A Review on the Interaction Among Gold, Equity, Currency Markets, and the Volatility Spillover Effect During the Post-2000 Era in Türkiye

Nazan Şak () and Hatice Gökçen Öcal Özkaya ()
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Nazan Şak: Marmara Üniversitesi, İktisat Fakültesi, Ekonometri Bölümü, İstanbul, Türkiye.
Hatice Gökçen Öcal Özkaya: Marmara Üniversitesi, Finansal Bilimler Fakültesi, Sermaye Piyasası Bölümü, İstanbul, Türkiye.

EKOIST Journal of Econometrics and Statistics, 2022, vol. 0, issue 37, 237-256

Abstract: Volatility is the upward and downward movements in the prices of financial assets that are used as indicators of price and involves the income fluctuation levels of investment instruments. Volatility has great importance in assessing risk and uncertainty as a significant measurement. The facts that volatility in one market affects other markets and that volatility spreads to other markets show considerable increase after financial liberalization processes. This study aims to investigate the interaction of financial assets with one another during the post-2000 period when the volatility spillover effect showed an acceleration. The study examines the volatility spillover effect among the US Dollar, the Euro, gold, and the BIST 100 using Diebold and Yılmaz’s (2012) approach. The analysis uses daily data between January 17, 2000 and August 31, 2022. According to the findings, the volatility spillover index among the US Dollar, the Euro, gold, and the BIST 100 was found to be 46.9%. Within the period under discussion, the lowest volatility spillover level after 2000 occurred in 2012, a sudden increase occurred in 2013, and an increasing trend occurred after 2017 regarding the volatility spillover. Due to the global pandemic, the volatility spillover effectstill maintains an increasing trend. The study has shown the Euro and the US Dollar to generally be the transmitters of volatility, with gold and the BIST 100 Index being the receivers of the volatility. Meanwhile, the study also examined the bilateral relationships throughout almost the entire period and concluded gold to be affected by US Dollar volatility and the US Dollar to affect the volatility of BIST 100 except for the 2008-2013 period. Lastly, a spillover effect can be said to have recently occurred going from gold toward the BIST 100.

Keywords: Spillover Effect; Volatility; Exchange Eate; Gold; BIST 100; Türkiye (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:ist:ekoist:v:0:y:2022:i:37:p:237-256

DOI: 10.26650/ekoist.2022.37.1199285

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