Analysis of the Relationship Between Precious Metals and Stock Markets: Application on Borsa Istanbul Commercial Sectors

Abstract

The relationship between different commercial sectors’ stocks and precious metals is vital in terms of diversification in portfolio investments. For this purpose, in this study, it is aimed to investigate the long-term association between stock markets belonging to commercial sectors and precious metals. One hundred nine monthly data related to the variables discussed between January 2011 and January 2020 were used. Before the cointegration analysis, the stationarities of the series were determined with Carrion-i Silvestre (2009) (CS) unit root test, which allowed up to five structural breaks. Maki (2012) cointegration analysis was applied to the series, which is the first aware stationary, with five structural breaks. Finally, the causal relationship among variables was investigated with Hatemi-J (2012) Asymmetric causality test. According to the results obtained, the stock markets were analyzed, and the prices of gold and silver were co-integrated. Besides, a bilateral causality has been reached between gold and silver prices, other than the stock market of the banking sector, and from the silver prices to the banking stock market.

Keywords

• Portfolio Diversification
• Maki Cointegration Analysis
• Hatemi-J Causality Analysis

Kaynakça

1. Abanomey, W. S. & Mathur, I. (2001). International portfolios with commodity futures and currency forward contracts. The Journal of Investing, 10(3), 61-68. https://doi.org/10,3905/joi.2001.319474
2. Akel, V. & Gazel, S. (2015). Finansal piyasa riski ve altın yatırımı: Türkiye örneği. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 24(1), 335-350.Erişim Adresi: https://dergipark. org.tr/en/pub/cusosbil/issue/32041/354094
3. Balı, S. & Cinel, M. (2011). Altın Fiyatlarının İmkb 100 endeksi’ne etkisi ve bu etkinin ölçümlenmesi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 25(3-4), 45-63. Erişim Adresi: https://dergipark. org.tr/en/pub/atauniiibd/issue/2703/35533
4. Başarır, Ç. (2019). Altın ve hisse senedi getirileri arasındaki nedensellik ilişkisi: Türkiye örneği. Trakya Üniversitesi Sosyal Bilimler Dergisi, 21(2), 475-490. https://doi.org/10.26468/trakyasobed.472190
5. 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. https://doi.org/10.1111/j.1540-6288.2010.00244.x
6. Baur, D. G. & McDermott, T. K. (2010). Is gold a safe haven? International Evidence. Journal of Banking & Finance, 34(8), 1886-1898. https://doi.org/10.1016/j.jbankfin. 2009.12.008
7. 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. https://doi.org/10.1016/j.econmod.2014.10.044
8. 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. https://doi.org/10.1016/j.irfa.2015.01.010

