EFFECT OF GOLD PRICE VOLATILITY ON STOCK RETURNS: EXAMPLE OF TURKEY

Autor:	YILDIZ CONTUK, Filiz, BURUCU, Hümeyra, GÜNGÖR, Bener
Rok vydání:	2013
Předmět:	Gold Prices Stock Returns GARCH modeling
Zdroj:	Volume: 5, Issue: 1 119-140 International Journal of Economics and Finance Studies
ISSN:	1309-8055
Popis:	This study analyzes the effect of fluctuations in gold prices on ISE 100 index using daily prices and the index data from 01.01.2009 to 31.12.2012. The raw data has been converted into earnings yields and analyzed. The study first determines whether or not the use of a GARCH model would be appropriate using a heteroskedasticity test. The test results show that there was an ARCH effect in both variables, and that GARCH modeling could be used. The results obtained from MGARCH modeling show that gold and stock exchange yields have been affected both by their own shocks and by shocks of each other.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=tubitakulakb::b70e2c8f02fbddcf0a5627f19e24e920 https://dergipark.org.tr/tr/pub/ijefs/issue/26160/275542 Zobrazit plný text záznamu