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This study aims to uncover the impact of interest rates, gold prices, and the USD exchange rate on the BIST 100 index. For this purpose, the effects of the weighted average interest rate on bank deposits, the price of gold in Turkish Lira per gram, and the USD exchange rate according to the Central Bank of Türkiye's buying rate on the BIST 100 index are revealed through monthly data from January 2002 to November 2023, encompassing 262 observations. The analysis employs the Fourier ADF unit root test, Fourier Bootstrap ARDL test, and Fourier Bootstrap Quantile causality test. The findings indicate a long-term negative relationship between interest rates and the BIST 100 index, while asserting a long-term positive relationship with gold prices and the USD exchange rate. Moreover, according to the short-term relationships facilitated by Fourier functions, a positive and significant relationship exists between interest rates and the BIST 100 index at two lags; a negative effect in the current period, a positive effect at one lag, and a negative effect at two lags are observed between the USD exchange rate and the BIST 100 index. No short-term impact of gold prices on the BIST 100 index is observed. Additionally, considering Fourier function-driven causality relationships, causality is detected from interest rates to the BIST 100 index at the 9th quantile and from the BIST 100 index to interest rates at the 1st quantile; from gold prices to the BIST 100 index at the 3rd quantile; and from the USD exchange rate to the BIST 100 index at the 3rd and 4th quantiles.. [ABSTRACT FROM AUTHOR]

The novel coronavirus (COVID-19) has revealed profound and disproportionate effects not only on global financial markets but also on commodity markets. Considering the potential safe-haven role of gold as a vital commodity against economic turmoils and uncertainties; in this study, it has been aimed to investigate the long run impacts and short-run dynamics of the COVID-19 related variables (daily new confirmed cases in the world and U.S., COVID-19 Containment & Health Index) and different macro-financial factors on daily COMEX gold futures contracts prices, especially presenting a comparative analysis with respect to various sectoral stock indexes associated with S&P 500 and Dow Jones -including Health Care, Technology, Medical Equipment, Financials, Industrials, Information Technology and Energy sectors-for the sample period 10.03.2020-22.03.2021 by utilizing from Autoregressive Distributed Lag (ARDL) approach. Analysis results are of great importance in forming crucial policy implications about by which factors and sectoral stocks gold prices are being influenced the most. Consequently; Dow-Jones Financials, S&P 500 Industrials and S&P 500 Energy stock indexes can be said to have a significant impact on gold prices in the long run at 10% significance level. In the models containing these indexes, CBOE volatility index affects gold prices inversely while WTI oil prices have no impact on gold prices. In the long term, the weakest findings in terms of coefficient significancies have been obtained for the model which includes S&P 500 Energy stock index returns. Furthermore, daily new cases in the world -contrary to the cases in U.S.-generally affect gold prices. [ABSTRACT FROM AUTHOR]

The rapid development of information technologies has led to the formation of a "big data" network by increasing the coverage area of the internet network. The use of big data has gained importance in many fields from science to industry, from the private sector to the public. The use of this big data makes the users of the data advantageous compared to their competitors. The aim of this study is to examine the causality relationship between the data obtained from Google Trends, which presents the search frequency of the keyword searched in the Google search engine and the course of gold prices. The data set of the study includes monthly data on the search frequency of the keyword "gold" in the Google search engine within the borders of Turkey between 01.01.2004 and 01.12.2021. In the study, the stationarity of the variables was analyzed, and then the Johansen Cointegration test was used to determine the long-term relationship between the variables. At the last stage, Granger Causality Analysis was performed. As a result of the study, one-way Granger causality towards gold prospecting was determined. [ABSTRACT FROM AUTHOR]

