Assessing the Hedge and Safe Haven Properties of Gold in Main BIST Sectors via ADCC-GARCH Model: COVID-19 Effects
Özet
In this study, gold’s safe haven and hedge properties for Borsa Istanbul at the sector level during the COVID-19 pandemic is investigated through utilizing the ADCC-GARCH method. Sectors of BIST: technology (XUTEK), industry (XUSIN), financials (XUMAL), services (XUHIZ) and transportation (XULAS) are considered. Empirical results show that gold has acted as a strong hedge and a weak safe haven asset versus all of the five BIST sector indexes during the COVID-19 pandemic. The results may provide insightful information on more robust risk-hedge and diversification strategies for portfolio investors in Türkiye and abroad.
Referanslar
Akarsu, G. (2022, May 13–15) Volatility Spillover Among BIST Sector Indices, S&P500 Index and USD/TRY Exchange Rate: Stochastic Volatility Modelling [Paper presentation]. VI. Anadolu International Conference on Economics, Eskişehir Turkey.
Akhtaruzzaman, M., Boubaker, S., Lucey, B. M. & Sensoy, A. (2021) Is gold a hedge or a safe haven asset in the COVID-19 crisis? Economic Modelling, 102, 105588.
Asker, V. (2022). Investigation of financial performance in the manufacturing sector before and during the COVID-19 Pandemic. Alanya Academic Review, 6 (2), 2261-2274.
Baur, D. G. & McDermott, T. K. (2010) Is gold a safe haven? International evidence. Journal of Banking and Finance, 34 (8), 1886-1898.
Bloomberg (2023) Bloomberg terminal, February 7, 2023.
Canbaloğlu, B. (2022) Gold and stock market linkage: Pre- and Post -COVID-19 Periods. Başkent Üniversitesi Ticari Bilimler Fakültesi Dergisi, (6) 2, 123 – 131.
Cappiello, L., Engle, R. F., & Sheppard, K. (2006) Asymmetric correlations in the dynamics of global equity and bond returns. Journal of Financial Econometrics, 4 (4), 537-572.
Chemka, R., BenSaida, A., Ghorbel, A., & Tavachi, T. (2021) Hedge and safe haven properties during COVID-19: evidence from bitcoin and gold. The Quarterly Review of Economics and Finance, 82, 71-85.
Engle, R. (2002) Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20 (3), 339-350.
Fabris, N. & Ješić, M. (2023) Are gold and bitcoin a safe haven for European indices? Journal of Central Banking Theory and Practice, 1, 27-44.
Gencer, G. & Musoğlu, Z. (2014) The safe haven property of gold in Turkish financial markets: an investigation of the global financial crisis. Bogazici Journal, 28 (2), 75-89.
Gençyürek, A. G. & Ekinci, R. (2022) Safe haven and hedging roles of precious metals for BRICS and Turkey. Borsa Istanbul Review, https://doi.org/10.1016/j.bir.2022.10.013.
Güven, N. & Uzkaralar, M. (2023) The effects of the coronavirus pandemic process on BIST sub-sector indices in Turkey. Alanya Academic Review Journal, 7 (1), 413-428.
Güzel, F. (2022) Volatility interaction of BIST main sector indices: findings on the COVID-19 period. The Journal of Social Economic Research, 22 (2), 128-138.
Hobson, P. (2023a, January 24). Switzerland sent 524 tonnes of gold to China last year, the most since 2018. Thomson Reuters. https://www.reuters.com/markets/commodities/switzerland-sent-524-tonnes-gold-china-last-year-most-since-2018-2023-01-24/ adresinden ulaşılmıştır).
Hobson, P. (2023b, February 21). Switzerland sent $3.6 bln of gold to Turkey in Jan, the most since at least 2012. Thomson Reuters. (10/02/2022 tarihinde https://www.reuters.com/markets/commodities/switzerland-sent-record-breaking-36-bln-gold-turkey-january-2023-02-21/ adresinden ulaşılmıştır).
Katzke, N. (2013) South African sector return correlations: using DCC and ADCC multivariate GARCH techniques to uncover the underlying dynamics. Stellenbosch Economic Working Papers: 17/13.
Kumar, A. S. & Padakandla, S. R. (2022) Testing the safe haven properties of gold and bitcoin in the backdrop of COVID-19: a wavelet quantile correlation approach. Finance Research Letters, 47 (B), 102707.
Kyriazis, N. A. (2022) Investigating the nexus between European major and sectoral stock indices, gold and oil during the COVID-19 pandemic. SN Business & Economics, 1, 57.
