Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals

İsmail Çelik; Arife Özdemir; Samet Gürsoy; Hande Uzunoğlu Ünlü

doi:10.21121/eab.2018237351

Araştırma Makalesi

Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals

Yıl 2018, Cilt: 18 Sayı: 2, 217 - 230, 01.04.2018

İsmail Çelik Arife Özdemir Samet Gürsoy Hande Uzunoğlu Ünlü

https://doi.org/10.21121/eab.2018237351

Cited By: 8

Öz

This study aims to reveal the return and volatility

spillovers between developing/emerging country

stock market indexes and precious metals that

investors recently have concentrated on issues such

as portfolio diversification and hedging. As a result

of the multivariate VAR-EGARCH analysis, negative

information shocks for precious metals have been

found to be more dominant.

It is proved that from gold returns to the equity

markets of Indonesia, India, Brazil, Turkey have

positive spillover, also from Brent oil returns to the

equity markets of India, Brazil, Turkey have negative

return spillover. The only market in which both of

precious metals have positive return spillover has

been the South African market. According to the

results of the model’s variance equation, there is

no volatility spillover to the Turkish equity markets

from precious metals therefore the result is that

Turkish equity market is stronger compared to

other countries’ markets.

Anahtar Kelimeler

Return and Volatility Spillover, Multivariate VAR-EGARCH, Precious Metals

Kaynakça

Arouri, M., Lahiani, A. ve Nguyen, D. (2015) “World Gold Prices and Stock Returns in China: Insights for Hedging and Diversification Strategies”, Economic Modelling, 44: 273-282.
Bhar, R. ve Nikolova, B. (2010) “Global Oil Prices, Oil Industry and Equity Returns: Russian Experience”, Scottish Journal of Political Economy, 57(2): 169-186.
Batten, J. A., Ciner, C. ve Lucey, B.M. (2015) “Which Precious Metals Spill Over On Which, When And Why? Some Evidence”, Applied Economics Letters, 22: 466-473.
Basher, S. A. ve Sadorsky, P. (2016) “Hedging Emerging Market Stock Prices with Oil, Gold, VIX, and Bonds: A Comparison Between DCC, ADCC and GO-GARCH”, Energy Economics, 54: 235-247.
Bollerslev, T. (1986) “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31(3): 307-327.
Bouri, E., Molnar, P., Azzi, G., Roubaud, D. ve Hagfors, L. I. (2017) “On the Hedge and Safe Haven Properties of Bitcoin: Is it Really More than Diversifier?”, Finance Research Letters, 20: 192-198.
Boubaker, H. ve Raza, S. A. (2017) “A Wavelet Analysis of Mean and Volatility Spillovers Between Oil and BRICS Stock Markets”, Energy Economics, 64: 105-117.
Brooks, C. ve Prokopczuky, M. (2013) “The Dynamics of Commodity Prices”, Quantitative Finance, 13(4): 1-44.
Büyükşahin, B., Haigh, M. S. ve Robe, M. A. (2008) “Commodities and Equities: A Market of One ?”, The Economist, 1-47.
Chang, C. L., McAleer, M. ve Tansuchat, R. (2013) “Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns”, The North American Journal of Economics and Finance, 25, 116-138.
Ciner, C. (2013) “Oil and Stock Returns: Frequency Domain Evidence”, Journal of International Financial Markets, Institutions & Money, 23: 1-11.
Çevik, E. İ. ve Pekkaya, M. (2007) “Spot Ve Vadeli İşlem Fiyatlarının Varyansları Arasındaki Nedensellik Testi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(2): 49-66.
Dickey, D. A. ve Fuller, W. A. (1979), Distribution Of The Estimators For Autoregressive Time Series With A Unit Root. Journal of The American Statistical Association, 74: 427-431.
Dickey, D. A. ve Fuller, W. A. (1981) “Likelihood Ratio Satatistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4): 1057-1072.
