İsmail ÇELİK, Hilmi Tunahan AKKUŞ, Nazlıgül GÜLCAN

EMTİA PİYASALARINDA RASYONEL BALONLAR VE VOLATİLİTE YAYILIMLARININ ARAŞTIRILMASI: DEĞERLİ METALLERDEN KANITLAR

Bir varlığın fiyatının, varlığın temel değerinden sapması olarak ifade edilebilen fiyat balonları, piyasalar üzerinde önemli etkilere sahiptir. ABD’de 2008 yılında konut fiyat balonunun patlamasıyla başlayan finansal krizin etkileri tüm dünyaya yayılarak küresel krize dönüşmüştür. Bu çalışmada emtia piyasalarında yer alan değerli metallerden altın, gümüş, platin ve paladyum fiyatlarında 01.01.2010-19.02.2019 dönemi için fiyat balonlarının varlığı araştırılmıştır. Araştırmada fiyat balonlarının oluşum ve patlama dönemlerini ortaya koyabilen RtADF, SADF ve GSADF yöntemleri kullanılmıştır. Analizler sonucunda altın, gümüş ve platin fiyatlarında balona rastlanırken, paladyum fiyatında herhangi bir balonun varlığına dair kanıt bulunamamıştır. Söz konusu balonların birbirine yakın tarihlerde meydana gelmesi nedeniyle de ayrıca altın, gümüş ve platin piyasaları arasında getiri ve volatilite yayılımının bulunup bulunmadığı VAR-EGARCH yöntemi ile araştırılmıştır. Araştırma sonucunda da altın, gümüş ve platin getirileri arasında çoklu bir yayılım olduğu tespit edilmiş, böylece kıymetli madenlerde oluşan fiyat balonlarının birbirini tetiklediği sonucuna ulaşılmıştır. Kıymetli metal piyasalarında fiyat balonlarının varlığı ile ilgili elde edilen bulgular, bu piyasadaki yatırımcılar için işlem zamanlaması açısından önemlidir. Diğer taraftan kıymetli metaller arasındaki volatilite yayılımı ile ilgili bulgular da kıymetli metallerle finansal korunma sağlayan yatırımcıların kıymetli metaller arasındaki şok yayılımlarını dikkate alması açısından önemlidir.

Anahtar Kelimeler:

Rasyonel Fiyat Balonları, Değerli Metaller, Emtia Piyasaları

INVESTIGATION OF RATIONAL BUBBLES AND VOLATILITY SPILLOVERS IN COMMODITY MARKETS: EVIDENCES FROM PRECIOUS METALS

Price bubbles which can be expressed as the deviation of the price of an asset from its fundamental value, have significant impacts on markets. The effects of the financial crisis that started with the burst of the housing bubbles in the USA in 2008 have spread all over the world and turned into a global crisis. In this study, the price bubbles of gold, silver, platinum and palladium in the commodity markets for the period between 01.01.2010-19.02.2019 were investigated. RtADF, SADF and GSADF methods were used to determine the formation and burst periods of price bubbles. As a result of the analysis, price bubbles were found in gold, silver and platinum, whereas no bubbles were found in palladium prices. Due to the close formation dates of these bubbles, whether there was any return or volatility spillover between gold, silver and platinum markets was investigated with VAR-EGARCH method. As a result of the study, it was found that there was a multiple spillover between the gold, silver and platinum returns. Thus, it was concluded that the price bubbles formed in precious metals triggered each other. Findings regarding the presence of price bubbles in the precious metal markets are crucial for traders in terms of trading timing. However, the findings related to the volatility spillover among precious metals are also important in terms of considering the effect of this spillover for the investors who provide hedging by precious metals.

Keywords:

Rational Price Bubbles, Precious Metals, Commodity Markets,

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