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Gold As Hedge and Safe Haven: Evidence From Turkey

Year 2018, Volume: 4 Issue: 1, 1 - 15, 30.06.2018

Ruslan Nagayev Yusuf Dinç

Abstract

The aim of
this paper is to investigate the properties of gold as a hedge and/or safe
haven for diverse equity investors in Turkey (conventional and Islamic
portfolios). The study covers the period from January 2010 to April 2018 and
employs Wavelet Coherence as a multi-resolution analysis tool. The results
suggest that gold maintains its role both as a hedging instrument during normal
market conditions and save haven during the market disturbances for short-,
medium- and long-term portfolio investors. The findings have important
implications for policy-makers and market players of Turkey.

Keywords

Islamic Equity Safe haven Hedge Gold Portfolio Wavelets

References

  • Açikalin, S., & Basci, E. S. (2016). Cointegration and Causality Relationship between BIST 100 and BIST Gold Indices/BIST 100 ve BIST Altin Endeksleri Arasindaki Esbütünlesme ve Nedensellik Iliskisi. Yonetim ve Ekonomi, 23(2), 565.
  • Aksoy, M., & Topcu, N. (2013). Altın ile hisse senedi ve enflasyon arasındaki ilişki. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 27(1).
  • Balı, S., & Cinel, M. O. (2011). Altın fiyatlarının imkb 100 endeksi’ne etkisi ve bu etkinin ölçümlenmesi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 25(3-4).
  • Baur, D., and Lucey, B. (2010). Is Gold a Hedge or Safe Haven? An Analysis of Stocks, Bonds and Gold. Financial Review, 45, 217–229.
  • Baur, D. G., and McDermott, T. K. (2010). Is Gold a Safe Haven? International Evidence. Journal of Banking and Finance, 34, 1886–1898.
  • Beckmann, J., Berger, T., & Czudaj, R. (2015). Does Gold Act as a Hedge or a Safe Haven for Stocks? A Smooth Transition Approach. Economic Modelling, 48, 16-24.
  • Bredin, D., Conlon, T., & Potì, V. (2015). Does Gold Glitter in The Long-Run? Gold as a Hedge and Safe Haven across Time and Investment Horizon. International Review of Financial Analysis, 41, 320-328.
  • Chkili, W. (2017). Is Gold a Hedge or Safe Haven for Islamic Stock Market Movements? A Markov Switching Approach. Journal of Multinational Financial Management, 42, 152-163.
  • Christie, A. (1982). The Stochastic Behavior of Common Stock Variances-Value, Leverage and Interest Rate Effects. Journal of Financial Economics, 10, 407-432.
  • Ciner, C., Gurdgiev, C. and Lucey, B.M. (2013). Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates. International Review of Financial Analysis. 29, 202 – 211.
  • Contuk, F. Y., Burucu, H., & Güngör, B. (2013). Effect of Gold Price Volatility on Stock Returns: Example of Turkey. International Journal of Economics and Finance Studies, 5(1).
  • Coşkun, Y., & Ümit, A. Ö. (2016). Türkiye'de Hisse Senedi ile Döviz, Mevduat, Altın, Konut Piyasaları Arasındaki Eşbütünleşme İlişkilerinin Analizi. Business & Economics Research Journal, 7(1).
  • Ertimur, B., & Sandιkcι, Ö. (2014). Alienable Gifts: Uses and Meanings of Gold in Turkey. Journal of Consumer Behaviour, 13(3), 204-211.
  • Garefalakis, A., Dimitras, A., Koemtzopoulos, D. and Spinthiropoulos, K. (2011). Determinant Factors of Hong Kong Stock Market. International Research Journal of Finance and Economics, 62.
  • Ghosh, D., Levin, E.J., Macmillan, P. and Wright, R.E. (2004). Gold as an Inflation Hedge? Studies in Economics and Finance, 22(1).
  • Grinsted, A., Moore, J. C., & Jevrejeva, S. (2004). Application of the Cross Wavelet Transform and Wavelet Coherence to Geophysical Time Series. Nonlinear Processes in Geophysics, 11(5/6), 561-566.
  • Ibrahim, M. H. (2012). Financial Market Risk and Gold Investment in an Emerging Market: The Case of Malaysia. International Journal of Islamic and Middle Eastern Finance and Management, 5(1), 25-34.
  • Hillier, D., Draper, P. and Faff, R. (2006) Do Precious Metals Shine? An Investment Perspective. Financial Analysts Journal, 62 (2), 98.
  • Hood, M. and Malik, F. (2013). Is Gold The Best Hedge and a Safe Haven under Changing Stock Market Volatility? Review of Financial Economics, 22, 47 – 52.
  • Kaul, A. and Sapp, S. (2006). Y2K Fears and Safe Haven Trading of the US Dollar. Journal of International Money and Finance 25, 760–779.
  • Kumar, D. (2014). Return and Volatility Transmission Between Gold and Stock Sectors: Application Of Portfolio Management and Hedging Effectiveness. IIMB Management Review, 26(1), 5-16.
  • MSCI. (2015). MSCI Islamic Index Series Methodology. Accessed from (on 15/04/2018): https://www.msci.com/eqb/methodology/meth_docs/MSCI_April15_Islamic_Indexes_Methodology.pdf)
  • Reboredo, J.C. (2013). Is Gold a Hedge or Safe Haven against Oil Price Movements? Resources Policy, 38 (2013), 130-137.
  • Sarac, M., & Zeren, F. (2014). Is Gold Investment an Effectıve Hedge Agaınst Inflation and US Dollar? Evıdence from Turkey. Economic Computation and Economic Cybernetics Studies and Research, 48(4).
  • Tully, E., and Lucey, B. M. (2007). A Power GARCH Examination of the Gold Market. Research in International Business and Finance, 21(2), 316–325.
  • Tursoy, T., & Faisal, F. (2017). The Impact of Gold and Crude Oil Prices on Stock Market in Turkey: Empirical Evidences from ARDL Bounds Test and Combined Cointegration. Resources Policy, 55, 49-54.
  • Ziaei, S.M. (2012) Effects of Gold Price on Equity, Bond and Domestic Credit: Evidence from ASEAN +3. Procedia - Social and Behavioral Sciences, 40 (2012), 341-346.

