Master'sOpen Access

Volatility spread between developed and developing countries exchanges and precious metals

2022
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Advisor: Doç. Dr. İsmail Çelik

Abstract (EN)

Developed and emerging country stock markets may contain high risk because they are exchanges that can provide high returns to their investors. For investors in this situation, precious metals such as gold, silver, platinum, palladium are considered safe investment instruments for hedging. In this study, the effect of volatility changes in precious metals on developed and developing country stock markets is examined. The study for the analysis of the TVP-VAR with the method developed countries USA, UK, Germany, Turkey from developing countries, China, India, South Africa, Brazil and Russia in the stock market index of 25.01.2010-15.11.2021 data were used. As a result of the study, it was observed that the stock markets with silver metal that spread the most volatility among the precious metals were the party that received the volatility, and it was observed that the stock markets were affected by the price changes in the precious metal markets, while it was concluded that the WIZAFL and FTSE100 indices were unresponsive to the spread. It was concluded that it could be included in the portfolio.

Author

Hilal Altın

How to Cite

Hilal Altın (Master Thesis). Volatility spread between developed and developing countries exchanges and precious metals, 2022, Burdur Mehmet Akif Ersoy University.

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