GÜVENLİ LİMAN VE HEDGE ARACI OLARAK ALTIN: TÜRKİYE ÖRNEĞİ

Bu çalışmanın amacı altının hedge veya güvenli liman özelliğinin günlük veri üzerinden genel endeks ve katılım endeksiyle arasındaki ilişkiyi incelemektedir. Türkiye pay piyasaları üzerine ilk defa Wavelet Coherence tekniği uygulanarak altının hedge özelliğinin Multi Resolutional Analysis yöntemiyle koeralsyon ve değişik yatırım sıklığı ve periyotlarındaki durumu gösterilmiştir. Aynı zamanda olumsuz piyasa şartlarında altının güvenli liman sunup sunmadığı incelenmiştir. Sonuçlar altının hem hedge hem değişik zaman periyotlarında sıfır veya çok sınırlı korelasyonuyla güvenli liman özelliğine sahip olduğunu göstermektedir. Bulgular akademik çalışmalar ve piyasadaki yatırımcılar için önemlidir.

Gold As Hedge and Safe Haven: Evidence From Turkey

The aim of this paper is to investigate the properties of gold as a hedge and/or safe haven for diverse equity investors in Turkey (conventional and Islamic portfolios). The study covers the period from January 2010 to April 2018 and employs Wavelet Coherence as a multi-resolution analysis tool. The results suggest that gold maintains its role both as a hedging instrument during normal market conditions and save haven during the market disturbances for short-, medium- and long-term portfolio investors. The findings have important implications for policy-makers and market players of Turkey.

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