Engle, R. F. (1982) “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United”, Econometrica, 50(4): 987-1007.
Engle, R. F. ve Ng, V. K. (1993) “Measuring and Testing The Impact Of News On Volatility” The Journal of Finance, 48(5), 1749-1778.
Ewing, B.T. ve Malik, F. (2013) “Volatility Transmission Between Gold and Oil Futures Under Structural Breaks”, International Review of Economics and Finance, 25,: 113- 121.
Gokmenoglu, K. K. ve Fazlollahi, N. (2015) “The Interactions among Gold, Oil, and Stock Market: Evidence From S&P 500”, Procedia Economics and Finance, 25: 478-488.
Granger C.W.J. ve Newbold P. (1974) “Spurious Regressions In Economics”, Journal of Econometrics, 2: 111-120.
Gujarati, D. N. ve Porter, D.C. (2012) “ Temel Ekonometri”, 1. Baskı, (5. Baskıdan Çeviri Ümit Şenesen ve Gülay Günlük Şenesen), İstanbul, Literatür Yayıncılık.
Hammoudeha, S. ve Choi, K. (2007) “Characteristics of Permanent and Transitory Returns in Oil-Sensitive Emerging Stock Markets: The Case of GCC Countries”, International Financial Markets, Institutions And Money, 17: 231-245.
Hossenidoust, E., Janor, H., Yusefi, M. ve Majid, H. A. (2013) “Volatility Spillovers Across Commodity and Stock Markets Among ASEAN Countries”, Prosiding Perkem VIII, JILID 3, 1401-1412.
Kaltalıoğlu, M. ve Soytaş, U. (2011) “Volatility Spillover from Oil to Food and Agricultural Raw Material Markets”, Modern Economy, 2: 71-76.
Koutmos, G. (1996) “Modeling the Dynamic Interdependence of Major European Stock Markets”, Journal of Business Finance & Accounting, 23(7): 975-988. Koutmos, G. ve Booth, G. (1995) “Asymmetric Volatility Transmission in International Stock Markets”, Journal of International Money and Finance, 14: 747-762.
MacKinnon, J. G. (1991) “Critical Values for Cointegration Tests”, R. F. Engle and C. W. J. Granger (eds), Long-run Economic Relationships: Readings in Cointegration içerisinde, Ch. 13, pp. 267–76, Oxford: Oxford University Press.
Mensi, W., Beljid, M., Boubaker, A. ve Managi, S. (2013) “Correlations and Volatility Spillovers Across Commodity and Stock Markets: Linking Energies, Food and Gold”, Economic Modelling, 32: 15-22.
Mensi, W., Hammoudeh, Shawkat, ve Kang, H. S. (2015) “Precious Metals, Cereal, Oil And Stock Market Linkages And Portfolio Risk Management: Evidence from Saudi Arabia”, Economic Modelling, 51: 340-358.
Nelson, D. (1991) “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, 59(2): 347-370.
Palakkod, S. (2012) “Integration of Capital, Commodity and Currency Markets: A Study on Volatility Spillover”, The Romanian Economic Journal, Year 15, 44: 87-100. Phillips, P.C. ve Perron, P. (1988) “Testing for Unit Roots in Time Series Regression”, Biometrika, 75: 335-346.
Sari, R., Hammoudeh, S., ve Soytas, U. (2010) “Dynamics Of Oil Price, Precious Metal Prices, And Exchange Rate”, Energy Economics, 32: 351–362.
Sadorsky, P. (2014) “Modeling Volatility and Correlations Between Emerging Market Stock PRices and the Prices of Copper, Oil and Wheat”, Energy Economics, 43: 72-81.
Sattary, A., Temurlenk, M. S., Bilgiç, A. ve Çelik, A. K. (2014) “Volatility Spillovers Between World Oil Market and Sectors of BIST”, AsianSocial Science, 19(8): 156-164.
Soytas, U., Sari, R., Hammoudeh, S. ve Hacihasanoglu, E. (2009) “The Oil Prices, Precious Metal Prices And Macroeconomy İn Turkey”, Energy Policy, 37: 5557–5566.
Tsay, R. S. (2002) “Analysis of Financial Time Series”, United State of America, John Wiley & Sons.
Tarı, R. (2010) “Ekonometri”, Kocaeli, Umuttepe Yayınları. Uludag, B. K., ve Lkhamazhapov, Z. (2014) “Long Memory And Structural Breaks In The Returns And Volatility Of Gold: Evidence From Turkey”, Applied Economics, 46(31): 3777- 3787.
Yavuz, Ç. N. ( 2015) “Finansal Ekonometri”, İstanbul, Der Yayınları.

