A Study on the Dependency Between Selected Global Stock Markets and Gold and Silver Futures

Ozan Kaymak

doi:10.37880/cumuiibf.1516047

EN TR

A Study on the Dependency Between Selected Global Stock Markets and Gold and Silver Futures

Abstract

Globalization has enabled greater volume and frequency of economic and commercial practices to be implemented worldwide. As a result, with the expansion of the scope of capital expansion, the interdependence of financial markets increases. However, negative developments such as economic crises, epidemics, wars, and uncontrolled migrations cause the relations between markets to weaken and a significant number of investors to turn to commodity investments. This study aims to evaluate the validity of the Capital Asset Pricing Model (CAPM) theorem, which posits that the expected returns of financial assets are influenced by systematic and unsystematic risks within the context of the selected market data for the specified period. Specifically, the study seeks to analyze the potential cointegration and the effects of gold and silver futures returns on the returns of selected global stock markets using time-series analysis. The potential relationships between the monthly returns of selected global stock indices and the monthly returns of gold and silver futures were analyzed for the period from January 2014 to May 2024 using the Autoregressive Distributed Lag (ARDL) Bound Test method. By calculating the error correction coefficients, it has been determined how long it takes to restore the balance in case the balance between the stock markets and commodity markets is disrupted. As a result of the research, it was determined that there is a long-term cointegration relationship between gold and silver futures index returns and selected global stock index returns. In the case of a short-term imbalance in the relationship between the yields of selected global indices and the index returns of gold and silver-term transactions, the balance was recovered within 0.9042 months for the index return of gold-term operations and 0.6549 months for the index return of silver-term operations.

Keywords

Seçili Küresel Hisse Senedi Piyasaları ile Altın ve Gümüş Vadeli İşlemleri Arasındaki Bağımlılık Üzerine Bir Araştırma

Öz

Küreselleşme, ekonomik ve ticari pratiklerin dünya genelinde daha yüksek hacim ve frekansta uygulanabilmesine olanak tanımıştır. Bunun sonucunda sermaye yayılımlarının etki alanlarının genişlemesiyle, finansal piyasaların karşılıklı bağımlılıklarının arttığı söylenebilir. Ancak ekonomik krizler, salgın hastalıklar, savaşlar ve kontrolsüz göçler gibi olumsuz gelişmeler, piyasalar arasındaki ilişkilerin zayıflamasına ve anlamlı sayıda yatırımcının emtia yatırımlarına yönelmesine yol açmaktadır. Bu çalışmada; Sermaye Varlıkları Fiyatlandırma Modeli (CAPM), sistematik ve sistematik olmayan riskler karşısında seçilen finansal varlıkların beklenen getirilerinin değişeceği teoreminin seçilen piyasa verilerinin ilgili dönemde geçerli olup olmadığı araştırılmıştır. Çalışmanın amacı, altın ve gümüş vadeli işlem getirileri arasındaki olası eşbütünleşmeyi ve bunların seçilmiş küresel hisse senedi piyasaları getirileri üzerindeki etkisini zaman serisi analizleri ile incelemektir. Bu çalışmanın amacı; seçili küresel hisse senedi piyasaları ile altın ve gümüş vadeli işlemleri arasındaki muhtemel eşbütünleşme ilişkisinin zaman serisi analizleri ile incelenmesidir. 2014 Ocak ile 2024 Mayıs döneminde, seçili küresel hisse senedi endekslerinin aylık getirileri ile altın ve gümüş vadeli işlemleri aylık endeks getirileri arasındaki muhtemel ilişkiler Gecikmesi Dağıtılmış Otoregresif Sınır Testi (ARDL) Yöntemine göre incelenmiştir. Hata düzeltme katsayılarının hesaplanmasıyla, hisse senedi piyasaları ile emtia piyasaları arasındaki dengenin bozulması durumunda, dengenin ne kadarlık bir sürede yeniden sağlanabildiği tespit edilmiştir. Araştırmanın sonucunda altın ve gümüş vadeli işlemleri endeks getirileri ile seçili küresel hisse senedi endeks getirileri arasında uzun dönemli eşbütünleşme ilişkisinin var olduğu tespit edilmiştir. Seçili küresel endekslere ait getiriler ile altın ve gümüş vadeli işlemleri endeks getirileri arasındaki ilişkide kısa dönemde dengenin bozulması durumunda, altın vadeli işlemleri endeks getirileri için 0.9042 ay, gümüş vadeli işlemleri endeks getirileri için ise 0.6549 içinde dengenin yeniden sağlandığı tespit edilmiştir.

Anahtar Kelimeler

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Details

Primary Language

English

Subjects

Finance , Finance and Investment (Other)

Journal Section

Research Article

Authors

Ozan Kaymak ^*
0000-0001-5492-2877
Türkiye

Early Pub Date

January 19, 2025

Publication Date

January 21, 2025

Submission Date

July 14, 2024

Acceptance Date

October 28, 2024

Published in Issue

Year 2025 Volume: 26 Number: 1

DOI

https://doi.org/10.37880/cumuiibf.1516047

IZ

https://izlik.org/JA89XM23RJ

Cite

RIS / Bibtex

APA

Kaymak, O. (2025). A Study on the Dependency Between Selected Global Stock Markets and Gold and Silver Futures. Cumhuriyet Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 26(1), 50-64. https://doi.org/10.37880/cumuiibf.1516047