Luke, J. (2022, February 3). Gold - the only “safe haven” asset? Schroders. IN FOCUS. (21/06/2022 tarihinde https://www.schroders.com/en-us/us/individual/insights/gold---the-only-safe-haven-asset/
Mensi, W., Yousaf, I., Vinh Vo, X. & Hoon Kang, S. (2022) Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets. Journal of International Financial Markets, Institutions and Money, 76, 101487.
Morales Fernández Rafaelly, R. & Santillán-Salgado, R. (2020). Oil price effect on sectoral stock returns: a conditional covariance and correlation approach for Mexico. Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 16 (1), 1-15.
Önem, H. B. (2021) Analysis of volatility interaction between gold, silver and BIST mining index returns with diagonal VECH GARCH model. OPUS-International Journal of Society Research. 18 (43), 6220-6240.
Özcan, M. (2021) Impact of COVID-19 pandemic on financial performance of tourism and transportation enterprises. OPUS-International Journal of Society Research. 17, 3542-3567.
Özdemir, L. (2020) Asymmetric effects of COVID-19 pandemic on BIST sector indices. Research of Financial Economic and Social Studies. 5 (3), 546-556.
Özdemir, H. (2022) Hedging effectiveness of gold: an analysis for the banking sector with different dynamic portfolio approaches. Journal of Research in Economics, Politics & Finance. 7 (4), 889-908.
Özen, E. & Özdemir, L. (2021) How did COVID-19 pandemic affect the tourism index in Borsa Istanbul? Facta Universitatis Series: Economics and Organization, 18 (3), 229-242.
Padhan, R. & Prabheesh, K. P. (2021) The economics of COVID-19 pandemic: a survey. Economic Policy and Analysis, 70, 220-337.
Salisu, A. A., Raheem, I. D., & Vinh Vo, X. (2021a) Assessing the safe haven property of the gold market during COVID-19 pandemic. International Review of Financial Analysis, 74, 101666.
Salisu, A. A., Vinh Vo, X. & Lucey, B. (2021b) Gold and US sectoral stocks during COVID-19 pandemic. Research in International Business and Finance, 57, 101424.
Sattary, A., Temurlenk, M. S., Bilgiç A. & Çelik, A. K. (2018) Volatility spillovers between world oil market and sectors of BIST. Asian Social Science, 10 (8), 156-164.
Serttaş, F. Ö. (2022) Hedge and safe haven properties of gold and cryptocurrencies for the BIST100 index: the COVID-19 pandemic effects. Ankara Hacı Bayram Veli University Journal of the Faculy of Economics and Administrative Sciences. 24 (2), 622-635.
Şenol, Z. & Başer, R. (2022) The effects of COVID-19 on the banking industry: Evidence from Turkey. Yalova Sosyal Bilimler Dergisi, 12 (2), 28-37.
Şenol, Z. & Otçeken, G. (2021) The effect of COVID-19 on ISE sectors. Research of Financial Economic and Social Studies, 6 (3), 2602-2486.
TCMB (2020). Koronavirüsün Ekonomik ve Finansal Etkilerine Karşı Alınan Tedbirler. Türkiye Cumhuriyet Merkez Bankası. (16/06/2022 tarihinde http://www.tcmb.gov.tr/wps/wcm/connect/TR/TCMB+TR/Main+Menu/Duyurular/Koronavirus/ adresinden ulaşılmıştır).
Tuna, K. (2022) The effects of volatilities in oil price, gold price and VIX index on Turkish BIST 100 stock index in pandemic period. Istanbul Journal of Economics, 1, 39-54.
Tüzemen, S. (2021) Analysis of the asymmetrical effect of oil prices on service sector stock prices in Turkey. Ataturk University Journal of Economics and Administrative Sciences. 35 (2), 649-665.
Tüzemen, S. & Köseoğlu, M. (2018) Do negative oil price shocks affect the industrial sector prices more than positive shocks? A bivariate EGARCH analysis for Turkey. Social Sciences Research Journal, 1 (1), 1-15.
Ustaoglu, E. (2022) Safe haven properties and portfolio applications of cryptocurrencies: evidence from the emerging markets. Finance Research Letters, 47, 102716.
Uysal, M. (2021). Analysis of the relationship between precious metals and stock markets: application on Borsa Istanbul commercial sectors. Fiscaoeconomia. 5 (2), 652-669.
Wen, F., Tong, X., & Ren, X. (2022) Gold or bitcoin, which is the safe haven during the COVID-19 pandemic? International Review of Financial Analysis, 81, 102121.
