Connections between gold, main agricultural commodities, and Turkish stock markets

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review Pub Date : 2025-03-01 DOI:10.1016/j.bir.2025.01.001

Hasan Kazak , Walid Mensi , Mehmet Akif Gunduz , Abdullah Kilicarslan , Ahmet Tayfur Akcan

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引用次数: 0

Abstract

This study investigates the relationship between gold prices, agricultural commodity prices (rice, flour, bean, chickpea, lentil, and sugar), and Turkish stock markets. Using the Fourier Toda-Yamamoto causality test and wavelet coherency approach, we find that gold prices significantly influence agricultural commodity prices, emphasizing gold's pivotal role in agricultural market dynamics. Portfolio diversification incorporating gold and agricultural commodities mitigates risks, enhancing portfolio resilience. The BIST100 index and agricultural spot commodity prices exhibit differential impacts depending on specific products. Wavelet coherence analysis reveals time-varying dependencies, suggesting investors leverage their investments in BIST100 and gold for diversification with agricultural commodities. Our findings present agricultural commodities as alternative investment instruments, subject to favorable market conditions. The portfolio analysis uncovers nuanced relationships between commodities and indices, guiding investors in diversification and real asset investments. This research contributes novel perspectives, emphasizing the viability of agricultural commodities in diversified portfolios.

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黄金、主要农产品和土耳其股市之间的联系

本研究探讨了黄金价格、农产品价格（大米、面粉、豆类、鹰嘴豆、扁豆和糖）和土耳其股市之间的关系。利用傅立叶Toda-Yamamoto因果检验和小波相干性方法，我们发现黄金价格显著影响农产品价格，强调黄金在农产品市场动态中的关键作用。将黄金和农产品纳入投资组合的多样化可以降低风险，增强投资组合的抵御能力。bst100指数和农产品现货价格根据具体产品表现出不同的影响。小波相干性分析揭示了时变依赖关系，表明投资者利用他们对bst100和黄金的投资来分散对农产品的投资。我们的研究结果表明，农产品是一种可替代的投资工具，受制于有利的市场条件。投资组合分析揭示了大宗商品和指数之间的微妙关系，指导投资者进行多样化投资和实物资产投资。本研究提供了新颖的视角，强调了农产品在多元化投资组合中的可行性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Borsa Istanbul Review Multiple-

CiteScore

7.60

自引率

3.80%

发文量

130

审稿时长

26 days

期刊介绍： Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations