Özet:

This study aims to reveal the return and volatility spillovers between developing/emerging country stock market indexes and precious metals that investors recently have concentrated on issues such as portfolio diversification and hedging. As a result of the multivariate VAR-EGARCH analysis, negative information shocks for precious metals have been found to be more dominant. It is proved that from gold returns to the equity markets of Indonesia, India, Brazil, Turkey have positive spillover, also from Brent oil returns to the equity markets of India, Brazil, Turkey have negative return spillover. The only market in which both of precious metals have positive return spillover has been the South African market. According to the results of the model’s variance equation, there is no volatility spillover to the Turkish equity markets from precious metals therefore the result is that Turkish equity market is stronger compared to other countries’ markets.

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