Abstract:

The study has studied the possible relationship between gold, considered a safe investment tool, and the BIST 100 Stock Index in price movements and the changes in the currency rate of the dollar. The BIST Gold Index, which represents gold prices, was included in the analysis and a set of data was created by taking the natural logarithms of the monthly average prices of each variable in the period 2006:01-2018:06. First, the returns of the variables were studied with a regression analysis and then the standing levels were determined with the Dickey-Fuller unit root test multiplied over the average prices. The Johansen Integration Test was implemented in order to identify the long-term relationship of the variables determined in the first degree stop. After a single equalization vector that balances variables in the long term, the vector error correction model (VECM) has been used to detect balanced deviations. Finally, the Granger Causal Test examined the short-term relationships of the variables. The result is that changes in gold prices, the BIST 100 stock index and the dollar currency may have a significant impact in the long term, but in the short term these variables do not have a significant impact on the price of gold.

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