9. Carrion-i-Silvestre, J. L. Kim, D. & Perron, P. (2009). GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses. Econometric theory, 25(6), 1754-1792. Retrieved from: https://www.jstor.org/stable/40388611
10. Chua, J. and Woodward, R. S. (1982). Gold as an inflation hedge: a comparative study of six major industrial countries. Journal of Business Finance & Accounting, 9(2), 191-197. https://doi.org/10.1111/j.1468-5957.1982.tb00985.x
11. Chua, J. H. Sick, G. & Woodward, R. S. (1990). Diversifying with gold stocks. Financial Analysts Journal, 46(4), 76-79. https://doi.org/10.2469/faj.v46.n4.76
12. Conover, C. M. Jensen, G. R. Johnson, R. R. & Mercer, J. M. (2009). Can precious metals make your portfolio shine? The Journal of Investing, 18(1), 75-86. https://doi.org/10,3905/JOI.2009.18.1.075
13. Çoşkun, Y. & Ümit, A. Ö. (2016). Türkiye’de hisse senedi ile döviz, mevduat, altın, konut piyasaları arasındaki eşbütünleşme ilişkilerinin analizi. Business & Economics Research Journal, 7(1). https://doi.org/10,20409/berj.2.016.116.804
14. Çevik, Z. & Zeren, F. (2014). Tarım kredilerinin finansal gelişim üzerindeki etkisinin asimetrik nedensellik testi ile incelenmesi. Yönetim ve Ekonomi Araştırmaları Dergisi, 12(24), 197-208.Erişim Adresi: https://dergipark. org.tr/en/pub/yead/issue/21807/234399
15. Doğru, B. & Uysal, M. (2015). Bir yatırım aracı olarak altın ile hisse senedi endeksi arasındaki ilişkinin analizi: Türkiye üzerine ampirik uygulama. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 24(1), 239-254. Erişim Adresi: https://dergipark. org.tr/en/pub/cusosbil/issue/32041/354066
16. Fama, E. F. & Schwert, G. W. (1977). Asset returns and inflation. Journal Of Financial Economics, 5(2), 115-146. https://doi.org/10.1016/0304-405X(77)90014-9
17. Fisher, I. (1896). Appreciation and interest. Publications of the American Economic Association, 11(4), 1-98. Retrieved from: https://www.jstor.org/stable/2485877
18. Fortune, J. N. (1987). The inflation rate of the price of gold, expected prices and interest rates. Journal of Macroeconomics, 9(1), 71-82. https://doi.org/10.1016/S0164-0704(87)80007-1
19. Ghazali, M. F. Lean, H. H. & Bahari, Z. (2013). Is gold a hedge or a safe haven? An empırıcal evidence of gold and stocks in Malaysıa. International Journal of Business & Society, 14(3). Retrieved from: http://www.ijbs.unimas.my/repository/pdf/Vol 14No3paper7.pdf
20. Ghazali, M. F. Lean, H. H. & Bahari, Z. (2015). Is gold a good hedge against inflation? Empirical evidence in Malaysia. Kajian Malaysia, 33(1), 69-84. Retrieved from: https://ir.unimas.my/id/eprint/18543/1/Poverty_in_Algeria_An_institutional_cris.pdf#page=891
21. Gorton, G. & Rouwenhorst, K. G. (2006). Facts and fantasies about commodity futures. Financial Analysts Journal, 62(2), 47-68. https://doi.org/10.2469/faj.v62.n2.4083
22. Göçer, I. Mercan, M. & Peker, O. (2013). Kredi hacmi artisinin cari açiga etkisi: çoklu yapisal kirilmali esbütünlesme analizi. Ekonometri ve Istatistik Dergisi, (18), 1.Erişim Adresi: https://dergipark. org.tr/en/pub/iuekois/issue/8996/112130
23. Göçer, İ. & Peker, O. (2014). Yabancı doğrudan yatırımların istihdam üzerindeki etkisi: Türkiye, Çin Ve Hindistan örneğinde çoklu yapısal kırılmalı eşbütünleşme analizi. Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 21(1), 107-123. https://doi.org/10.18657/yecbu.24019
24. 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. https://doi.org/10.1016/j.frl.2014.07.003
25. Hacker, R. S. & Hatemi-J, A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: Theory and application. Applied Economics, 38(13), 1489-1500. https://doi.org/10.1080/00036840500405763
26. Hammoudeh, S. Malik, F. & McAleer, M. (2011). Risk management of precious metals. The Quarterly Review of Economics and Finance, 51(4), 435-441. https://doi.org/10.1016/j.qref.2011.07.002
27. Harmston, S. (1998). Gold as a Store of Value. Centre for Public Policy Studies, The World Gold Council. Research Study, No. 22
28. Hatemi-j, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447-456. https://doi.org/10.1007/s00181-011-0484-x
29. Hillier, D. Draper, P. & Faff, R. (2006). Do precious metals shine? An investment perspective. Financial Analysts Journal, 62(2), 98-106. https://doi.org/10.2469/faj.v62.n2.4085
30. 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. https://doi.org/10.1016/j.rfe.2013.03.001
31. Hussin, M. Y. M. Muhammad, F. Razak, A. A. Tha, G. P. & Marwan, N. (2013). The link between gold price, oil price and ıslamic stock market: Experience from Malaysia. Journal of Studies in Social Sciences, 4(2). Retrieved from: https://www.infinitypress.info/index.php/jsss/article/view/228