World Gold Council. (2023). Gold spot prices. (26/04/2022 tarihinde https://www.gold.org/goldhub/data/gold-prices adresinden ulaşılmıştır).
Yildirim, H., Boyaci Yildirim, M., & Limoncuoğlu, A. (2021) Escape from COVID-19 pandemic to safe haven Journal of Public Affairs, 21, e2728.
Referanslar
Akarsu, G. (2022, May 13–15) Volatility Spillover Among BIST Sector Indices, S&P500 Index and USD/TRY Exchange Rate: Stochastic Volatility Modelling [Paper presentation]. VI. Anadolu International Conference on Economics, Eskişehir Turkey.
Akhtaruzzaman, M., Boubaker, S., Lucey, B. M. & Sensoy, A. (2021) Is gold a hedge or a safe haven asset in the COVID-19 crisis? Economic Modelling, 102, 105588.
Asker, V. (2022). Investigation of financial performance in the manufacturing sector before and during the COVID-19 Pandemic. Alanya Academic Review, 6 (2), 2261-2274.
Baur, D. G. & McDermott, T. K. (2010) Is gold a safe haven? International evidence. Journal of Banking and Finance, 34 (8), 1886-1898.
Bloomberg (2023) Bloomberg terminal, February 7, 2023.
Canbaloğlu, B. (2022) Gold and stock market linkage: Pre- and Post -COVID-19 Periods. Başkent Üniversitesi Ticari Bilimler Fakültesi Dergisi, (6) 2, 123 – 131.
Cappiello, L., Engle, R. F., & Sheppard, K. (2006) Asymmetric correlations in the dynamics of global equity and bond returns. Journal of Financial Econometrics, 4 (4), 537-572.
Chemka, R., BenSaida, A., Ghorbel, A., & Tavachi, T. (2021) Hedge and safe haven properties during COVID-19: evidence from bitcoin and gold. The Quarterly Review of Economics and Finance, 82, 71-85.
Engle, R. (2002) Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20 (3), 339-350.
Fabris, N. & Ješić, M. (2023) Are gold and bitcoin a safe haven for European indices? Journal of Central Banking Theory and Practice, 1, 27-44.
Gencer, G. & Musoğlu, Z. (2014) The safe haven property of gold in Turkish financial markets: an investigation of the global financial crisis. Bogazici Journal, 28 (2), 75-89.
Gençyürek, A. G. & Ekinci, R. (2022) Safe haven and hedging roles of precious metals for BRICS and Turkey. Borsa Istanbul Review, https://doi.org/10.1016/j.bir.2022.10.013.
Güven, N. & Uzkaralar, M. (2023) The effects of the coronavirus pandemic process on BIST sub-sector indices in Turkey. Alanya Academic Review Journal, 7 (1), 413-428.
Güzel, F. (2022) Volatility interaction of BIST main sector indices: findings on the COVID-19 period. The Journal of Social Economic Research, 22 (2), 128-138.
Hobson, P. (2023a, January 24). Switzerland sent 524 tonnes of gold to China last year, the most since 2018. Thomson Reuters. https://www.reuters.com/markets/commodities/switzerland-sent-524-tonnes-gold-china-last-year-most-since-2018-2023-01-24/ adresinden ulaşılmıştır).
Hobson, P. (2023b, February 21). Switzerland sent $3.6 bln of gold to Turkey in Jan, the most since at least 2012. Thomson Reuters. (10/02/2022 tarihinde https://www.reuters.com/markets/commodities/switzerland-sent-record-breaking-36-bln-gold-turkey-january-2023-02-21/ adresinden ulaşılmıştır).
Katzke, N. (2013) South African sector return correlations: using DCC and ADCC multivariate GARCH techniques to uncover the underlying dynamics. Stellenbosch Economic Working Papers: 17/13.
Kumar, A. S. & Padakandla, S. R. (2022) Testing the safe haven properties of gold and bitcoin in the backdrop of COVID-19: a wavelet quantile correlation approach. Finance Research Letters, 47 (B), 102707.
Kyriazis, N. A. (2022) Investigating the nexus between European major and sectoral stock indices, gold and oil during the COVID-19 pandemic. SN Business & Economics, 1, 57.
Luke, J. (2022, February 3). Gold - the only “safe haven” asset? Schroders. IN FOCUS. (21/06/2022 tarihinde https://www.schroders.com/en-us/us/individual/insights/gold---the-only-safe-haven-asset/
Mensi, W., Yousaf, I., Vinh Vo, X. & Hoon Kang, S. (2022) Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets. Journal of International Financial Markets, Institutions and Money, 76, 101487.
