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Journals / Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2025 / Sayı: 72

Dynamic linkages between gold, bitcoin, currency basket and BIST100 in Türkiye: DCC-GARCH R2 decomposition and portfolio strategies

Türkiye’de altın, bitcoin, sepet kur ve BİST100 arasındaki dinamik ilişkiler: DCC-GARCH R² ayrıştırması ve portföy stratejileri

Deniz Sevinç(ANADOLU ÜNİVERSİTESİ)0000-0002-6223-9450
Pages
39–49
Publication Date
2025-12-31
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The results indicate that modern strategies offer the highest Sharpe ratios, whereas traditional approaches appear more suitable for risk-averse investors.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study investigates the dynamic relationships between gram gold, Bitcoin (BTC/TRY), a currency basket (50% USD/TRY + 50% EUR/TRY), and the BIST100 index within the Turkish financial market.
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Key Findings & Data:Using daily data from 2018 to 2024, the analysis employs the R² decomposed connectedness method based on the DCC-GARCH model.
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Conclusion & Impact:The results indicate that modern strategies offer the highest Sharpe ratios, whereas traditional approaches appear more suitable for risk-averse investors.
🔬Design:Modeling & Simulation
📍Scope:2018 Verileri
⚙️Variables:dinamik bağlantılar · DCC-GARCH · R2 bağlantı ölçümü

Abstract

This study investigates the dynamic relationships between gram gold, Bitcoin (BTC/TRY), a currency basket (50% USD/TRY + 50% EUR/TRY), and the BIST100 index within the Turkish financial market. Using daily data from 2018 to 2024, the analysis employs the R² decomposed connectedness method based on the DCC-GARCH model. This approach enables the time-varying assessment of cross-market interactions and the identification of significant contagion effects, particularly during periods of crisis and high volatility. The results reveal strong positive connectedness among gold, Bitcoin, and the currency basket, while the BIST100 index exhibits weak and negative correlations with these assets. This highlights the importance of diversification rather than holding equities alone. Moreover, dynamic portfolios with minimal risk were constructed based on the connectedness findings, and their performance was evaluated using hedging effectiveness metrics. The results indicate that modern strategies offer the highest Sharpe ratios, whereas traditional approaches appear more suitable for risk-averse investors. Overall, the study underscores the importance of incorporating dependency dynamics into portfolio diversification decisions and contributes to systemic risk monitoring from a policy perspective.

Özet

Bu çalışma, Türkiye finans piyasasında gram altın, Bitcoin, sepet kur (%50 USD/TRY + %50 EUR/TRY) ve BİST100 endeksi arasındaki dinamik bağlantıları incelemekte ve yatırımcılar için risk azaltıcı portföy stratejileri önermektedir. Araştırmada 2018–2024 dönemine ait günlük veriler kullanılarak DCC-GARCH modeline dayalı R2 ayrıştırılmış bağımlılık yöntemi uygulanmıştır. Bu yöntem sayesinde piyasalar arası etkileşimler zamana bağlı olarak analiz edilmiş, özellikle kriz ve yüksek volatilite dönemlerinde önemli yayılma etkileri gözlemlenmiştir. Altın, sepet kur ve Bitcoin arasında güçlü pozitif bağlılık bulunurken, BİST100 ile bu varlıklar arasında negatif ve zayıf korelasyonlar tespit edilmiştir. Bu durum, pay senetlerine tek başına yatırım yapmak yerine çeşitlendirmenin önemini göstermektedir. Ayrıca, bağımlılık bulgularına dayalı olarak minimum risk taşıyan dinamik portföyler oluşturulmuş; bu portföylerin etkinliği riskten korunma etkinliği ölçütleriyle değerlendirilmiştir. Sonuçlar modern stratejilerin en yüksek Sharpe oranlarına sahip olduğunu sunarken, geleneksel stratejilerin riskten kaçınan yatırımcılar için daha uygun olduğunu göstermektedir. Çalışma, yatırımcıların portföy çeşitlendirmesinde bağımlılık dinamiklerini dikkate almalarının önemini vurgularken, politika yapıcılar için de sistemik riskin izlenmesine katkı sağlamaktadır.

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Cite This Article

Sevinç, D. (2025). Dynamic linkages between gold, bitcoin, currency basket and BIST100 in Türkiye: DCC-GARCH R2 decomposition and portfolio strategies. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Sayı: 72, 39–49. https://doi.org/10.18070/erciyesiibd.1692319

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