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Article Citation - WoS: 1Hedging Effectiveness of Gold: an Analysis for the Banking Sector With Different Dynamic Portfolio Approaches(Economic and Financial Research Assoc - Efad, 2022) Ozdemir, HuseyinIn 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.Article Citation - WoS: 1Citation - Scopus: 2Testing the Efficiency of Emerging Markets: Evidence From Nonlinear Panel Unit Tests(Savez Ekonomista Vojvodine, 2023) Turguttopbas, Neslihan; Omay, TolgaIn this study, we investigate market efficiency considering nonlinear-ities by testing the weak-form market efficiency of the stock markets of Brazil, China, Russia, Turkey, and South Africa using recently proposed nonlinear panel unit root tests. The stock markets of these emerging countries are deliberately selected for their market capitalization to form a homogenous panel. The results of nonlinear models indicate that the stock market indexes are stationary and weak-form inefficient. This finding contributes to the contradictory results of the prior research using linear and nonlinear models about the efficiency of emerging stock markets in favor of nonlinear ones. Furthermore, we propose that studies using financial variables consider such nonlinearity in order to achieve more ac-curacy in findings related to such studies.
