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Causality Change Between BIST 100 Index and USD, Gold, and BITCOIN Before and After the COVID-19 Pandemic: A Historical Analysis with a Fourier Function on Turkiye

Year 2023, Volume: 7 Issue: 3, 1813 - 1836, 18.09.2023
https://doi.org/10.25295/fsecon.1261953

Abstract

The aim of this study is to present guiding data in the decisions of the affected parties in the financial system and contribute to the literature by revealing the changes in investor decisions during the COVID-19 pandemic period as pre-pandemic and post-pandemic periods. The study covers the period of 01/01/2018-24/02/2023 with the latest updated values, including before and after the COVID-19 pandemic, over the case of Turkiye. Analyzes were performed using a causality test that enriched the Toda-Yamamoto procedure with the Fourier function (FTY). The study period was divided into four sub-periods with the Chow structural break test. In the study, the causality relationship between USD, Gold (AU) and that between Bitcoin variables and BIST100 index were analyzed. The results of the analysis showed that the pre-pandemic and post-pandemic period revealed quite different causality relationships in that gold emerged as a safe haven in the first shock wave of the pandemic, and gold lost this feature in the ongoing pandemic process and the causality between all the variables discussed became clear. In the post-pandemic period, compared to the pre-pandemic one, it was observed that the causality relationship between the BIST100 variable of USD and Bitcoin, which are the other variables that only gold has a one-sided causality relationship in the same way, disappeared completely. The study makes an important contribution to the literature in terms of analyzing investor behavior at each stage of crisis periods.

References

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  • Baur, D. G. & Trench, A. (2022). Not All Gold Shines in Crisis Times-Gold Firms, Gold Bullion and the COVID-19 Shock. Journal of Commodity Markets, 28, 100260. https://doi.org/10.1016/j.jcomm.2022.100260
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  • Canbaloğlu, B. (2022). Gold and Stock Market Linkage: Pre-and Post-Covid-19 Periods. Başkent Üniversitesi Ticari Bilimler Fakültesi Dergisi, 6(2), 123-131.
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BIST 100 Endeksi ile USD, Altın ve BITCOIN Arasında COVID-19 Pandemisi Öncesi ve Sonrasında Nedensellik Değişimi: Türkiye Üzerine Fourier İşlevli Bir Tarihsel Analiz

Year 2023, Volume: 7 Issue: 3, 1813 - 1836, 18.09.2023
https://doi.org/10.25295/fsecon.1261953

Abstract

Bu çalışmanın amacı COVID-19 pandemisi döneminde yatırımcı kararlarında meydana gelen değişimleri pandemi öncesi ve sonrası dönemler şeklinde ortaya koyarak finansal sistem içerisinde yer alan ve etkilenen tarafların kararlarında yol gösterici veriler ortaya koymak ve literatüre katkıda bulunmaktır. Çalışma Türkiye örneği üzerinden COVID-19 pandemisi öncesi ve sonrasını içerecek şekilde ve en son güncel değerlerle 01/01/2018-24/02/2023 dönemini kapsamaktadır. Analizler Toda-Yamamoto prosedürünü Fourier fonksiyonu (FTY) ile zenginleştiren bir nedensellik testi kullanılarak yapılmıştır. Çalışma yapılan dönem Chow yapısal kırılma testi ile dört alt döneme ayrılmıştır. Çalışmada USD, Altın (AU) ve Bitcoin değişkenleri ile BIST 100 endeksi arasındaki nedensellik ilişkisi analiz edilmiştir. Yapılan analiz sonuçları pandemi öncesi ve sonrası dönemin birbirinden oldukça farklı nedensellik ilişkileri ortaya koyduğunu, pandeminin ilk şok dalgasında altının güvenli liman özelliğinin ortaya çıktığını, devam eden pandemi sürecinde ise altının bu özelliğini kaybettiği ve ele alınan tüm değişkenler arasındaki nedenselliklerin belirginleştiği görülmüştür. Pandemi sonrası dönemde ise pandemi öncesi döneme kıyasla sadece altının aynı şekilde tek taraflı nedensellik ilişkisine sahip olduğu diğer değişkenler olan USD ve Bitcoin’in BIST100 değişkeniyle nedensellik ilişkisinin tamamen kaybolduğu görülmüştür. Çalışma kriz dönemlerinin her bir aşamasında yatırımcı davranışlarının analiz edilmesi açısından literatüre önemli bir katkı sunmaktadır.

