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

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

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Abstract

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.

Item Type:	Article (Journal)
Additional Information:	7452/61090
Subjects:	H Social Sciences > HG Finance > HG3368 Islamic Banking and Finance
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Institute of Islamic Banking & Finance (IIiBF)
Depositing User:	Dr Adam Abdullah
Date Deposited:	01 Jan 2018 00:36
Last Modified:	02 Feb 2018 09:28
URI:	http://irep.iium.edu.my/id/eprint/61090

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