Dynamic Relationships between the Stock Exchange, Gold, and Foreign Exchange Returns in Turkey

Middle Eastern Finance and Economics, Issue 12 (2011)

13 Pages Posted: 14 Feb 2017

See all articles by Cüneyt Akar

Cüneyt Akar

Bandırma Onyedi Eylül University

Date Written: 2011

Abstract

The aim of this study is to investigate the relationships between the stock exchange, gold, and foreign exchange returns in Turkey. The monthly data of the Istanbul Stock Exchange (ISE), foreign exchange and gold prices for the period 1990-2010, are used for the analysis by means of the dynamic conditional correlations GARCH (DCC-GARCH) model. The results show that the conditional correlations between investments are time varying, and the 2001 crisis was a significant turning point in the dynamic relationships between various investments.

Keywords: Istanbul Stock Exchange, Turkey, Gold, Exchange Rate, DCC-GARCH

JEL Classification: C32, G15, G11

Suggested Citation

Akar, Cüneyt, Dynamic Relationships between the Stock Exchange, Gold, and Foreign Exchange Returns in Turkey (2011). Middle Eastern Finance and Economics, Issue 12 (2011) , Available at SSRN: https://ssrn.com/abstract=2914130

Cüneyt Akar (Contact Author)

Bandırma Onyedi Eylül University ( email )

Turkey

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