Türkiye’de 2000 Yılı Sonrasında Altın, Borsa, Döviz Kuru Piyasaları Etkileşimi ve Volatilite Yayılım EtkisiNazan Şak, Hatice Gökçen Öcal Özkaya
Finansal varlık fiyatlarında meydana gelen azalış ve artış biçimindeki hareketler volatilite kavramıyla açıklanmaktadır. Finans alanında, yatırım araçlarının fiyat ve getirilerindeki dalgalanma düzeylerinin göstergesi niteliğinde kullanılan volatilite, risk ve belirsizliğin değerlendirilmesinde önemli bir ölçü olarak öne çıkmaktadır. Bununla birlikte bir piyasada ortaya çıkan volatilitenin diğer piyasaları etkilemesi ve diğer piyasalara yayılımı finansal serbestleşme süreçleri sonrası artış göstermiştir. Bu çalışmada volatilite yayılım etkisinin hızlandığı 2000 sonrası dönemde finansal varlıkların birbiriyle etkileşimi ve aralarındaki volatilite yayılımının ortaya konması amaçlanmıştır. Dolar, Euro, Altın ve BIST 100 endeksi arasındaki volatilite yayılımı Diebold ve Yılmaz (2012) yaklaşımı ile incelenmiştir. Yapılan analizde 17.01.2000-31.08.2022 dönemi arasındaki günlük veriler kullanılmıştır. Elde edilen analiz sonuçlarına göre; Dolar, Euro, Altın ve BIST 100 endeksi arasındaki volatilite yayılım endeksi %46,9 olarak bulunmuştur. İncelenen 2000 sonrası dönemde en düşük volatilite yayılım değeri 2012’de gerçekleşmiş; 2013 yılında ani bir artış olmuş, 2017 yılından itibaren ise volatilite yayılımında artan bir trendin etkili olduğu görülmüştür. Yaşanan pandeminin etkisiyle 2020 yılıyla birlikte volatilite yayılımında artış devam etmektedir. Çalışmada, genellikle Euro ve Doların volatilite yayıcısı, Altın ve BIST 100 endeksinin volatilite alıcısı finansal varlıklar oldukları görülmüştür. İkili ilişkiler incelendiğinde ise, hemen hemen tüm dönem boyunca Altının Doların volatilitesinden etkilendiği; 2008-2013 dönemi hariç olmak üzere Doların BIST 100’ün volatilitesini etkilediği belirlenmiştir. Özellikle, son dönemde Altından BIST 100’e doğru yayılım etkisinin olduğu söylenebilir.
A Review on the Interaction Among Gold, Equity, Currency Markets, and the Volatility Spillover Effect During the Post-2000 Era in TürkiyeNazan Şak, Hatice Gökçen Öcal Özkaya
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.
Due to financial liberalization processes, capital flow has gained an international attribution since the 1980s. Based on the developments in information and communication technologies since 2000s, the access to financial instruments has become easier and the range of assets in financial markets has continued to expand.
According to Markowitz’s (1952) modern portfolio theory, which marked a milestone in the history of modern finance, investors make decisions based on risk and income preferences within the diversity of financial markets. Measuring the risk and uncertainty levels of financial assets is explained through the term volatility. Volatility is defined as the upward and downward movements in the prices of financial assets (Hepsağ, 2013, p. 3). The reason for volatility regarding financial assets is not always just a result of fluctuations in their own prices but is also a result of other financial markets due to volatility spillover. Volatility spillover defines the interaction levels financial markets have with each other and shows a significant increase in times of crisis in particular.
During periods of uncertainty, the first instrument that investors prefer both in the world and in Turkey is gold, and this is related to its attribute as being the most well-known and trusted asset in society. In addition to gold, the increasing trend sees investors also preferring to diversify their portfolios in commodity markets and other main investment instruments such as the stock market and the foreign exchange market in order to increase income and decrease risk. Examining the interactions of financial instruments in terms of volatility spillover mechanisms is crucial when diversifying a portfolio.
Meanwhile, the analysis of financial market interactions is one of the indicators that policy makers should follow, with great emphasis on the stability of financial systems. This study aims to investigate the interaction and volatility spillover effect among the foreign exchange market, the gold market, and the stock exchange in Turkey. The study has chosen the post-2000 period as global crises and regulations regarding monetary policies as well as the banking sector have occurred during this period. The research uses daily data between January 17, 2000 and August 31, 2022.
The study examines the volatility spillover effects among the US Dollar, the Euro, gold, and the BIST 100 using Diebold and Yılmaz’s (2012) approach. This model was introduced to the literature through Diebold and Yılmaz’s (2009, 2012) articles.
According to the obtained findings, the volatility spillover index was found to be 46.9% among the US Dollar, the Euro, gold, and the BIST 100. During the post2000 period under discussion here, the lowest volatility level occurred in 2012, an immediate increase occurred in 2013, and an increasing trend in the volatility spillover effect has been occurring since 2017. Due to the global pandemic, the increase in spillover effect has been ongoing since 2020.
The US Dollar has been observed to function generally as a volatility transmitter financial asset; namely, increases and decreases in the volatility of the US Dollar affect other markets. The Euro was seen to be a volatility transmitter financial asset until the 2008 global crisis; between 2008 and 2013 it functioned as a volatility receiver then became a volatility transmitter asset after 2014. The volatility of Gold is seen to usually be affected by the volatility of other financial assets. Recently, the volatility of gold was concluded to affect the volatility of other financial assets and to have functioned as a volatility transmitter financial asset due to the increases in the price of gold. The BIST 100 Index was observed to be a volatility receiving financial asset in general. It was effective in regard to the volatility of other financial assets between 2008-2013. In terms of bilateral interactions nearly throughout the whole period, gold was determined to have been affected by the volatility of the US Dollar; the US Dollar was determined to have affected the volatility of the BIST 100 except for the 2008-2013 period. Meanwhile, a spillover effect occurred from gold toward the BIST 100, especially in recent years. Among the volatility interactions of the examined financial assets, the volatility of the BIST 100 can be said to be the one with the least effect.
The research findings have revealed the interactions among the US Dollar, the Euro, gold, and the BIST 100 in the post-2000 period as well as the volatility spillover effect in Turkey. Determining the spillover effect can be used as a warning system against economic crises. In addition, the study has empirically shown how financial stress negatively affects stability. Within this scope, investors will be able to minimize their losses by diversifying their portfolios.