Morales Fernández Rafaelly, R. & Santillán-Salgado, R. (2020). Oil price effect on sectoral stock returns: a conditional covariance and correlation approach for Mexico. Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 16 (1), 1-15.
Önem, H. B. (2021) Analysis of volatility interaction between gold, silver and BIST mining index returns with diagonal VECH GARCH model. OPUS-International Journal of Society Research. 18 (43), 6220-6240.
Özcan, M. (2021) Impact of COVID-19 pandemic on financial performance of tourism and transportation enterprises. OPUS-International Journal of Society Research. 17, 3542-3567.
Özdemir, L. (2020) Asymmetric effects of COVID-19 pandemic on BIST sector indices. Research of Financial Economic and Social Studies. 5 (3), 546-556.
Özdemir, H. (2022) Hedging effectiveness of gold: an analysis for the banking sector with different dynamic portfolio approaches. Journal of Research in Economics, Politics & Finance. 7 (4), 889-908.
Özen, E. & Özdemir, L. (2021) How did COVID-19 pandemic affect the tourism index in Borsa Istanbul? Facta Universitatis Series: Economics and Organization, 18 (3), 229-242.
Padhan, R. & Prabheesh, K. P. (2021) The economics of COVID-19 pandemic: a survey. Economic Policy and Analysis, 70, 220-337.
Salisu, A. A., Raheem, I. D., & Vinh Vo, X. (2021a) Assessing the safe haven property of the gold market during COVID-19 pandemic. International Review of Financial Analysis, 74, 101666.
Salisu, A. A., Vinh Vo, X. & Lucey, B. (2021b) Gold and US sectoral stocks during COVID-19 pandemic. Research in International Business and Finance, 57, 101424.
Sattary, A., Temurlenk, M. S., Bilgiç A. & Çelik, A. K. (2018) Volatility spillovers between world oil market and sectors of BIST. Asian Social Science, 10 (8), 156-164.
Serttaş, F. Ö. (2022) Hedge and safe haven properties of gold and cryptocurrencies for the BIST100 index: the COVID-19 pandemic effects. Ankara Hacı Bayram Veli University Journal of the Faculy of Economics and Administrative Sciences. 24 (2), 622-635.
Şenol, Z. & Başer, R. (2022) The effects of COVID-19 on the banking industry: Evidence from Turkey. Yalova Sosyal Bilimler Dergisi, 12 (2), 28-37.
Şenol, Z. & Otçeken, G. (2021) The effect of COVID-19 on ISE sectors. Research of Financial Economic and Social Studies, 6 (3), 2602-2486.
TCMB (2020). Koronavirüsün Ekonomik ve Finansal Etkilerine Karşı Alınan Tedbirler. Türkiye Cumhuriyet Merkez Bankası. (16/06/2022 tarihinde http://www.tcmb.gov.tr/wps/wcm/connect/TR/TCMB+TR/Main+Menu/Duyurular/Koronavirus/ adresinden ulaşılmıştır).
Tuna, K. (2022) The effects of volatilities in oil price, gold price and VIX index on Turkish BIST 100 stock index in pandemic period. Istanbul Journal of Economics, 1, 39-54.
Tüzemen, S. (2021) Analysis of the asymmetrical effect of oil prices on service sector stock prices in Turkey. Ataturk University Journal of Economics and Administrative Sciences. 35 (2), 649-665.
Tüzemen, S. & Köseoğlu, M. (2018) Do negative oil price shocks affect the industrial sector prices more than positive shocks? A bivariate EGARCH analysis for Turkey. Social Sciences Research Journal, 1 (1), 1-15.
Ustaoglu, E. (2022) Safe haven properties and portfolio applications of cryptocurrencies: evidence from the emerging markets. Finance Research Letters, 47, 102716.
Uysal, M. (2021). Analysis of the relationship between precious metals and stock markets: application on Borsa Istanbul commercial sectors. Fiscaoeconomia. 5 (2), 652-669.
Wen, F., Tong, X., & Ren, X. (2022) Gold or bitcoin, which is the safe haven during the COVID-19 pandemic? International Review of Financial Analysis, 81, 102121.
World Gold Council. (2023). Gold spot prices. (26/04/2022 tarihinde https://www.gold.org/goldhub/data/gold-prices adresinden ulaşılmıştır).
Yildirim, H., Boyaci Yildirim, M., & Limoncuoğlu, A. (2021) Escape from COVID-19 pandemic to safe haven Journal of Public Affairs, 21, e2728.
