal of International Financial Markets, Institutions and Money, 15(4), 343-352.
  • 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.
  • Dar, A. B., & Maitra, D. (2017). Is gold a weak or strong hedge and safe haven against stocks? Robust evidences from three major gold-consuming countries. Applied Economics, 49(53), 5491-5503.
  • Daskalaki, C., & Skiadopoulos, G. (2011). Should investors include commodities in their portfolios after all? New evidence. Journal of Banking & Finance, 35(10), 2606-2626.
  • Elie, B., Naji, J., Dutta, A., & Uddin, G. S. (2019). Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach. Energy, 178, 544-553.
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the econometric society, 987-1007.
  • Erdoğan, S., Gedikli, A., Çevik, E. İ., Erdoğan, F., & Çevik, E. (2022). Precious metals as safe-haven for clean energy stock investment: Evidence from nonparametric Granger causality in distribution test. Resources Policy, 79, 102945.
  • Garner, C. A. (1995). How useful are leading indicators of inflation?. Federal Reserve Bank of Kansas City Economic Review, 80(2), 5-18.
  • Gürgün, G., & Ünalmış, İ. (2014). Is gold a safe haven against equity market investment in emerging and developing countries?. Finance Research Letters, 11(4), 341-348.
  • Hammoudeh, S., Malik, F., & McAleer, M. (2011). Risk management of precious metals. The Quarterly Review of Economics and Finance, 51(4), 435-441.
  • Hood, M., & Malik, F. (2013). Is gold the best hedge and a safe haven under changing stock market volatility?. Review of Financial Economics, 22(2), 47-52.
  • Joy, M. (2011). Gold and the US dollar: Hedge or haven?. Finance Research Letters, 8(3), 120-131.
  • Kaul, A., and Sapp, S. (2006). Y2K Fears and Safe Haven Trading of the U.S. Dollar, Journal of International Money and Finance 25(5): 760–769. doi:10.1016/j. jimonfin.2006.04.003.
  • 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.
  • Lawrence, C. (2003). Why is gold different from other assets? An empirical investigation. London, UK: The World Gold Council.
  • Levin, E. J., Ghosh, D., MacMillan, P., & Wright, R. E. (2004). Gold as an inflation hedge?. Studies in Economics and Finance, 22, 1-25.
  • Levin, E. R., and Wright, R. E. (2006). Short-Run and LongRun Determinants of the Price of Gold, World Gold Council Research Study, 32.
  • Naeem, M. A., Hasan, M., Arif, M., & Shahzad, S. J. H. (2020). Can bitcoin glitter more than gold for investment styles?. Sage Open, 10(2), https://doi.org/10.1177/2158244020926508.
  • Nargeleçekenler, M. (2004). Euro kuru satış değerindeki volatilitenin ARCH ve GARCH modelleri ile tahmini. İstanbul Üniversitesi İktisat Fakültesi Mecmuası, 54(2), 153-179.
  • Ranaldo, A., & Söderlind, P. (2010). Safe haven currencies. Review of finance, 14(3), 385-407.
  • Ranson, D., & Wainwright, H. C. (2005). Inflation protection: Why gold works better than “linkers”. London, World Gold Council.
  • Reboredo, J. C. (2013). Is gold a safe haven or a hedge for the US dollar? Implications for risk management. Journal of Banking & Finance, 37(8), 2665-2676.
  • Reboredo, J. C., & Rivera-Castro, M. A. (2014). Wavelet-based evidence of the impact of oil prices on stock returns. International Review of Economics & Finance, 29, 145-176.
  • Shahzad, S. J. H., Bouri, E., Roubaud, D., & Kristoufek, L. (2020). Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin. Economic Modelling, 87, 212-224.
  • Shakil, M. H., Tasnia, M., & Saiti, B. (2018). Is gold a hedge or a safe haven? An application of ARDL approach. Journal of Economics, Finance and Administrative Science, 23(44), 60-76.
  • Silvennoinen, A., & Thorp, S. (2013). Financialization, crisis and commodity correlation dynamics. Journal of International Financial Markets, Institutions and Money, 24, 42-65.
  • Thanh, S.D. (2015), Threshold effects of inflation on growth in the ASEAN-5 countries: a panel smooth transition regression approach, Journal of Economics, Finance and Administrative Science, Vol. 20 No. 38, 41-48.
  • Uğurlu, E. (2019). Research Data Analysis Using EViews: An Empirical Example of Modeling Volatility. In Research Data Access and Management in Modern Libraries (pp. 292-324). IGI Global.
  • Wang, K. M., Lee, Y. M., & Thi, T. B. N. (2011). Time and place where gold acts as an inflation hedge: An application of long-run and short-run threshold model. Economic Modelling, 28(3), 806-819.
  • Wang, K.M., Lee, Y.M. and Thi, T.B.N. (2011), Time and place where gold acts as an inflation hedge: an application of long-run and short-run threshold model, Economic Modelling, Vol. 28 No. 3, 806-819.
  • Zagaglia, P., & Marzo, M. (2013). Gold and the US dollar: tales from the turmoil. Quantitative Finance, 13(4), 571-582.
  • Perron, P., 1997, Further Evidence on Breaking Trend Functions in Macroeconomic Variables, Journal of Econometrics, 80, p.355-385.
  • Perron, P., 1989, The Great Crash , The Oil Price Shock and the Unit Root Hypothesis, Econometrica(57), p.1361-1402.
  • Özata, Erkan ve Esen, Ethem; (2010); “Reel Ücretler ile İstihdam Arasındaki İlişkinin Ekonometrik Analizi” Anadolu Üniversitesi Sosyal Bilimler Dergisi, Cilt 10, p. 55-70.
Toplam 43 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Araştırma Makaleleri
Yazarlar

Tahsin Berk Şeker 0000-0002-4061-6075

Yayımlanma Tarihi 28 Ekim 2022
Gönderilme Tarihi 27 Ekim 2022
Yayımlandığı Sayı Yıl 2022 Cilt: 1 Sayı: 11

Kaynak Göster

APA Şeker, T. B. (2022). ALTININ BİR KORUNMA ARACI VE GÜVENLİ LİMAN OLMA ÖZELLİĞİNİN İNCELENMESİ. Atlas Sosyal Bilimler Dergisi, 1(11), 7-30.