• This study tests whether varying volatility indices predict gold prices under different conditions. • Six short-term volatility indices enhanced gold prices as a safe haven before COVID-19. • Negative effects of volatilities have been more substantial than positive effects during COVID-19. • Some volatility results during the COVID-19 period contrast with those in the pre-COVID-19 period. • Only euro volatility predicts gold prices in the long term and during the 2016–2019 pre-COVID-19 period. This study addresses the research question of whether volatility indices of different asset classes reduce gold's appeal as a safe-haven asset before and during the COVID-19 pandemic. We use daily data for seven volatility indices and gold prices and apply the suitable nonlinear autoregressive distributed lag method to analyze the data. Our results indicate that during COVID-19, only the negative Eurocurrency volatility has diminished gold prices in the long term, whereas in the short term, the positive gold, silver, emerging market, and (lagged) financial market volatilities have diminished gold prices. During the pre-COVID-19 normal period, volatilities in the financial, energy, gold, silver, and eurocurrency markets improved gold prices, whereas in the short term, only lagged negative oil volatility diminished gold prices. A robustness test for the 2011–2015 pre-COVID-19 period reveals that this period is to an extent comparable to that of COVID-19. This study reveals no direct effects from emerging markets volatility on gold prices. Notwithstanding, a long memory in gold prices persists and uneven spillover effects exist. Finally, those volatilities predominantly increase gold prices under the normal economic conditions but decrease gold's appeal as a safe haven during crises in the comparable periods. We delineate the implications for investors. [ABSTRACT FROM AUTHOR]

Purpose - The purpose of the study is to find out the impact of gold and oil prices on the stock market. Design/methodology/approach - This study uses the data on gold prices, stock exchange and oil prices for the period 1991-2016. This study applied descriptive statistics, augmented Dickey-Fuller test, correlation and autoregressive distributed lag test. Findings - The data analysis results showed that gold and oil prices have a significant impact on the stock market. Research limitations/implications - Following empirical evidence of this study, the authors recommend that investors should invest in gold because the main reason is that hike in inflation reduces the real value of money, and people seek to invest in alternative investment avenues like gold to preserve the value of their assets and earn additional returns. This suggests that investment in gold can be used as a tool to decline inflation pressure to a sustainable level. This study was restricted to use small sample data owing to the availability of data from 1991 to 2017 and could not use structural break unit root tests with two structural break and structural break cointegration approach, as these tests require high-frequency data set. Originality/value - This study provides information to the investors who want to get the benefit of diversification by investing in gold, oil and stock market. In the current era, gold prices and oil prices are fluctuating day by day, and investors think that stock returns may or may not be affected by these fluctuations. This study is unique because it focusses on current issues and takes the current data in this research to help investment institutions or portfolio managers. [ABSTRACT FROM AUTHOR]

One of the most important steps required for future planning in gold investment is being forecasted the prices in the future periods. Starting from here, it was aimed to be forecasted Cumhuriyet gold prices of Turkey in the future. For this purpose, ARIMA (Autoregressive Integrated Moving Average), Holt-Winters (Additive and Multiplicative models), Simple Exponential Correction and Holt Linear Trend from time series methods were used. Forecasting analysis results that were made with these methods were also compared on the basis of RMSE (Root Mean Squared Error) and Sum of Squared Residuals (SSR), which are the forecast evaluation criteria. According to the basic criteria, ARIMA was determined to be the best performing method. In the forecast analysis made with the established ARIMA model, it was forecasted that Cumhuriyet gold prices will continue to increase in the first six months of 2021. [ABSTRACT FROM AUTHOR]

Gold is preferred for many reasons such as high convertibility worldwide, being a reliable investment instrument against financial fluctuations and not losing value against inflation. This situation causes the demand for gold to increase day by day. According to World Gold Council data for the year 2019, Turkey is among the countries with the most gold reserves has risen to 18 as well. For this aim, Turkey's causal relationship between stock prices and gold prices, with the monthly data for January 2005 to September 2019, has been tested with Toda-Yamamoto causality analysis. The results of the analysis show that there is a one-way causality relationship from gold prices to stock prices. [ABSTRACT FROM AUTHOR]

The capital adequacy ratio (CAR) defines the minimum capital required for the risks assumed by banks or the maximum risk level considering the existing capital. In the context of the proposals submitted within the framework of Basel Accords, the current scope of these risks (credit and market) has been expanded in compliance with newer Basel Accords and operational risks have been considered in calculating the capital adequacy. Undoubtedly, the risk-taking behavior of banks is influenced by the mobility of various macroeconomic factors in the market. In this context, this study aims to detect whether the foreign exchange rate fluctuations, gold prices, and risk appetite have significant impacts on the CAR. Accordingly, monthly standard deviations of TL/USD exchange rate, gold price, and risk appetite data are calculated throughout January 2010 - December 2019 and analyzed whether they have impacts on the CAR. The regression analysis results assert a significant and positive impact of TL/USD exchange rate on the change in the CAR, whereas the risk appetite has a negative impact, and the gold market does not affect the change in the CAR. [ABSTRACT FROM AUTHOR]