32. Ildirar, M. & İşçan, E. (2016). The interaction between stock prices and commodity prices: Eastern europe and central asia case. International Journal of Economics and Finance Studies, 8(2), 94-106. Retrieved from: http://www.avekon.org/papers/1350.pdf
33. Iqbal, J. (2017). Does gold hedge stock market, inflation and exchange rate risks? An Econometric İnvestigation. International Review of Economics & Finance, 48, 1-17. https://doi.org/10.1016/j.iref.2016.11.005
34. Jaffe, J. F. (1989). Gold and gold stocks as investments for institutional portfolios. Financial Analysts Journal, 45(2), 53-59. https://doi.org/10.2469/faj.v45.n2.53
35. Jiang, Y. Jiang, C. Nie, H. & Mo, B. (2019). The time-varying linkages between global oil market and china’s commodity sectors: Evidence from DCC-GJR-GARCH Analyses. Energy, 166, 577-586. https://doi.org/10.1016/j.energy.2018.10.116
36. Joy, M. (2011). Gold and the us dollar: hedge or haven? Finance Research Letters, 8(3), 120-131. https://doi.org/10.1016/j.frl.2011.01.001 Kaul, A. & Sapp, S. (2006). Y2K fears and safe haven trading of the US Dollar. Journal Of International Money And Finance, 25(5), 760-779. https://doi.org/10.1016/j.jimonfin.2006.04.003
37. Koutsoyiannis, A. (1983). A short-run pricing model for a speculative asset, tested with data from the gold bullion market. Applied Economics, 15(5), 563-581. https://doi.org/10.1080/00036848300000037
38. Lawrence, C. (2003). Why ıs gold different from other assets? An empirical investigation. World Gold Council, London. Retrieved from: http://www.spdrgoldshares.com/media/GLD/file/colin_lawrence_report.pdf
39. Maki, D. (2012). Tests for cointegration allowing for an unknown number of breaks. Economic Modelling, 29(5), 2011-2015. https://doi.org/10.1016/j.econmod.2012.04.022
40. Mensi, W. Hammoudeh, S. & Kang, S. H. (2015). Precious metals, cereal, oil and stock market linkages and portfolio risk management: Evidence from Saudi Arabia. Economic Modelling, 51, 340-358. https://doi.org/10.1016/j.econmod.2015.08.005
41. Mensi, W. Hammoudeh, S. Al-Jarrah, I. M. W. Sensoy, A. & Kang, S. H. (2017). Dynamic risk spillovers between gold, oil prices and conventional, sustainability and ıslamic equity aggregates and sectors with portfolio implications. Energy Economics, 67, 454-475. https://doi.org/10.1016/j.eneco.2017.08.031
42. Ming, L. Yang, S. Li, J. & Zhu, S. (2018). Does gold hedge stock market in China? Evidence from time-frequency analysis. Evidence from Time-Frequency Analysis (January 10, 2018). http://dx.doi.org/10.2139/ssrn.3099881
43. Nagayev, R. & Dinç, Y. (2018). Güvenli liman ve hedge araci olarak altin: Türkiye örneği. İslam Ekonomisi ve Finansı Dergisi (İEFD), 4(1), 1-15.Erişim Adresi: https://dergipark. org.tr/en/pub/jief/issue/37656/416802
44. Naifar, N. (2018). Exploring the dynamic links between gcc sukuk and commodity market volatility. International Journal of Financial Studies, 6(3), 72. https://doi.org/10.3390/ijfs6030072
45. Pindyck, R. S. (2004). Volatility and commodity price dynamics. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 24(11), 1029-1047. https://doi.org/10.1002/fut.20120
46. Reboredo, J. C. (2013). Is gold a hedge or safe haven against oil price movements? Resources Policy, 38(2), 130-137. https://doi.org/10.1016/j.resourpol.2013.02.003
47. Reboredo, J. C. & Rivera-Castro, M. A. (2014). Can gold hedge and preserve value when the US Dollar depreciates? Economic Modelling, 39, 168-173. https://doi.org/10.1016/j.econmod.2014.02.038
48. Sarwar, S. Khalfaoui, R. Waheed, R. and Dastgerdi, H. G. (2019). Volatility spillovers and hedging: evidence from asian oil-importing countries. Resources Policy, 61, 479-488. https://doi.org/10.1016/j.resourpol.2018.04.010
49. Sensoy, A. (2013). Dynamic relationship between precious metals. Resources Policy, 38(4), 504-511. https://doi.org/10.1016/j.resourpol.2013.08.004
50. Śmiech, S. & Papież, M. (2017). In search of hedges and safe havens: revisiting the relations between gold and oil in the rolling regression framework. Finance Research Letters, 20, 238-244. https://doi.org/10.1016/j.frl.2016.10.006
51. Srinivasan, P. (2014). Gold price, stock price and exchange rate nexus: The case of India. Romanian Economic Journal, 17(52). Retrieved from: https://ideas.repec.org/a/rej/journl/v17y2014i52p77-94.html
52. Tully, E. & Lucey, B. M. (2007). A power GARCH examination of the gold market. Research in International Business and Finance, 21(2), 316-325. https://doi.org/10.1016/j.ribaf.2006.07.001
53. Van Hoang, T. H. Lahiani, A. & Heller, D. (2016). Is gold a hedge against inflation? New evidence from a nonlinear ARDL Approach. Economic Modelling, 54, 54-66. https://doi.org/10.1016/j.econmod.2015.12.013