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Journals / Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi / 2021 / Cilt: 23 - Sayı: 4

The Investigation of the Relationship between BRICS-T Stock Markets, Gold and Brent Oil Prices with Time Varying Causality Test

BRICS-T Borsaları İle Altın ve Brent Petrol Fiyatları Arasındaki İlişkinin Zamanla Değişen Nedensellik Testi İle İncelenmesi

Feyyaz ZEREN
Selim GÜNGÖR
Pages
1453–1467
Publication Date
2021-12-29
DOI
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AI Summary & Key Takeaways

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

These findings provides valuable information for BRICS-T stock market, gold and Brent oil investors.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this paper, it is aimed to reveal the relationship between BRICS-T stock markets, gold ounce and Brent oil prices.
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Key Findings & Data:Weekly data were used in the study, which examined the period of 5th Nov., 1995 - 29th Dec., 2019, and according to the findings, the presence of a two-way time-varying causal relationship between both gold ounce and Brent oil prices with BRICS-T stock markets was determined.
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Conclusion & Impact:These findings provides valuable information for BRICS-T stock market, gold and Brent oil investors.
🔬Design:Research Article
📍Scope:2019 Verileri
⚙️Variables:BRICS-T ülkeleri · hisse senedi piyasaları · ons altın

Abstract

In this paper, it is aimed to reveal the relationship between BRICS-T stock markets, gold ounce and Brent oil prices. For this purpose, periodic differences of the relationships between the mentioned variables are tried to be revealed through the time varying causality test. Weekly data were used in the study, which examined the period of 5th Nov., 1995 - 29th Dec., 2019, and according to the findings, the presence of a two-way time-varying causal relationship between both gold ounce and Brent oil prices with BRICS-T stock markets was determined. This causality relationship has been observed to strengthen in local and global crisis periods. These findings provides valuable information for BRICS-T stock market, gold and Brent oil investors.

Özet

Bu çalışmada BRICS-T ülke borsaları ile ons altın ve Brent petrol fiyatları arasındaki ilişkinin ortaya konulması amaçlanmıştır. Bu amaç doğrultusunda zamanla değişen nedensellik testi vasıtasıyla söz konusu değişkenler arasındaki ilişkilerin dönemsel farklılıkları tespit edilmeye çalışılmıştır. 5 Kasım 1995 – 29 Aralık 2019 döneminin incelendiği çalışmada haftalık veriler kullanılmış olup, elde edilen bulgulara göre BRICS-T borsaları ile hem ons altın hem de Brent petrol fiyatı arasında çift yönlü zamana bağlı nedensellik ilişkisinin varlığı tespit edilmiştir. Bu nedensellik ilişkisinin yerel ve küresel kriz dönemlerinde kuvvetlendiği görülmüştür. Söz konusu bulgular BRICS-T borsaları, altın ve Brent petrol yatırımcıları için kıymetli bilgiler sunmaktadır.

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Cite This Article

ZEREN, F., GÜNGÖR, S. (2021). The Investigation of the Relationship between BRICS-T Stock Markets, Gold and Brent Oil Prices with Time Varying Causality Test. Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi, Cilt: 23 - Sayı: 4, 1453–1467. https://ajindex.com/articles/399703

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