Covid-19 Pandemic or in other words this century's black death affects deeply on health sector at the same time financial markets. İn this study it has been examined whether there is significant relationship between gold prices and Covid-19 by ARDL modelling with using daily data 22.01.-08.04.2020. It has been identified gold prices as dependent variable, total Covid-19 cases in the world, total Covid-19 cases in Turkey, exchanges rate (US Dolar), Turkey political interest rate, gasoline prices on pump as independent variables in the model. In the frame of the ARDL model is applied due staiblity of selected variables at different levels, it has consisted within the findings of the short term and long term. According to the error correction model results, the long-term capture rate of the model is 51 percent. Gold is the most known and traditional financial instrument that can be observed how investors develop behavior in situations that cause global panic to financial instruments.According to empirical findings, there are negative effects on gold prices with exchanges rate and Turkey political interest rate, moreover there are positive relationships between gold prices and gasoline prices on pump, total Covid-19 cases in the World, total Covid-19 cases in Turkey's lags and gold prices lags in the short run. İn the long run there are cointegrated relationships between gold prices and all variables except total Covid-19 cases in Turkey. [ABSTRACT FROM AUTHOR]

Gold, which has a wide usage area, has become an extremely important asset with its use as an investment tool in recent years. Especially in terms of portfolio management, due to the long-term return of gold, the effect of gold price on macroeconomic and financial variables become vital. In this study, the relationship between the London FTSE100 Stock Index, which is the most important and valued indices in the world, and gold prices is examined. The main purpose of the study is to determine whether there is a long-term relationship between the variables. The study was carried out with appropriate econometric time series analysis covering monthly data between January 2010 and April 2020 period. For the purpose of the study, unit root, Co-integration and Granger causality tests are employed. As a result, it is concluded that there is no long-term co-integrated among the variables, but there is a bi-directional causality relationship in the short term. [ABSTRACT FROM AUTHOR]

Gold exchange traded funds help investors to generate the returns based on the movements of underlying commodity. In current scenario, gold ETFs are emerging as one of the best ETFs for the investments. The present study intended to determine the causal relationship between spot prices of gold, SENSEX, and ten selected BSE listed Gold ETFs. The closing prices gold ETFs, SENSEX and spot prices of gold was collected during 2015–2018. The study applied ADF root test, co-integration test, and Granger causality test to study the causal relationship. The results of the study revealed that out of ten, six gold ETFs has significant causal relationship with gold price and only two schemes has significant relationship with BSE SENSEX during 2015–2018. The study concluded that gold ETFs are largely affected by the spot price movements of gold. Therefore, an investor must understand the pricing dynamics of the underlying asset of ETF. [ABSTRACT FROM AUTHOR]

As at the top of the precious metals, gold has been historically seen as a symbol of wealth, economic power and prosperity by both countries and households. There are many studies supply and demand based on discussions of the factors affecting gold prices in the literature. Especially in recent years the gold prices have seen the historical peak level might well be the main reason of choosing subject of this study. In this study, it is aimed whether there is long run Granger causality between gold prices and other chosen variables with using weekly data between 2015 and 2019. In the model, while gold prices are determined as dependent variables, oil prices, BIST100 Index, exchange rate (USD) are determined as independent variables of VIX Index. In the study, it is examined whether the existence of a long-term relationship between variables with using the cointegration tests. In addition, in order to reveal the effect of the shocks in the variables in the long term, VAR analysis was applied. According to the results of VAR analysis, a longterm relationship has been determined between gold prices and other independent variables. In the light of the empirical findings, it can be said that there are Granger causality relationships between gold prices and BIST 100 Index, oil prices and exchange rate variables. [ABSTRACT FROM AUTHOR]

Individuals in developing economies use many alternative investment instruments to protect the purchasing power of national currency against inflation. One of these alternatives is the gold investment. Scientific studies investigate whether or the gold investment decision of individuals is really hedging instrument during the inflationary periods of economies. This study, 'Is it a hedging instrument gold investment in Turkey in inflationary period?' tries to answer its the question. While doing this, 1994-2019 period was analyzed by using gold prices and CPI monthly time series data. In the study, the relationship between gold prices and CPI was investigated with ADF, KPSS and Ng-Perron from of the traditional unit root tests, Lee ve Strazicich unit root test with endogenous structural break, a TodaYamamoto with structural breaks causality test. Our findings, in the period under, review doesn't support the view that an advantage against inflation of gold investment in Turkey. [ABSTRACT FROM AUTHOR]

