Is Gold Safe Haven for Turkish Stocks During the Russia-Ukraine War?
Chapter from the book: Alpağut, S. (ed.) 2023. Economics and Finance Studies.

Yunus Karaömer
Hatay Mustafa Kemal University

Synopsis

This study aims to investigate the safe haven property of gold against Turkish stocks, namely, the BIST tourism, BIST construction, BIST food-beverage, and BIST chem petrol plastic during the Russia-Ukraine war. In the study, the dynamic conditional correlation-GARCH (DCC-GARCH) model is preferred to investigate the dynamic correlation between gold and Turkish stocks. To check the robustness of the DCC-GARCH empirical findings, the corrected dynamic conditional correlation-GARCH (cDCC-GARCH) model is applied to investigate the dynamic correlation between gold and Turkish stocks. Empirical results show that the correlations between the gold and BIST tourism, BIST construction, and BIST food-beverage returns are negative from February 24, 2022, to February 28, 2022. Gold could act as a safe haven during war periods for BIST tourism, BIST construction, and BIST food-beverage. The gold and BIST chem petrol plastic are positive from February 24, 2022, to February 28, 2022. For BIST chem petrol plastic, gold could not act as a safe haven during war periods. Besides, the empirical findings of the cDCC-GARCH support the empirical results of the DCC-GARCH. This study finds that gold exhibits safe haven properties during the Russia-Ukraine war.

How to cite this book

Karaömer, Y. (2023). Is Gold Safe Haven for Turkish Stocks During the Russia-Ukraine War?. In: Alpağut, S. (ed.), Economics and Finance Studies. Özgür Publications. DOI: https://doi.org/10.58830/ozgur.pub138.c511

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Published

June 24, 2023

DOI