Tuğba KAYHAN, Mustafa UYSAL

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ALTIN, GÜMÜŞ, BAKIR FİYATLARININ BORSA İSTANBUL MADENCİLİK ENDEKSİ İLE OLAN FİYAT İLİŞKİSİ

Günümüzde, madencilik sektörü, ülkelerin kalkınması ve ekonomileri için önemli bir rol oynamaktadır. Kıymetli madenlerin fiyatlarında meydana gelecek bir dalgalanma madencilik sektörü şirketlerini etkiler. Bu ilişkinin tespiti ülkelerin kalkınması için önem arzetmektedir. Bu amaçla altın, gümüş ve bakır fiyatları ile Borsa İstanbul (BİST) ulusal pazarda işlem gören Madencilik Endeksi (XMADN) arasındaki ilişki incelenmiştir. 4 Şubat 2013 - 13 Aralık 2018 arasındaki dönem için 1477 günlük gözlem kullanılmıştır. Altın, gümüş ve bakır fiyatları ile Madencilik Endeksi (XMADN) arasındaki uzun dönem ilişki Banerje vd. (2017) tarafından geliştirilen Fourier Otoregressive Dağıtıcı Lag (FADL) eşbütünleşme testi kullanılarak analiz edilmiştir. Elde edilen sonuçlara göre, ele alınan değişkenler arasında uzun dönemde bir ilişki tespit edilememiş ancak kısa dönemde madencilik endeksi ile altın ve bakır fiyatları arasında istatistiksel olarak anlamlı ve pozitif, gümüş fiyatları ile ise istatistiksel olarak anlamlı ve negatif bir ilişki tespit edilmiştir. Bu çalışma yatırımcılara, portföy yöneticilerine, politika yapıcılara ve akademisyenlere portföy çeşitlendirmeleri ve risk yönetimi açısından pratik bir uygulama sunmaktadır.

PRICE TRANSMISSION BETWEEN GOLD, SILVER, COPPER PRICES AND MINING INDEX IN TURKEY

Mining industry has a substantial role for countries development and economies. A fluctuation in the pricesof precious metals affects the mining sector companies. The determination of this relationship is importantfor the development of countries. In order to fill in this gap, we studied on the relation between gold, silver,copper prices and Mining Index (XMADN) in Borsa İstanbul Stock Exchange (BIST). 1477 daily observations forthe time period between 4 February 2013 to 13 December 2018 were used. To detect the cointegrationonbetween gold, silver, copper and Mining Index, we use Fourier Autoregressive Distributive Lag FADL whichwas developed by Banerje et al (2017). We find no evidence of a long run relation but strong significantfeedback in the short run. Gold and copper price have positive relation with mining index. On the other hand,silver price has negative relation with mining index. This study provides practical implication to investors,portfolio managers, policy makers and academicians in terms of portfolio diversifications and riskmanagement.
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Uluslararası İktisadi ve İdari İncelemeler Dergisi-Cover
  • ISSN: 1307-9832
  • Yayın Aralığı: Yılda 4 Sayı
  • Başlangıç: 2008
  • Yayıncı: Kenan ÇELİK
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Sayıdaki Diğer Makaleler

ALTIN, GÜMÜŞ, BAKIR FİYATLARININ BORSA İSTANBUL MADENCİLİK ENDEKSİ İLE OLAN FİYAT İLİŞKİSİ

Tuğba KAYHAN, Mustafa UYSAL

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