This paper deals with the analysis of the relationship between cryptocurrencies and gold prices. In particular, we use fractional integration and cointegration techniques to examine the degree of persistence of the series and the possibility of short and long run equilibrium relationships between them. Our results indicate that there is evidence of mean reversion in gold prices and also in some of the cryptocurrencies; however, cointegration is only found in a few cases with a very small degree of cointegration in the long run relationship. Testing the hypothesis of convergence throughout the ratios, again we only found evidence of mean reversion in the cases of Bytecoin, Dash, Ether, Monero and Ether. • The paper analyses the relationship between cryptocurrencies and gold prices. • Fractional integration and cointegration is used to examine the degree of persistence. • Results indicate that there is evidence of mean reversion in gold prices. • Also in some of the cryptocurrencies. • Cointegration is found in a few cases with a very small degree of cointegration. [ABSTRACT FROM AUTHOR]

The aim of this study is to analyze the relationship between stock prices, gold and crude oil prices in 2003:01 and 2018:06 periods. The stability of the variables was analyzed by a structural break (Zivot-Andrews) unit root test. Whether or not there is a long-term relationship between the variables was investigated by the Gregory-Hansen structural fracture cointegration test. The causality relationship between the variables was examined by the Hatemi-J (2012)Asymmetric Causality test and Balcılar and others (2010) a Boostrap Rolling Window Test. In the Hatemi-J Asymmetric Causality test, it is seen that there is a causality from negative shocks in oil prices to stock prices positive shocks. It is seen that there is a causality from stock prices positive shocks towards positive shocks in petroleum. Again, there is a causality from the stock prices negative shocks towards negative shocks in oil. Finally, there are causality from stock prices negative shocks to positive shocks in petroleum. In addition, stock prices negative shocks were found to have a causality towards negative shocks. [ABSTRACT FROM AUTHOR]

Classical and fuzzy methods which are used to model the time series are encountered in many areas of life. The tendency to model with fuzzy logic increases when the classical analyses are inadequate, unsatisfying and when the assumptions that classical model needs are not met. In the fuzzy time series analysis, which allows working ith uncertainties, the Type 2 models which include more information in calculations can be used in the literature. Furthermore, the applicability of a model to different data set is important. Therefore, In this study, Type 2 fuzzy time series model developed by Huarng and Yu (2005) was handled, and it was fitted in the gold price data in Turkey. The forecast results were obtained and the weaknesses of Type 2 fuzzy time series model were also examined. [ABSTRACT FROM AUTHOR]

In this paper, the asymmetric and spillover effects among gold, exchange rate, and sectoral stock returns of Pakistan have been examined. Using the Threshold GARCH model, we found that the volatilities in both gold and exchange rate transmit to each sectoral stock return in the overall sample period. The variations in gold returns lead to variation in the exchange rate and contrariwise. The gold and exchange rate spillover effect on sectoral stock returns is notably higher in times of pre-Asian financial crisis than other sub-periods along with the bidirectional mechanism of volatility contagion between gold and exchange rate. Further, the asymmetric response of most sectoral returns to shocks and a switch in direction of volatilities through the postglobal crisis as compared to pre-crisis periods have also been noted. Our findings provide frail evidence on volatility spread between gold and exchange rate in the course of post-global financial crisis phase. These findings have important implications for portfolio managers and institutional investors. [ABSTRACT FROM AUTHOR]

This study examines the relationships among oil prices, gold prices, and the USD real exchange rate. It adopts the wavelet approach as a nonlinear causality technique to decompose the data into various scales over time. Higher-order coherence and partial coherence were used to identify the lead-lag effect and mutual coherence function among the variables. The results show that changes in the USD exchange rate influence the prices of oil and gold negatively in the short- and medium-term. While in the long-term, the oil price has a negative impact on the value of the USD. Oil and gold are significantly linked and correlated because their prices are determined in USD. The findings of this paper have significant implications, particularly for risk management. [ABSTRACT FROM AUTHOR]

