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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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