COINTEGRATION RELATIONSHIP BETWEEN SHARES AND GOLDEN ONS PRICES AND CRUDE OIL PRICES: BİST 100 Cover Image

HİSSE SENETLERİ İLE ALTIN ONS FİYATLARI VE HAM PETROL FİYATLARI ARASINDAKİ EŞBÜTÜNLEŞME İLİŞKİSİ: BİST 100
COINTEGRATION RELATIONSHIP BETWEEN SHARES AND GOLDEN ONS PRICES AND CRUDE OIL PRICES: BİST 100

Author(s): Suleyman Hilmi Sahin, Emrah ÖGET
Subject(s): Business Economy / Management, Energy and Environmental Studies, Financial Markets
Published by: Sanat ve Dil Araştırmaları Enstitüsü
Keywords: Forecasting; Demand forecasting; Dickey-Fuller; Philips Perron Unit Root; Johansen Cointegration;

Summary/Abstract: This study aims to investigate the long-term relationship between gold prices per ounce and crude oil prices and Borsa İstanbul 100 Index. To this end, data of 3703 days between the years of 1997 and 2014 has been studied. “Augmented Dickey-Fuller and Philips Perron Unit Root Tests” revealed that the variables were stationary at first difference, yet it was found through “Johansen Cointegration” analysis that there exists an vector showing a long term relationship between the variables. However, the coefficient of the vector error correction term reflecting on the long-term relationship between the variables provided above was statistically insignificant and the variables did not have the long-term balance relationship. These findings support the fact that, as a means of investment, gold is used as an alternative to shares.

  • Issue Year: 5/2017
  • Issue No: 11
  • Page Range: 637-653
  • Page Count: 17
  • Language: Turkish