The connectedness between gold, oil, and BIST sector stock markets: evidence from the asymmetric TVP-VAR method and portfolio strategies

Zekai Şenol; Bahri Fatih Tekin; Eda Başak Yıldırım

doi:10.26650/ibr.2025.54.1608524

The connectedness between gold, oil, and BIST sector stock markets: evidence from the asymmetric TVP-VAR method and portfolio strategies

Abstract

This study investigates the connectedness and portfolio strategies between gold, oil, and Borsa Istanbul (BIST) sector indices of banking, trade, services, and industrials. The study period is from January 3, 2018 to May 21, 2024, a period of high volatility in the Turkish economy and financial markets. An asymmetric TVPVAR (Time-Varying Parameter Vector Autoregression) analysis is employed alongside multiple portfolio strategy approaches. The findings reveal that gold and oil are net volatility receivers for BIST indices, exhibiting an asymmetric pattern in their connectedness. In addition, COVID-19 and Russia’s invasion of Ukraine significantly influenced both symmetric and asymmetric connectedness. Among BIST sectors, services (XUHIZ) is a net volatility transmitter, while banking (XBANK) and trade (XTCRT) are net volatility receivers. It is determined that gold and oil, especially gold, can be used as hedging instruments for BIST basic sectors. In portfolio strategies, gold and oil should be included in the portfolios formed from BIST sectors in terms of risk management and diversification. These results offer valuable insights for investors, portfolio managers, and risk managers.

Keywords

References

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Details

Primary Language

English

Subjects

Financial Markets and Institutions, Investment and Portfolio Management

Journal Section

Research Article

Authors

Zekai Şenol ^*
0000-0001-8818-0752
Türkiye

Bahri Fatih Tekin
0000-0002-0541-4371
Türkiye

Eda Başak Yıldırım
0009-0008-9383-9097
Türkiye

Early Pub Date

September 4, 2025

Publication Date

August 26, 2025

Submission Date

December 27, 2024

Acceptance Date

May 20, 2025

Published in Issue

Year 2025 Volume: 54 Number: 2

DOI

https://doi.org/10.26650/ibr.2025.54.1608524

IZ

https://izlik.org/JA77SM86YS

Cite

RIS / Bibtex

APA

Şenol, Z., Tekin, B. F., & Yıldırım, E. B. (2025). The connectedness between gold, oil, and BIST sector stock markets: evidence from the asymmetric TVP-VAR method and portfolio strategies. Istanbul Business Research, 54(2), 179-199. https://doi.org/10.26650/ibr.2025.54.1608524

AMA

1.Şenol Z, Tekin BF, Yıldırım EB. The connectedness between gold, oil, and BIST sector stock markets: evidence from the asymmetric TVP-VAR method and portfolio strategies. IBR. 2025;54(2):179-199. doi:10.26650/ibr.2025.54.1608524

Chicago

Şenol, Zekai, Bahri Fatih Tekin, and Eda Başak Yıldırım. 2025. “The Connectedness Between Gold, Oil, and BIST Sector Stock Markets: Evidence from the Asymmetric TVP-VAR Method and Portfolio Strategies”. Istanbul Business Research 54 (2): 179-99. https://doi.org/10.26650/ibr.2025.54.1608524.

EndNote

Şenol Z, Tekin BF, Yıldırım EB (August 1, 2025) The connectedness between gold, oil, and BIST sector stock markets: evidence from the asymmetric TVP-VAR method and portfolio strategies. Istanbul Business Research 54 2 179–199.

IEEE

[1]Z. Şenol, B. F. Tekin, and E. B. Yıldırım, “The connectedness between gold, oil, and BIST sector stock markets: evidence from the asymmetric TVP-VAR method and portfolio strategies”, IBR, vol. 54, no. 2, pp. 179–199, Aug. 2025, doi: 10.26650/ibr.2025.54.1608524.

ISNAD

Şenol, Zekai - Tekin, Bahri Fatih - Yıldırım, Eda Başak. “The Connectedness Between Gold, Oil, and BIST Sector Stock Markets: Evidence from the Asymmetric TVP-VAR Method and Portfolio Strategies”. Istanbul Business Research 54/2 (August 1, 2025): 179-199. https://doi.org/10.26650/ibr.2025.54.1608524.

JAMA

1.Şenol Z, Tekin BF, Yıldırım EB. The connectedness between gold, oil, and BIST sector stock markets: evidence from the asymmetric TVP-VAR method and portfolio strategies. IBR. 2025;54:179–199.

MLA

Şenol, Zekai, et al. “The Connectedness Between Gold, Oil, and BIST Sector Stock Markets: Evidence from the Asymmetric TVP-VAR Method and Portfolio Strategies”. Istanbul Business Research, vol. 54, no. 2, Aug. 2025, pp. 179-9, doi:10.26650/ibr.2025.54.1608524.

Vancouver

1.Zekai Şenol, Bahri Fatih Tekin, Eda Başak Yıldırım. The connectedness between gold, oil, and BIST sector stock markets: evidence from the asymmetric TVP-VAR method and portfolio strategies. IBR. 2025 Aug. 1;54(2):179-9. doi:10.26650/ibr.2025.54.1608524