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Hedging Effectiveness of Gold: An Analysis for The Banking Sector with Different Dynamic Portfolio Approaches

Yıl 2022, Cilt: 7 Sayı: 4, 889 - 908, 31.12.2022

Hüseyin Özdemir

https://doi.org/10.30784/epfad.1217479

Öz

In this study, we construct portfolios including gold and six major stock exchanges (İsbank, Garanti Bank, Akbank, Yapı Kredi Bank, Halkbank, and Vakıfbank) by using three different dynamic portfolio approaches (i.e., minimum variance, minimum correlation, and minimum connectedness approaches). The aim of the study is to investigate whether gold can be used as a hedge against six major banks operating in Turkey. Further, this study also aims to measure the hedging effectiveness of gold. We adopt a fully time-varying parameter vector auto-regression (TVP-VAR) econometric framework, applied to daily data spanning June 2018 to November 2022. Empirical results show that the optimal ratio of gold in bank stocks varies between 39% and 53%, depending on time and portfolio construction approach. It is observed that the volatility of bank stocks in the portfolios has decreased by approximately 75%. According to the MCP and MCoP approaches, the highest return was obtained from the portfolio constructed with the MVP approach. In addition, the empirical findings show that gold can be used as a hedging instrument against banking stocks in bear market conditions.