Yıl 2018, Cilt: 18 Sayı: 2, 217 - 230, 01.04.2018

İsmail Çelik Arife Özdemir Samet Gürsoy Hande Uzunoğlu Ünlü

https://doi.org/10.21121/eab.2018237351

Cited By: 8

Öz

Kaynakça

Arouri, M., Lahiani, A. ve Nguyen, D. (2015) “World Gold Prices and Stock Returns in China: Insights for Hedging and Diversification Strategies”, Economic Modelling, 44: 273-282.
Bhar, R. ve Nikolova, B. (2010) “Global Oil Prices, Oil Industry and Equity Returns: Russian Experience”, Scottish Journal of Political Economy, 57(2): 169-186.
Batten, J. A., Ciner, C. ve Lucey, B.M. (2015) “Which Precious Metals Spill Over On Which, When And Why? Some Evidence”, Applied Economics Letters, 22: 466-473.
Basher, S. A. ve Sadorsky, P. (2016) “Hedging Emerging Market Stock Prices with Oil, Gold, VIX, and Bonds: A Comparison Between DCC, ADCC and GO-GARCH”, Energy Economics, 54: 235-247.
Bollerslev, T. (1986) “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31(3): 307-327.
Bouri, E., Molnar, P., Azzi, G., Roubaud, D. ve Hagfors, L. I. (2017) “On the Hedge and Safe Haven Properties of Bitcoin: Is it Really More than Diversifier?”, Finance Research Letters, 20: 192-198.
Boubaker, H. ve Raza, S. A. (2017) “A Wavelet Analysis of Mean and Volatility Spillovers Between Oil and BRICS Stock Markets”, Energy Economics, 64: 105-117.
Brooks, C. ve Prokopczuky, M. (2013) “The Dynamics of Commodity Prices”, Quantitative Finance, 13(4): 1-44.
Büyükşahin, B., Haigh, M. S. ve Robe, M. A. (2008) “Commodities and Equities: A Market of One ?”, The Economist, 1-47.
Chang, C. L., McAleer, M. ve Tansuchat, R. (2013) “Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns”, The North American Journal of Economics and Finance, 25, 116-138.
Ciner, C. (2013) “Oil and Stock Returns: Frequency Domain Evidence”, Journal of International Financial Markets, Institutions & Money, 23: 1-11.
Çevik, E. İ. ve Pekkaya, M. (2007) “Spot Ve Vadeli İşlem Fiyatlarının Varyansları Arasındaki Nedensellik Testi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(2): 49-66.
Dickey, D. A. ve Fuller, W. A. (1979), Distribution Of The Estimators For Autoregressive Time Series With A Unit Root. Journal of The American Statistical Association, 74: 427-431.
Dickey, D. A. ve Fuller, W. A. (1981) “Likelihood Ratio Satatistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4): 1057-1072.
Engle, R. F. (1982) “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United”, Econometrica, 50(4): 987-1007.
Engle, R. F. ve Ng, V. K. (1993) “Measuring and Testing The Impact Of News On Volatility” The Journal of Finance, 48(5), 1749-1778.
Ewing, B.T. ve Malik, F. (2013) “Volatility Transmission Between Gold and Oil Futures Under Structural Breaks”, International Review of Economics and Finance, 25,: 113- 121.
Gokmenoglu, K. K. ve Fazlollahi, N. (2015) “The Interactions among Gold, Oil, and Stock Market: Evidence From S&P 500”, Procedia Economics and Finance, 25: 478-488.
Granger C.W.J. ve Newbold P. (1974) “Spurious Regressions In Economics”, Journal of Econometrics, 2: 111-120.
Gujarati, D. N. ve Porter, D.C. (2012) “ Temel Ekonometri”, 1. Baskı, (5. Baskıdan Çeviri Ümit Şenesen ve Gülay Günlük Şenesen), İstanbul, Literatür Yayıncılık.
Hammoudeha, S. ve Choi, K. (2007) “Characteristics of Permanent and Transitory Returns in Oil-Sensitive Emerging Stock Markets: The Case of GCC Countries”, International Financial Markets, Institutions And Money, 17: 231-245.
Hossenidoust, E., Janor, H., Yusefi, M. ve Majid, H. A. (2013) “Volatility Spillovers Across Commodity and Stock Markets Among ASEAN Countries”, Prosiding Perkem VIII, JILID 3, 1401-1412.
Kaltalıoğlu, M. ve Soytaş, U. (2011) “Volatility Spillover from Oil to Food and Agricultural Raw Material Markets”, Modern Economy, 2: 71-76.
Koutmos, G. (1996) “Modeling the Dynamic Interdependence of Major European Stock Markets”, Journal of Business Finance & Accounting, 23(7): 975-988. Koutmos, G. ve Booth, G. (1995) “Asymmetric Volatility Transmission in International Stock Markets”, Journal of International Money and Finance, 14: 747-762.
MacKinnon, J. G. (1991) “Critical Values for Cointegration Tests”, R. F. Engle and C. W. J. Granger (eds), Long-run Economic Relationships: Readings in Cointegration içerisinde, Ch. 13, pp. 267–76, Oxford: Oxford University Press.
Mensi, W., Beljid, M., Boubaker, A. ve Managi, S. (2013) “Correlations and Volatility Spillovers Across Commodity and Stock Markets: Linking Energies, Food and Gold”, Economic Modelling, 32: 15-22.
Mensi, W., Hammoudeh, Shawkat, ve Kang, H. S. (2015) “Precious Metals, Cereal, Oil And Stock Market Linkages And Portfolio Risk Management: Evidence from Saudi Arabia”, Economic Modelling, 51: 340-358.
Nelson, D. (1991) “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, 59(2): 347-370.
Palakkod, S. (2012) “Integration of Capital, Commodity and Currency Markets: A Study on Volatility Spillover”, The Romanian Economic Journal, Year 15, 44: 87-100. Phillips, P.C. ve Perron, P. (1988) “Testing for Unit Roots in Time Series Regression”, Biometrika, 75: 335-346.
Sari, R., Hammoudeh, S., ve Soytas, U. (2010) “Dynamics Of Oil Price, Precious Metal Prices, And Exchange Rate”, Energy Economics, 32: 351–362.
Sadorsky, P. (2014) “Modeling Volatility and Correlations Between Emerging Market Stock PRices and the Prices of Copper, Oil and Wheat”, Energy Economics, 43: 72-81.
Sattary, A., Temurlenk, M. S., Bilgiç, A. ve Çelik, A. K. (2014) “Volatility Spillovers Between World Oil Market and Sectors of BIST”, AsianSocial Science, 19(8): 156-164.
Soytas, U., Sari, R., Hammoudeh, S. ve Hacihasanoglu, E. (2009) “The Oil Prices, Precious Metal Prices And Macroeconomy İn Turkey”, Energy Policy, 37: 5557–5566.
Tsay, R. S. (2002) “Analysis of Financial Time Series”, United State of America, John Wiley & Sons.
Tarı, R. (2010) “Ekonometri”, Kocaeli, Umuttepe Yayınları. Uludag, B. K., ve Lkhamazhapov, Z. (2014) “Long Memory And Structural Breaks In The Returns And Volatility Of Gold: Evidence From Turkey”, Applied Economics, 46(31): 3777- 3787.
Yavuz, Ç. N. ( 2015) “Finansal Ekonometri”, İstanbul, Der Yayınları.

