Financial market risk and gold investment in an emerging market: the case of Turkey
This study aims to identify the opportunity cost of holding gold, in relation to the stock market for case of Turkey. The focus is to detect if gold acts as a safe haven or a hedge asset in times of distress. The Threshold GARCH (TARCH) model was utilized. The analysis used daily data for the peri...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
IIUM Press
2017
|
| Subjects: | |
| Online Access: | http://irep.iium.edu.my/61090/ http://irep.iium.edu.my/61090/ http://irep.iium.edu.my/61090/1/258-1-678-1-10-20171231.pdf |
| Summary: | This study aims to identify the opportunity cost of holding gold, in relation to the stock market for case of Turkey.
The focus is to detect if gold acts as a safe haven or a hedge asset in times of distress. The Threshold GARCH
(TARCH) model was utilized. The analysis used daily data for the period 2005-2014. The data for selling prices of
gold was represented by selling prices derived from Precious Metals and Diamonds Markets (PMDM). The returns on
Borsa Istanbul (BIS) was employed to represent aggregate prices of stock market investment. It was found that gold
has safe haven asset features which shows that gold outperforms the average portfolio during times when stock
market faces distress. |
|---|