Anahtar Kelimeler

Portfolio Selection Stock market Hedging Effectiveness Banking Sector Gold

Kaynakça

  • Akel, V. ve Gazel, S. (2015). Finansal piyasa riski ve altın yatırımı Türkiye örneği. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 24(1), 335-350. Erişim adresi: https://dergipark.org.tr/tr/pub/cusosbil/
  • Ali, S., Bouri, E., Czudaj, R.L. and Shahzad, S.J.H. (2020). Revisiting the valuable roles of commodities for international stock markets. Resources Policy, 66, 101603. https://doi.org/10.1016/j.resourpol.2020.101603
  • Antonakakis, N., Chatziantoniou, I. and Gabauer, D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13(4), 84. https://doi.org/10.3390/jrfm13040084
  • Başarır, Ç. (2019). Altın ve hisse senedi getirileri arasındaki nedensellik ilişkisi: Türkiye örneği. Trakya Üniversitesi Sosyal Bilimler Dergisi, 21(2), 475-490. https://doi.org/10.26468/trakyasobed.472190
  • Baur, D.G. and McDermott, T.K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886-1898. https://doi.org/10.1016/j.jbankfin.2009.12.008
  • Bekiros, S., Boubaker, S., Nguyen, D.K. and Uddin, G.S. (2017). Black swan events and safe havens: The role of gold in globally integrated emerging markets. Journal of International Money and Finance, 73, 317-334. https://doi.org/10.1016/j.jimonfin.2017.02.010
  • Broadstock, D.C., Chatziantoniou, I. and Gabauer, D. (2022). Minimum connectedness portfolios and the market for green bonds: Advocating socially responsible investment (SRI) activity. In C. Floros and I. Chatziantoniou (Eds.), Applications in energy finance (pp. 217-253). https://doi.org/10.1007/978-3-030-92957-2_9
  • Chkili, W. (2016). Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries. Research in International Business and Finance, 38, 22-34. https://doi.org/10.1016/j.ribaf.2016.03.005
  • Diebold, F.X. and Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66. https://doi.org/10.1016/j.ijforecast.2011.02.006
  • Diebold, F.X. and Yilmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics, 182(1), 119–134. https://doi.org/10.1016/j.jeconom.2014.04.012
  • Doğru, B. ve Uysal, M. (2015). Bir yatırım aracı olarak altın ile hisse senedi endeksi arasındaki ilişkinin analizi: Türkiye üzerine ampirik uygulama. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 24 (1), 239-254. Erişim adresi: https://dergipark.org.tr/tr/pub/cusosbil/
  • Ederington, L.H. (1979). The hedging performance of the new futures markets. Journal of Finance, 34(1), 157-170. https://doi.org/10.2307/2327150
  • Elliott, G., Rothenberg, T.J. and Stock, J.H. (1992). Efficient tests for an autoregressive unit root (NBER Working Paper No. 130). Retrieved from https://www.nber.org/system/files/working_papers/t0130/t0130.pdf
  • Jaffe, J.F. (1989). Gold and gold stocks as investments for institutional portfolios. Financial Analysts Journal, 45(2), 53-59. https://doi.org/10.2469/faj.v45.n2.53
  • Jarque, C.M. and Bera, A.K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters, 6(3), 255-259. https://doi.org/10.1016/0165-1765(80)90024-5
  • Koop, G., Pesaran, M.H. and Potter, S.M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119-147. https://doi.org/10.1016/0304-4076(95)01753-4
  • Korobilis, D. and Yilmaz, K. (2018). Measuring dynamic connectedness with large Bayesian VAR models (SSRN Working Paper No. 3099725). http://dx.doi.org/10.2139/ssrn.3099725
  • Ma, R., Sun, B., Zhai, P. and Jin, Y. (2021). Hedging stock market risks: Can gold really beat bonds? Finance Research Letters, 42, 101918. https://doi.org/10.1016/j.frl.2020.101918
  • Markowitz, H.M. (1959). Portfolio selection: Efficient diversification of investments. New York: John Wiley.
  • McDonald, J.G. and Solnick, B.H. (1977). Valuation and strategy for gold stocks. The Journal of Portfolio Management, 3(3), 29-33. https://doi.org/10.3905/jpm.1977.408606
  • Mensi, W., Hammoudeh, S., Al-Jarrah, I.M.W., Al-Yahyaee, K.H. and Kang, S.H. (2019). Risk spillovers and hedging effectiveness between major commodities, and Islamic and conventional GCC banks. Journal of International Financial Markets, Institutions and Money, 60, 68-88. https://doi.org/10.1016/j.intfin.2018.12.011
  • Pesaran, H.H. and Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1), 17-29. https://doi.org/10.1016/S0165-1765(97)00214-0
  • Primiceri, G.E. (2005). Time varying structural vector autoregressions and monetary policy. The Review of Economic Studies, 72(3), 821-852. https://doi.org/10.1111/j.1467-937X.2005.00353.x
  • Salisu, A.A., Vo, X.V. and Lucey, B. (2021). Gold and US sectoral stocks during COVID-19 pandemic. Research in International Business and Finance, 57, 101424. https://doi.org/10.1016/j.ribaf.2021.101424
  • Serttaş, F.Ö. (2022). Altın ve kripto paraların BİST100 Endeksi için hedge ve güvenli liman özellikleri: Covid-19 salgını etkileri. Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2), 622-635. https://doi.org/10.26745/ahbvuibfd.1110109
  • Sharpe, W.F. (1966). Mutual fund performance. Journal of Business, 39(1), 119-138. http://dx.doi.org/10.1086/294846
  • Sherman, E.J. (1982). Gold: A conservative, prudent diversifier. The Journal of Portfolio Management, 8(3), 21-27. https://doi.org/10.3905/jpm.1982.408850
  • Tomak, S. (2013). Altın güvenli liman mı? Hisse senetleri, DİBS, döviz kuru ve altın getirileri arasındaki ilişkilerin analizi. Çağ Üniversitesi Sosyal Bilimler Dergisi, 10(1), 21-36. Erişim adresi: https://dergipark.org.tr/tr/pub/cagsbd/

Altının Riskten Korunma Etkinliği: Farklı Dinamik Portföy Yaklaşımları İle Bankacılık Sektörü İçin Bir Analiz