Toplam 36 adet kaynakça vardır.

Ayrıntılar

Birincil Dil	Türkçe
Konular	Ekonomi
Bölüm	Araştırma Makalesi
Yazarlar	İsmail Çelik 0000-0002-6330-754X Arife Özdemir 0000-0002-9902-9174 Samet Gürsoy 0000-0003-1020-7438 Hande Uzunoğlu Ünlü Bu kişi benim 0000-0002-7719-5163
Yayımlanma Tarihi	1 Nisan 2018
Yayımlandığı Sayı	Yıl 2018 Cilt: 18 Sayı: 2

Kaynak Göster

APA	Çelik, İ., Özdemir, A., Gürsoy, S., Uzunoğlu Ünlü, H. (2018). Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals. Ege Academic Review, 18(2), 217-230. https://doi.org/10.21121/eab.2018237351
AMA	Çelik İ, Özdemir A, Gürsoy S, Uzunoğlu Ünlü H. Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals. eab. Nisan 2018;18(2):217-230. doi:10.21121/eab.2018237351
Chicago	Çelik, İsmail, Arife Özdemir, Samet Gürsoy, ve Hande Uzunoğlu Ünlü. “Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals”. Ege Academic Review 18, sy. 2 (Nisan 2018): 217-30. https://doi.org/10.21121/eab.2018237351.
EndNote	Çelik İ, Özdemir A, Gürsoy S, Uzunoğlu Ünlü H (01 Nisan 2018) Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals. Ege Academic Review 18 2 217–230.
IEEE	İ. Çelik, A. Özdemir, S. Gürsoy, ve H. Uzunoğlu Ünlü, “Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals”, eab, c. 18, sy. 2, ss. 217–230, 2018, doi: 10.21121/eab.2018237351.
ISNAD	Çelik, İsmail vd. “Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals”. Ege Academic Review 18/2 (Nisan 2018), 217-230. https://doi.org/10.21121/eab.2018237351.
JAMA	Çelik İ, Özdemir A, Gürsoy S, Uzunoğlu Ünlü H. Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals. eab. 2018;18:217–230.
MLA	Çelik, İsmail vd. “Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals”. Ege Academic Review, c. 18, sy. 2, 2018, ss. 217-30, doi:10.21121/eab.2018237351.
Vancouver	Çelik İ, Özdemir A, Gürsoy S, Uzunoğlu Ünlü H. Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals. eab. 2018;18(2):217-30.