References

  • Abate, M., Christidis, P. & Purwanto, A. J. (2020). Government Support to Airlines in The Aftermath of The Covid-19 Pandemic. Journal of Air Transport Management, 89, 101931. https://doi.org/10.1016/j.jairtraman.2020.101931
  • Adrangi, B., Chatrath, A. & Raffiee, K. (2003). Economic Activity, Inflation, and Hedging: The Case of Gold and Silver Investments. The Journal of Wealth Management, 6(2), 60-77. https://doi.org/10.3905/jwm.2003.320482
  • Akhtaruzzaman, M., Boubaker, S., Lucey, B. M. & Sensoy, A. (2021). Is Gold A Hedge or A Safe-Haven Asset in the COVID–19 Crisis?. Economic Modelling, 102, 105588. https://doi.org/10.1016/j.econmod.2021.105588
  • Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A. & Alhammadi, S. (2020). Death and Contagious Infectious Diseases: Impact of The Covid-19 Virus on Stock Market Returns. Journal of Behavioral and Experimental Finance, 27, 100326. https://doi.org/10.1016/j.jbef.2020.100326
  • Ali, S., Bouri, E., Czudaj, R. L. & Shahzad, S. J. H. (2020). Revisiting The Valuable Roles of Commodities for International Stock Markets. Resources Policy, 66, 101603. https://doi.org/10.1016/j.resourpol.2020.101603
  • Allayannis, G. & Ofek, E. (2001). Exchange Rate Exposure, Hedging, and the Use of Foreign Currency Derivatives. Journal of International Money and Finance, 20(2), 273-296. https://doi.org/10.1016/S0261-5606(00)00050-4
  • Anderson, G. J. & Mizon, G. E. (1989). Statistical Analysis and Forecasting of Economic Structural Change. P. Hackl (Ed.), What Can Statistics Contribute to The Analysis of Economic Structural Change? (3-22). Springer.
  • Bae, S. C. & Kwon, T. H. (2022). Exchange Rate Risk Management using Currency Derivatives: The Case of Exposures to Japanese Yen. Asia-Pacific Financial Markets, 1-27. https://doi.org/10.1007/s10690-022-09391-7
  • Bae, S. C., Kwon, T. H. & Park, R. S. (2018). Managing Exchange Rate Exposure with Hedging Activities: New Approach and Evidence. International Review of Economics & Finance, 53, 133-150. https://doi.org/doi.org/10.1016/j.iref.2017.10.017
  • Baffes, J. (2007). Oil Spills on Other Commodities. Resources Policy, 32(3), 126-134. https://doi.org/10.1016/j.resourpol.2007.08.004
  • Bahloul, S., Mroua, M. & Naifar, N. (2022). Are Islamic Indexes, Bitcoin and Gold, still “Safe-Haven” Assets During The COVID-19 Pandemic Crisis?. International Journal of Islamic and Middle Eastern Finance and Management, 15(2), 372-385. https://doi.org/10.1108/IMEFM-06-2020-0295
  • Bartram, S. M. (2008). What Lies Beneath: Foreign Exchange Rate Exposure, Hedging and Cash Flows. Journal of Banking & Finance, 32(8), 1508-1521. https://doi.org/10.1016/j.jbankfin.2007.07.013
  • Baur, D. G. & Lucey, B. M. (2010). Is Gold A Hedge or A Safe Haven? An Analysis of Stocks, Bonds and Gold. Financial Review, 45(2), 217-229. https://doi.org/10.1111/j.1540-6288.2010.00244.x
  • Baur, D. G. & McDermott, T. K. (2010). Is Gold a Safe Haven? International Evidence. Journal of Banking & Finance, 34(8), 1886-1898. https://doi.org/10.1016/j.jbankfin.2009.12.008
  • Baur, D. G. & Trench, A. (2022). Not All Gold Shines in Crisis Times-Gold Firms, Gold Bullion and the COVID-19 Shock. Journal of Commodity Markets, 28, 100260. https://doi.org/10.1016/j.jcomm.2022.100260
  • Becker, R., Enders, W. & Lee, J. (2006). A Stationarity Test in The Presence of An Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 27(3), 381-409. https://doi.org/10.1111/j.1467-9892.2006.00478.x
  • Beckers, S. & Soenen, L. (1984). Gold: More Attractive to Non‐Us Than to Us Investors?. Journal of Business Finance & Accounting, 11(1), 107-112. https://doi.org/10.1111/j.1468-5957.1984.tb00061.x
  • Bekiros, S., Boubaker, S., Nguyen, D. K. & Uddin, G. S. (2017). Black Swan Events and Safe Havens: The Role of Gold in Globally Integrated Emerging Markets. Journal of International Money and Finance, 73, 317-334. https://doi.org/10.1016/j.jimonfin.2017.02.010
  • Bouri, E., Molnár, P., Azzi, G., Roubaud, D. & Hagfors, L. I. (2017). On The Hedge and Safe Haven Properties of Bitcoin: Is It Really More Than a Diversifier?. Finance Research Letters, 20, 192-198. https://doi.org/10.1016/j.frl.2016.09.025
  • Canbaloğlu, B. (2022). Gold and Stock Market Linkage: Pre-and Post-Covid-19 Periods. Başkent Üniversitesi Ticari Bilimler Fakültesi Dergisi, 6(2), 123-131.
  • Capie, F., Mills, T. C. & Wood, G. (2005). Gold As a Hedge Against the Dollar. Journal of International Financial Markets, Institutions and Money, 15(4), 343-352. https://doi.org/10.1016/j.intfin.2004.07.002
  • Carse, S., Williamson, J. & Wood, G. E. (1980). The Financing Procedures of British Foreign Trade. CUP Archive. Cassidy, H. J. (1981). Using Econometrics. Reston Publishing Company.
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There are 71 citations in total.

Details

Primary Language Turkish
Subjects Business Administration
Journal Section Articles
Authors

Hasan Kazak 0000-0003-0699-5371

Publication Date September 18, 2023
Published in Issue Year 2023 Volume: 7 Issue: 3

Cite

APA Kazak, H. (2023). BIST 100 Endeksi ile USD, Altın ve BITCOIN Arasında COVID-19 Pandemisi Öncesi ve Sonrasında Nedensellik Değişimi: Türkiye Üzerine Fourier İşlevli Bir Tarihsel Analiz. Fiscaoeconomia, 7(3), 1813-1836. https://doi.org/10.25295/fsecon.1261953

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