Hedging Effectiveness of Gold: an Analysis for the Banking Sector With Different Dynamic Portfolio Approaches

dc.contributor.author Ozdemir, Huseyin
dc.date.accessioned 2024-12-05T20:49:20Z
dc.date.available 2024-12-05T20:49:20Z
dc.date.issued 2022
dc.department Atılım University en_US
dc.department-temp [Ozdemir, Huseyin] Atilim Univ, Isletme Fak, Ankara, Turkey en_US
dc.description.abstract In this study, we construct portfolios including gold and six major stock exchanges (& Idot;sbank, Garanti Bank, Akbank, Yap & imath; Kredi Bank, Halkbank, Aand Vak & imath;fbank) by using three different dynamic portfolio approaches (i.e., minimum variance, minimum correlation, and minimum connectedness approaches). The aim of the study is to investigate whether gold can be used as a hedge against six major banks operating in Turkey. Further, this study also aims to measure the hedging effectiveness of gold. We adopt a fully time- varying parameter vector auto-regression (TVP-VAR) econometric framework, applied to daily data spanning June 2018 to November 2022. Empirical results show that the optimal ratio of gold in bank stocks varies between 39% and 53%, depending on time and portfolio construction approach. It is observed that the volatility of bank stocks in the portfolios has decreased by approximately 75%. According to the MCP and MCoP approaches, the highest return was obtained from the portfolio constructed with the MVP approach. In addition, the empirical findings show that gold can be used as a hedging instrument against banking stocks in bear market conditions. en_US
dc.description.woscitationindex Emerging Sources Citation Index
dc.identifier.citationcount 0
dc.identifier.doi 10.30784/epfad.1217479
dc.identifier.endpage 908 en_US
dc.identifier.issn 2587-151X
dc.identifier.issue 4 en_US
dc.identifier.startpage 889 en_US
dc.identifier.uri https://doi.org/10.30784/epfad.1217479
dc.identifier.uri https://hdl.handle.net/20.500.14411/10303
dc.identifier.volume 7 en_US
dc.identifier.wos WOS:001343073500005
dc.institutionauthor Ozdemir, Huseyin
dc.language.iso en en_US
dc.publisher Economic and Financial Research Assoc - Efad en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/openAccess en_US
dc.subject Gold en_US
dc.subject Stock market en_US
dc.subject Hedging Effectiveness en_US
dc.subject Portfolio Selection en_US
dc.subject Banking Sector en_US
dc.title Hedging Effectiveness of Gold: an Analysis for the Banking Sector With Different Dynamic Portfolio Approaches en_US
dc.type Article en_US
dc.wos.citedbyCount 0
dspace.entity.type Publication

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