The purpose of the undertaken research study is to examine the influence of crude oil and gold prices on the equity returns of Baltic and South Asian stock markets. The study comprises of daily data from January 1, 2010, to June 30, 2016. Nasdaq Baltic market (LOMXBBGI) data time series is stationary at level; however, rest of the data series became stationary at first difference by employing Philips-Perron and Augmented Dickey-Fuller approaches. Results of Johansen cointegration illustrated an absence of the cointegration amongst the considered economic indicators, therefore; we could not establish the long haul association amidst the equity returns of Baltic and South Asian markets, and crude oil and gold prices. The outcomes of VEC Granger Causality/Block Exogeneity Wald approach suggested unidirectional causality from LCOP to LKSE100 and LGP to LKSE100. Hence, it has been established that there is no causal affiliation amongst the variables. However, it is further concluded from the results of ARDL approach that the LOMXBBGI has a significant short-term relationship in lag 1 and lag 2. Moreover, DLGP also showed a significant short-term relationship with LOMXBBGI at 10% significant level. However, LCOP does not have any affect on LOMXBBGI. [ABSTRACT FROM AUTHOR]

The fuzzy time series was first introduced by Song and Chissom. Since then, it has become a more interesting subject among researchers. Fuzzy time series approaches are generally composing of three main stages such as fuzzification, determination of fuzzy relationships and defuzzification. Artificial neural networks (ANNs) have been successfully used in the fuzzy relationship determination stage of different fuzzy time series forecasting approaches. In the implementation, gold prices (USD/oz.) series is forecasted by fuzzy time series forecasting method based on particle swarm optimization. The results have shown that the predictive accuracy is improved. As a result of the application, it is seen that the method produces accurate forecasting results for the gold prices data. [ABSTRACT FROM AUTHOR]

The aim of this study was to examine the effect of the period 1997M1-2016M5 stock return of oil and gold prices. Johansen-Juselius Cointegration study, Impulse Responses, variance decomposition and Granger causality analysis were used.The analysis results in the of one unit increase in the price of oil has created a decrease of 1,516 units BIST100 stock returns, in other hand of one unit increase in the price of gold has created a increase of 0.455 units BIST100 stock returns. In other words a negative correlation between oil prices and BIST100, positive relationship between gold prices with BIST100 have been identified. is also a result of the causality analysis were identified two way relationship between oil prices and BIST100. Gold prices are among the statistical BIST100 stock returns that as there was no causation. [ABSTRACT FROM AUTHOR]

The current study aims to produce a framework that helps in understanding how the increase of prices creates an effect on Inflation and how the increase in inflation creates an effect on other inflationary measures. The center of attention of this study is to check the influence on inflation in Pakistan. The study would let the readers know the influence and will help them in further studies. This study examines the relationship between the Dollar, Gold and petrol prices on inflation in Pakistan. The study is conducted for the period July 2008 to June 2013 on monthly basis. Simple linear regression test using SPSS were employed to analyze the data. ANOVA and Coefficient results show the positive relationship. The coefficient of correlation in this study is .876 which means that they have a very strong relationship with each other and creating influence. The result produced in this study shows the high influence of Dollar, Gold and Petrol prices on Inflation in Pakistan. This study should be further extended by using other variables, such as; interest rate, oil prices, energy prices, CPI etc. to improve the economic condition of Pakistan. The results indicate that these three factors played a dominant role in the recent inflation. This finding will contribute to the government of Pakistan in making tight policies to control the inflation rate using Dollar, Gold and Petrol prices, which makes the current study unique. [ABSTRACT FROM AUTHOR]

Gold, is placed at the 1B group of rare metals and has the feature of being the most known and recognized metal in every segments of the society. In this study the panel data anaysis which has several advantages compared to one dimension analysis is used and the existence of effects of gold prices on the ISE 100 Index is investigated, and moreover if there is an effect, the direction and magnitude of this effect is aimed to be determined. For this aim the fixed effect models and random effect models are emphasized. As the time series August 1995-March 2011 period and as the horizontal cross section 9 different independent variables' data are analyzed. As a result of these analysis it appears that the gold prices have not a direct effect on the ISE 100 Index, but a factor among the parameters explaining the differences in the the ISE 100 Index. Another point which takes attention at the result of this study is except the foreign trade balance, the all other variables precede the exchange rate in the ranking of effects to the ISE 100 Index. [ABSTRACT FROM AUTHOR]