Yıl 2022, Cilt: 7 Sayı: 4, 889 - 908, 31.12.2022

Hüseyin Özdemir

https://doi.org/10.30784/epfad.1217479

Öz

Bu çalışmada minimum varyans, minimum korelasyon ve minimum bağlantılılık yaklaşımları ile altın ve altı büyük bankanın (İş Bankası, Garanti Bankası, Akbank, Yapı Kredi Bankası, Halkbank ve Vakıfbank) hisse senedinden oluşan portföyün finansal analizi yapılmıştır. Çalışmanın amacı altının Türkiye’de faaliyet gösteren altı büyük banka hisse senetlerine karşı finansal koruma sağlayıp sağlamadığının araştırılmasıdır. Ayrıca bu çalışmada altının finansal koruma etkinliğinin ölçülmesi de amaçlanmıştır. Analiz edilen veriler günlük frekansta olup gözlem dönemi 01.01.2018- 08.11.2022 arasını içermektedir. Çalışma kapsamında kullanılan portföy oluşturma yaklaşımı TVP-VAR modelinden elde edilmiştir. Ampirik sonuçlar, zamana ve portföy oluşturma yaklaşımına bağlı olarak altının banka hisse senetleri içindeki optimal oranının %39 ile %53 oranında değiştiğini göstermektedir. Oluşturulan portföylerde söz konusu bankaların hisse senedi oynaklıklarının yaklaşık %75 oranında azaldığı gözlemlenmiştir. MCP ve MCoP yaklaşımları ile karşılaştırdığında en yüksek kümülatif getirinin olduğu yaklaşım MVP yaklaşımıdır. Ayrıca, çalışma kapsamında elde edilen bulgular altının ayı piyasasında banka hisse senetleri için iyi bir finansal koruma sağladığını göstermektedir.

Anahtar Kelimeler

Altın Hisse Senedi Piyasası Riskten Korunma Etkinliği Portföy Seçimi Bankacılık Sektörü.

