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

Year 2025, Volume: 54 Issue: 2, 179 - 199, 26.08.2025

Zekai Şenol , Bahri Fatih Tekin , Eda Başak Yıldırım

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

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

Borsa Istanbul , Gold , Oil , Volatility , Connectedness , Asymmetric TVP-VAR

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