GÜVENLİ LİMAN VE HEDGE ARACI OLARAK ALTIN: TÜRKİYE ÖRNEĞİ

Year 2018, Volume: 4 Issue: 1, 1 - 15, 30.06.2018

Ruslan Nagayev Yusuf Dinç

Abstract

Bu çalışmanın amacı altının hedge veya güvenli liman özelliğinin günlük
veri üzerinden genel endeks ve katılım endeksiyle arasındaki ilişkiyi
incelemektedir. Türkiye pay piyasaları üzerine ilk defa Wavelet Coherence
tekniği uygulanarak altının hedge özelliğinin Multi Resolutional Analysis
yöntemiyle koeralsyon ve değişik yatırım sıklığı ve periyotlarındaki durumu
gösterilmiştir. Aynı zamanda olumsuz piyasa şartlarında altının güvenli liman
sunup sunmadığı incelenmiştir. Sonuçlar altının hem hedge hem değişik zaman
periyotlarında sıfır veya çok sınırlı korelasyonuyla güvenli liman özelliğine
sahip olduğunu göstermektedir. Bulgular akademik çalışmalar ve piyasadaki
yatırımcılar için önemlidir.

Keywords

Hedge İslami Pay endeksleri Güvenli liman Altın Portföy Wavelets Coherence

References

  • Açikalin, S., & Basci, E. S. (2016). Cointegration and Causality Relationship between BIST 100 and BIST Gold Indices/BIST 100 ve BIST Altin Endeksleri Arasindaki Esbütünlesme ve Nedensellik Iliskisi. Yonetim ve Ekonomi, 23(2), 565.
  • Aksoy, M., & Topcu, N. (2013). Altın ile hisse senedi ve enflasyon arasındaki ilişki. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 27(1).
  • Balı, S., & Cinel, M. O. (2011). Altın fiyatlarının imkb 100 endeksi’ne etkisi ve bu etkinin ölçümlenmesi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 25(3-4).
  • Baur, D., and Lucey, B. (2010). Is Gold a Hedge or Safe Haven? An Analysis of Stocks, Bonds and Gold. Financial Review, 45, 217–229.
  • Baur, D. G., and McDermott, T. K. (2010). Is Gold a Safe Haven? International Evidence. Journal of Banking and Finance, 34, 1886–1898.
  • Beckmann, J., Berger, T., & Czudaj, R. (2015). Does Gold Act as a Hedge or a Safe Haven for Stocks? A Smooth Transition Approach. Economic Modelling, 48, 16-24.
  • Bredin, D., Conlon, T., & Potì, V. (2015). Does Gold Glitter in The Long-Run? Gold as a Hedge and Safe Haven across Time and Investment Horizon. International Review of Financial Analysis, 41, 320-328.
  • Chkili, W. (2017). Is Gold a Hedge or Safe Haven for Islamic Stock Market Movements? A Markov Switching Approach. Journal of Multinational Financial Management, 42, 152-163.
  • Christie, A. (1982). The Stochastic Behavior of Common Stock Variances-Value, Leverage and Interest Rate Effects. Journal of Financial Economics, 10, 407-432.
  • Ciner, C., Gurdgiev, C. and Lucey, B.M. (2013). Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates. International Review of Financial Analysis. 29, 202 – 211.
  • Contuk, F. Y., Burucu, H., & Güngör, B. (2013). Effect of Gold Price Volatility on Stock Returns: Example of Turkey. International Journal of Economics and Finance Studies, 5(1).
  • Coşkun, Y., & Ümit, A. Ö. (2016). Türkiye'de Hisse Senedi ile Döviz, Mevduat, Altın, Konut Piyasaları Arasındaki Eşbütünleşme İlişkilerinin Analizi. Business & Economics Research Journal, 7(1).
