Gold and oil price volatilities are thought to have an impact on financial markets. The main aim of this study is to examine the effects of changes in gold and oil prices on Turkish financial markets. For this purpose, the effects of gold and oil price volatilities on nominal US dollar/Turkish lira exchange rate, Borsa Istanbul 100 Index and Turkey 10-year bond interest rates are used to represent Turkish financial markets are analysed by Granger Casuality Test. The study comprises daily data over the period of June 1, 2010 - April 30, 2017. According to the results of the analysis, there is no causality relationship from gold and oil prices to Turkish financial markets. On the other hand, it is concluded that there is a one-way causality relationship from BIST100 index to Turkey 10-year bond interest rate and two-way causality relationship between BIST 100 index and nominal US dollar/Turkish lira exchange rate.
Açıkalan S., & Başçı E. S. (2016). Cointegration and causality relationship between bist 100 and bist gold indices. Yönetim ve Ekonomi, 23(2), 565-574.
Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19(6), 716-723. https://doi.org/10.1109/TAC.1974.1100705
Akgün, A., Şahin, İ. E. & Yılmaz B. (2013). The effects of variations in gold and oil prices on bist 100 index. Mediterranean Journal of Social Sciences, 4 (10), 726-730. https: //doi.org/ 10.5901/mjss.2013.v4n10p726
Ayaydın, H., & Barut, A. (2016). Petrol fiyatları, altın fiyatları ve hisse senedi getirisi ilişkisi petrol fiyatları. Balkan Sosyal Bilimler Dergisi, 5, 13-26.
Balı, S., & Cinel M. O. (2011). Altın fiyatlarının imkb 100 endeksi’ne etkisi ve bu etkinin ölçümlenmesi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 25(3), 45-63.
Bordo, M.D. (1993). The gold standard, bretton woods and other monetary regimes: a historical appraisal. NBER Working Paper No: 4310.
Brooks, C. (2002). Introductory Econometrics for Finance. Cambridge University Press.
Ciner, Ç., Gurdgiev C., & Lucey B. M. (2013). Hedges and safe havens: an examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202-211. https://doi.org/10.1016/j.irfa.2012.12.001.
Dickey, D. A., & Fuller W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431. https://doi.org/10.2307/2286348
Dickey, D. A., & Fuller W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517.
Gökmenoğlu, K. K., & Fazlollahi N. (2015). The interactions among gold, oil, and stock market: evidence from s&p500. Procedia Economics and Finance, 25, 478- 488. https://doi.org/10.1016/S2212-5671(15)00760-1
Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 37(3), 424-438. https://doi.org/10.2307/1912791.
Harun M., Mat S. H. C., Fadzim W. R., Khan S. J. M., & Noor M. S. Z. (2018). The effects of fuel subsidy removal on input costs of productions: leontief input-output price model. International Journal of Supply Chain Management, 7(5), 529-534
Hussin, M. Y. M., Muhammad, F., Razak A. A., Tha G. P., & Marwan N. (2013). The link between gold price, oil price and islamic stock market: experience from Malaysia. Journal of Studies in Social Sciences, 4(2), 161-182.
Kaya, E., & Açdoyuran B. (2017). Finansal dolarizasyon unsurları olarak kredi dolarizasyonu ve mevduat dolarizasyonu ile hisse senedi getirileri arasındaki ilişki. Dicle Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 7 (14), 325-344.
Khan, A., Naseem I., & Khan M. K. (2016). Relationship of ınternational oil prices, gold prices and stock returns: evidence from KSE, ERSED, International Conference on Emerging Research for Sustainable Economic Development, February 2-3, Dubai, 75-96.
Kilian, L. (2014). Oil price shocks: causes and consequences. Annual Review of Resource Economics, 6(1): 133-154. http://dx.doi.org/10.1146/annurev-resource-083013-114701
Kilian, L. Lee T. (2014) Quantifying the speculative component in the real price of oil: the role of global oil inventories. Journal of International Money and Finance, 42: 71 87. https://doi.org/10.1016/j.jimonfin.2013.08.005.
MacKinnon, J. G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11(6), 601-618. https://doi.org/10.1002/(SICI)1099-1255(199611)11:6%3C601::AID-JAE417%3E3.0.CO;2-T
Monjazeb, M., &Shakerian M. S. (2014). The effects of gold price and oil price on stock return of the banks in Iran. Arabian Journal of Business and Management Review, 3(10), 86-91. https://doi.org/10.12816/0016502
Newbold, P., & Granger C. W. (1974). Experience with forecasting univariate time series and the combination of forecasts. Journal of the Royal Statistical Society, 197(2), 131-165. https://doi.org/10.2307/2344546
Öncü, M., Çömlekçi A., İstemi Y., Halil İ., & Bar M. (2015). Yatırım araçları arasındaki eşbütünleşme (bist100, altın, reel döviz kuru). Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 15(1), 43-57.
Özer, A., Kaya A., & Özer N. (2011). Hisse senedi fiyatları ile makroekonomik değişkenlerin etkileşimi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 26(1), 163-182.
Patel, S. A. (2013) Causal relationship between stock market indices and gold price: evidence from India, IUP Journal of Applied Finance, 19(1), 99-109.
Sharma, G. D., & Mahendru M. (2010). Impact of macro-economic variables on stock prices in India. Global Journal of Management and Business Research, 10(7), 19-26.
Srinivasan, P., & Prakasam K. (2014). Gold price, stock price and exchange rate nexus: the case of India, The IUP Journal of Financial Risk Management, 11(3), 52-63.
Wang, Y. S., & Chueh, Y. L. (2013) Dynamic transmission effects between the interest rate, the US dollar and gold and crude oil prices. Economic Modelling, 30, 792–798. https://doi.org/10.1016/j.econmod.2012.09.052.
Zhang, Y. J. W., &Yie M. (2010). The Crude oil market and the gold market: evidence for cointegration, causality and price discovery. Resources Policy, 35(3), 168–177. https://doi.org/10.1016/j.resourpol.2010.05.003.
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.