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
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: Suggested Citation