Kaynakça

  • Akel, V. ve Gazel, S. (2015). Finansal piyasa riski ve altın yatırımı Türkiye örneği. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 24(1), 335-350. Erişim adresi: https://dergipark.org.tr/tr/pub/cusosbil/
  • Ali, S., Bouri, E., Czudaj, R.L. and Shahzad, S.J.H. (2020). Revisiting the valuable roles of commodities for international stock markets. Resources Policy, 66, 101603. https://doi.org/10.1016/j.resourpol.2020.101603
  • Antonakakis, N., Chatziantoniou, I. and Gabauer, D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13(4), 84. https://doi.org/10.3390/jrfm13040084
  • Başarır, Ç. (2019). Altın ve hisse senedi getirileri arasındaki nedensellik ilişkisi: Türkiye örneği. Trakya Üniversitesi Sosyal Bilimler Dergisi, 21(2), 475-490. https://doi.org/10.26468/trakyasobed.472190
  • Baur, D.G. and McDermott, T.K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886-1898. https://doi.org/10.1016/j.jbankfin.2009.12.008
  • Bekiros, S., Boubaker, S., Nguyen, D.K. and Uddin, G.S. (2017). Black swan events and safe havens: The role of gold in globally integrated emerging markets. Journal of International Money and Finance, 73, 317-334. https://doi.org/10.1016/j.jimonfin.2017.02.010
  • Broadstock, D.C., Chatziantoniou, I. and Gabauer, D. (2022). Minimum connectedness portfolios and the market for green bonds: Advocating socially responsible investment (SRI) activity. In C. Floros and I. Chatziantoniou (Eds.), Applications in energy finance (pp. 217-253). https://doi.org/10.1007/978-3-030-92957-2_9
  • Chkili, W. (2016). Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries. Research in International Business and Finance, 38, 22-34. https://doi.org/10.1016/j.ribaf.2016.03.005
  • Diebold, F.X. and Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66. https://doi.org/10.1016/j.ijforecast.2011.02.006
  • Diebold, F.X. and Yilmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics, 182(1), 119–134. https://doi.org/10.1016/j.jeconom.2014.04.012
  • Doğru, B. ve Uysal, M. (2015). Bir yatırım aracı olarak altın ile hisse senedi endeksi arasındaki ilişkinin analizi: Türkiye üzerine ampirik uygulama. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 24 (1), 239-254. Erişim adresi: https://dergipark.org.tr/tr/pub/cusosbil/
  • Ederington, L.H. (1979). The hedging performance of the new futures markets. Journal of Finance, 34(1), 157-170. https://doi.org/10.2307/2327150
  • Elliott, G., Rothenberg, T.J. and Stock, J.H. (1992). Efficient tests for an autoregressive unit root (NBER Working Paper No. 130). Retrieved from https://www.nber.org/system/files/working_papers/t0130/t0130.pdf
  • Jaffe, J.F. (1989). Gold and gold stocks as investments for institutional portfolios. Financial Analysts Journal, 45(2), 53-59. https://doi.org/10.2469/faj.v45.n2.53
  • Jarque, C.M. and Bera, A.K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters, 6(3), 255-259. https://doi.org/10.1016/0165-1765(80)90024-5
  • Koop, G., Pesaran, M.H. and Potter, S.M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119-147. https://doi.org/10.1016/0304-4076(95)01753-4
  • Korobilis, D. and Yilmaz, K. (2018). Measuring dynamic connectedness with large Bayesian VAR models (SSRN Working Paper No. 3099725). http://dx.doi.org/10.2139/ssrn.3099725
  • Ma, R., Sun, B., Zhai, P. and Jin, Y. (2021). Hedging stock market risks: Can gold really beat bonds? Finance Research Letters, 42, 101918. https://doi.org/10.1016/j.frl.2020.101918
  • Markowitz, H.M. (1959). Portfolio selection: Efficient diversification of investments. New York: John Wiley.
  • McDonald, J.G. and Solnick, B.H. (1977). Valuation and strategy for gold stocks. The Journal of Portfolio Management, 3(3), 29-33. https://doi.org/10.3905/jpm.1977.408606
  • Mensi, W., Hammoudeh, S., Al-Jarrah, I.M.W., Al-Yahyaee, K.H. and Kang, S.H. (2019). Risk spillovers and hedging effectiveness between major commodities, and Islamic and conventional GCC banks. Journal of International Financial Markets, Institutions and Money, 60, 68-88. https://doi.org/10.1016/j.intfin.2018.12.011
  • Pesaran, H.H. and Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1), 17-29. https://doi.org/10.1016/S0165-1765(97)00214-0
  • Primiceri, G.E. (2005). Time varying structural vector autoregressions and monetary policy. The Review of Economic Studies, 72(3), 821-852. https://doi.org/10.1111/j.1467-937X.2005.00353.x
  • Salisu, A.A., Vo, X.V. and Lucey, B. (2021). Gold and US sectoral stocks during COVID-19 pandemic. Research in International Business and Finance, 57, 101424. https://doi.org/10.1016/j.ribaf.2021.101424
  • Serttaş, F.Ö. (2022). Altın ve kripto paraların BİST100 Endeksi için hedge ve güvenli liman özellikleri: Covid-19 salgını etkileri. Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2), 622-635. https://doi.org/10.26745/ahbvuibfd.1110109
  • Sharpe, W.F. (1966). Mutual fund performance. Journal of Business, 39(1), 119-138. http://dx.doi.org/10.1086/294846
  • Sherman, E.J. (1982). Gold: A conservative, prudent diversifier. The Journal of Portfolio Management, 8(3), 21-27. https://doi.org/10.3905/jpm.1982.408850
  • Tomak, S. (2013). Altın güvenli liman mı? Hisse senetleri, DİBS, döviz kuru ve altın getirileri arasındaki ilişkilerin analizi. Çağ Üniversitesi Sosyal Bilimler Dergisi, 10(1), 21-36. Erişim adresi: https://dergipark.org.tr/tr/pub/cagsbd/
Toplam 28 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Finans
Bölüm Makaleler
Yazarlar

Hüseyin Özdemir 0000-0003-4242-8999

Yayımlanma Tarihi 31 Aralık 2022
Kabul Tarihi 30 Aralık 2022
Yayımlandığı Sayı Yıl 2022 Cilt: 7 Sayı: 4

Kaynak Göster

APA Özdemir, H. (2022). Altının Riskten Korunma Etkinliği: Farklı Dinamik Portföy Yaklaşımları İle Bankacılık Sektörü İçin Bir Analiz. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 7(4), 889-908. https://doi.org/10.30784/epfad.1217479
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