Financial market risk and gold investment in an emerging market: the case of Turkey

This study aims to identify the opportunity cost of holding gold, in relation to the stock market for case of Turkey. The focus is to detect if gold acts as a safe haven or a hedge asset in times of distress. The Threshold GARCH (TARCH) model was utilized. The analysis used daily data for the peri...

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Main Authors:	Bayram, Kamola, Abdullah, Adam, Meera, Ahamed Kameel Mydin
Format:	Article
Language:	English
Published:	IIUM Press 2017
Subjects:	HG3368 Islamic Banking and Finance
Online Access:	http://irep.iium.edu.my/61090/ http://irep.iium.edu.my/61090/ http://irep.iium.edu.my/61090/1/258-1-678-1-10-20171231.pdf

id	iium-61090
recordtype	eprints
spelling	iium-610902018-02-02T01:28:14Z http://irep.iium.edu.my/61090/ Financial market risk and gold investment in an emerging market: the case of Turkey Bayram, Kamola Abdullah, Adam Meera, Ahamed Kameel Mydin HG3368 Islamic Banking and Finance This study aims to identify the opportunity cost of holding gold, in relation to the stock market for case of Turkey. The focus is to detect if gold acts as a safe haven or a hedge asset in times of distress. The Threshold GARCH (TARCH) model was utilized. The analysis used daily data for the period 2005-2014. The data for selling prices of gold was represented by selling prices derived from Precious Metals and Diamonds Markets (PMDM). The returns on Borsa Istanbul (BIS) was employed to represent aggregate prices of stock market investment. It was found that gold has safe haven asset features which shows that gold outperforms the average portfolio during times when stock market faces distress. IIUM Press 2017-12-31 Article PeerReviewed application/pdf en http://irep.iium.edu.my/61090/1/258-1-678-1-10-20171231.pdf Bayram, Kamola and Abdullah, Adam and Meera, Ahamed Kameel Mydin (2017) Financial market risk and gold investment in an emerging market: the case of Turkey. Journal of Islamic Finance, 6 (Special Issue). pp. 91-99. ISSN 2289-2109 E-ISSN 2289-2117 http://journals.iium.edu.my/iiibf-journal/index.php/jif/issue/view/16
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HG3368 Islamic Banking and Finance
spellingShingle	HG3368 Islamic Banking and Finance Bayram, Kamola Abdullah, Adam Meera, Ahamed Kameel Mydin Financial market risk and gold investment in an emerging market: the case of Turkey
description	This study aims to identify the opportunity cost of holding gold, in relation to the stock market for case of Turkey. The focus is to detect if gold acts as a safe haven or a hedge asset in times of distress. The Threshold GARCH (TARCH) model was utilized. The analysis used daily data for the period 2005-2014. The data for selling prices of gold was represented by selling prices derived from Precious Metals and Diamonds Markets (PMDM). The returns on Borsa Istanbul (BIS) was employed to represent aggregate prices of stock market investment. It was found that gold has safe haven asset features which shows that gold outperforms the average portfolio during times when stock market faces distress.
format	Article
author	Bayram, Kamola Abdullah, Adam Meera, Ahamed Kameel Mydin
author_facet	Bayram, Kamola Abdullah, Adam Meera, Ahamed Kameel Mydin
author_sort	Bayram, Kamola
title	Financial market risk and gold investment in an emerging market: the case of Turkey
title_short	Financial market risk and gold investment in an emerging market: the case of Turkey
title_full	Financial market risk and gold investment in an emerging market: the case of Turkey
title_fullStr	Financial market risk and gold investment in an emerging market: the case of Turkey
title_full_unstemmed	Financial market risk and gold investment in an emerging market: the case of Turkey
title_sort	financial market risk and gold investment in an emerging market: the case of turkey
publisher	IIUM Press
publishDate	2017
url	http://irep.iium.edu.my/61090/ http://irep.iium.edu.my/61090/ http://irep.iium.edu.my/61090/1/258-1-678-1-10-20171231.pdf
first_indexed	2023-09-18T21:26:38Z
last_indexed	2023-09-18T21:26:38Z
_version_	1777412234933174272

Financial market risk and gold investment in an emerging market: the case of Turkey

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