Analysis of the Relationship Between Precious Metals and Stock Markets: Application on Borsa Istanbul Commercial Sectors

Authors : Mustafa UYSAL

Pages : 652-669

Doi:10.25295/fsecon.903097

View : 29 | Download : 9

Publication Date : 2021-05-17

Article Type : Research Paper

Abstract :The relationship between different commercial sectors’ stocks and precious metals is vital in terms of diversification in portfolio investments. For this purpose, in this study, it is aimed to investigate the long-term association between stock markets belonging to commercial sectors and precious metals. One hundred nine monthly data related to the variables discussed between January 2011 and January 2020 were used. Before the cointegration analysis, the stationarities of the series were determined with Carrion-i Silvestre insert ignore into journalissuearticles values(2009); insert ignore into journalissuearticles values(CS); unit root test, which allowed up to five structural breaks. Maki insert ignore into journalissuearticles values(2012); cointegration analysis was applied to the series, which is the first aware stationary, with five structural breaks. Finally, the causal relationship among variables was investigated with Hatemi-J insert ignore into journalissuearticles values(2012); Asymmetric causality test. According to the results obtained, the stock markets were analyzed, and the prices of gold and silver were co-integrated. Besides, a bilateral causality has been reached between gold and silver prices, other than the stock market of the banking sector, and from the silver prices to the banking stock market.
Keywords : Portfolio Diversification, Maki Cointegration Analysis, Hatemi J Causality Analysis

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