EFFECT OF GOLD PRICE VOLATILITY ON STOCK RETURNS: EXAMPLE OF TURKEY

Yıl 2013, Cilt: 5 Sayı: 1, 119 - 140, 01.06.2013

Filiz Yıldız Contuk Hümeyra Burucu Bener Güngör

Öz

This study analyzes the effect of fluctuations in gold prices on ISE 100 index
using daily prices and the index data from 01.01.2009 to 31.12.2012. The raw
data has been converted into earnings yields and analyzed. The study first
determines whether or not the use of a GARCH model would be appropriate using
a heteroskedasticity test. The test results show that there was an ARCH effect in
both variables, and that GARCH modeling could be used. The results obtained
from MGARCH modeling show that gold and stock exchange yields have been
affected both by their own shocks and by shocks of each other.

Anahtar Kelimeler

Gold Prices, Stock Returns, GARCH modeling

Kaynakça

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