  • Ertimur, B., & Sandιkcι, Ö. (2014). Alienable Gifts: Uses and Meanings of Gold in Turkey. Journal of Consumer Behaviour, 13(3), 204-211.
  • Garefalakis, A., Dimitras, A., Koemtzopoulos, D. and Spinthiropoulos, K. (2011). Determinant Factors of Hong Kong Stock Market. International Research Journal of Finance and Economics, 62.
  • Ghosh, D., Levin, E.J., Macmillan, P. and Wright, R.E. (2004). Gold as an Inflation Hedge? Studies in Economics and Finance, 22(1).
  • Grinsted, A., Moore, J. C., & Jevrejeva, S. (2004). Application of the Cross Wavelet Transform and Wavelet Coherence to Geophysical Time Series. Nonlinear Processes in Geophysics, 11(5/6), 561-566.
  • Ibrahim, M. H. (2012). Financial Market Risk and Gold Investment in an Emerging Market: The Case of Malaysia. International Journal of Islamic and Middle Eastern Finance and Management, 5(1), 25-34.
  • Hillier, D., Draper, P. and Faff, R. (2006) Do Precious Metals Shine? An Investment Perspective. Financial Analysts Journal, 62 (2), 98.
  • Hood, M. and Malik, F. (2013). Is Gold The Best Hedge and a Safe Haven under Changing Stock Market Volatility? Review of Financial Economics, 22, 47 – 52.
  • Kaul, A. and Sapp, S. (2006). Y2K Fears and Safe Haven Trading of the US Dollar. Journal of International Money and Finance 25, 760–779.
  • Kumar, D. (2014). Return and Volatility Transmission Between Gold and Stock Sectors: Application Of Portfolio Management and Hedging Effectiveness. IIMB Management Review, 26(1), 5-16.
  • MSCI. (2015). MSCI Islamic Index Series Methodology. Accessed from (on 15/04/2018): https://www.msci.com/eqb/methodology/meth_docs/MSCI_April15_Islamic_Indexes_Methodology.pdf)
  • Reboredo, J.C. (2013). Is Gold a Hedge or Safe Haven against Oil Price Movements? Resources Policy, 38 (2013), 130-137.
  • Sarac, M., & Zeren, F. (2014). Is Gold Investment an Effectıve Hedge Agaınst Inflation and US Dollar? Evıdence from Turkey. Economic Computation and Economic Cybernetics Studies and Research, 48(4).
  • Tully, E., and Lucey, B. M. (2007). A Power GARCH Examination of the Gold Market. Research in International Business and Finance, 21(2), 316–325.
  • Tursoy, T., & Faisal, F. (2017). The Impact of Gold and Crude Oil Prices on Stock Market in Turkey: Empirical Evidences from ARDL Bounds Test and Combined Cointegration. Resources Policy, 55, 49-54.
  • Ziaei, S.M. (2012) Effects of Gold Price on Equity, Bond and Domestic Credit: Evidence from ASEAN +3. Procedia - Social and Behavioral Sciences, 40 (2012), 341-346.
There are 27 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Ruslan Nagayev 0000-0001-7102-9618

Yusuf Dinç

Publication Date June 30, 2018
Submission Date April 19, 2018
Acceptance Date June 5, 2018
Published in Issue Year 2018 Volume: 4 Issue: 1

Cite

APA Nagayev, R., & Dinç, Y. (2018). GÜVENLİ LİMAN VE HEDGE ARACI OLARAK ALTIN: TÜRKİYE ÖRNEĞİ. İslam Ekonomisi Ve Finansı Dergisi (İEFD), 4(1), 1-15.

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