Güvenli Liman Varlıkların Covid-19 Döneminde Türkiye İçin Test Edilmesi

Öz

Bu çalışmanın amacı krizler döneminde güvenli liman olarak bilinen varlıkların hisse senedi yatırımcıları açısından Covid-19 pandemi döneminde Türkiye’de bu vasıflarını yerine getirip getirmediklerini incelemektir. GJR-GARCH (1,1) hata terimleri varsayımı altında elde edilen sonuçlara göre hiçbir varlık, hisse senedi piyasası karşısında güvenli liman özelliği gösterememiştir. Fakat BİST100 endeksi %5 değer kaybettiği dönemlerde Ethereum, gümüş ve devlet tahvili güçlü düzeyde, ABD doları ve Euro ise zayıf düzeyde güvenli liman özelliği göstermiştir. Yine BİST100 %2,5 değer kaybettiğinde Bitcoin, altın ve DJIMTR zayıf düzeyde bu özelliği gösterirken, %1’lik değer kayıplarında ise altın ve devlet tahvili güçlü düzeyde, Bitcoin, Ethereum, gümüş, ABD doları ve Euro zayıf düzeyde güvenli liman özelliği göstermişlerdir.

Anahtar Kelimeler

• Güvenli Liman Varlıklar
• Covid-19
• BİST100 Endeksi
• GARCH Analizi

Testing Safe Haven Assets for Türkiye in the Covid-19 Period

Öz

The aim of this study is to examine whether the assets known as safe-haven assets during crises fulfill these qualities for equity investors in Turkey during the Covid-19 pandemic. According to the results obtained under the assumption of GJR-GARCH (1,1) error terms, no asset has shown safe-haven characteristics against the stock market. However, when the BIST100 index depreciates by 5%, Ethereum, silver and Government Bonds show strong safe-haven characteristics, US dollar and Euro show weak safe-haven characteristics. When the BIST100 index depreciates by 2.5%, Bitcoin, gold and DJIMTR show weak safe haven asset characteristics. If BIST100 depreciates by 1%, gold and Government Bonds show strong safe-haven characteristics, and Bitcoin, Ethereum, Silver, the US dollar and Euro show weak safe-haven characteristics.

Anahtar Kelimeler

• Safe Haven Assets
• Covid-19
• BIST100 Index
• GARCH Analysis

Kaynakça

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