ALTIN BİR KORUNMA ARACI OLARAK DÜŞÜNÜLEBİLİR Mİ? TÜRKİYE'DEN AMPRİK BİR ÖRNEK

Yıl 2019, Cilt: 3 Sayı: 1, 41 - 56, 28.06.2019

Serdar Kuzu , Mustafa Uysal

Öz

Altının
bir varlık olarak koruma (hedge) enstrümanı olup olmadığı yatırımcılar arasında
tartışmalı bir konudur. Türkiye’de altının dolar karşısında, finansal kriz
dönemlerinde güvenli bir liman özelliğine sahip olup olmadığı bunun
yanında  iyi bir riskten korunma,
çeşitlendirme aracı olup olmadığı soruları çalışmanın temel noktasını
oluşturmaktadır. Bu çalışmanın amacı altını dolar ve
hisse sendi piyasası ile ilişkili olmayan bir varlık olarak güvenli bir yatırım
aracı özelliğine sahip olma anlamında incelemektir. Bu bağlamda söz konusu
inceleme için 2011-01 ile 2017-02 dönemleri arasındaki aylık veriler kullanılmıştır.
Bu duruma ek olarak incelemeyi gerçekleştirmek adına Augmented Dickey Fuller ve
Johansen eşbütünleşme analizlerinden yararlanılmıştır. Sonuç olarak altın ve
dolar’ın uzun vadede eşbütünleşik olmadığı sonucuna ulaşılmıştır. Başka bir
deyişle, altın dolar karşısında çeşitlendirme aracı olarak kullanılabilir;
yani, altın dolar karşısında bir dengeleme aracı olarak düşünülebilir. Bununla
birlikte, altın ile İslami fiyat endeksi arasında uzun süren bir ilişki olduğu
tespit edilmiştir. Granger Nedensellik analizinin sonucuna gore altının islami
endeksler üzerinde etkili olduğu sonucu ortaya çıkmıştır.

Anahtar Kelimeler

Dengeleme, Koruma, Hedge, Johansen Eşbütünleşme Testi

Kaynakça

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