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Borsa Istanbul Review 23-2 (2023) 297–321
http://www.elsevier.com/journals/borsa-istanbul-review/2214-8450

Full Length Article

Safe-haven and hedging roles of precious metals for BRICS and Turkey
A. Galip Gençyürek a,*, Ramazan Ekinci b
a
Munzur University, Tunceli, Turkiye
b _
Bakırçay University, Izmir, Turkiye

Received 11 April 2022; revised 29 October 2022; accepted 29 October 2022

Available online 3 November 2022

Abstract

This paper investigates the role of precious metals in risk management (diversification, hedging, safe haven, leading and lagging roles) in the
stock markets of BRICS-T (Brazil, Russia, India, China, South Africa, and Turkiye) countries using DCC-IGARCH-t-copula (Dynamic Con-
ditional Correlation Integrated Generalized Autoregressive Conditional Heteroscedasticity - t-copula) and rolling Hong causality with daily data
from the period 2015 to 2022. Our empirical findings indicate that, despite the existence of bidirectional variance causality, precious metals (gold,
silver, platinum, and palladium) are effective risk management instruments, except for hedging. Moreover, to mitigate risk during the COVID-19
pandemic, investors should increase the weight in their portfolios of precious metals, except for gold. The leading role of precious metals in
variance causality can help policy makers to design appropriate policies for curbing market vulnerability.
Copyright © 2022 Borsa İstanbul Anonim Şirketi. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license
(http://creativecommons.org/licenses/by-nc-nd/4.0/).

1. Introduction The economies of Brazil, Russia, India, China, and South

In addition to affecting our daily lives, the COVID-19
pandemic has jeopardized global economics, global busi-
nesses, and financial equilibrium, causing ongoing economic
distress worldwide (Cheema et al., 2022; Wen, Tong, & Ren,
2022). COVID-19 created delays in shipment and production,
and companies, especially those that do not have enough
liquidity, are under stress due to temporary interruptions in
inputs or outputs (Priya, Cuce, & Sudhakar, 2021). To keep the
economy going, governments have issued money and subsi-
dized firms through their monetary policy. An increase in the
money supply and the price of raw materials resulted in
inflation. Interest rates have been increased to help blunt
inflation, with the capital flow being transferred from emerging
markets to developed markets because of high-interest rates
and high creditableness of countries in this time. These factors
have led to the expectation of a recession and financial stress,
especially in emerging markets.
* Corresponding author.
E-mail address: ahmetgalipgencyurek@munzur.edu.tr (A.G. Gençyürek).
Peer review under responsibility of Borsa İstanbul Anonim Şirketi.
Africa (called the BRICS countries, or the fragile five) are
important because of their dominant role in the flow of global
investment (Mensi, Hammoudeh, Reboredo, & Nguyen, 2014).
BRICS markets achieved rapid economic growth by relying on
capital mobility (global investment flows). In addition, these
countries offer opportunities for higher, more predictable
average returns and more effective diversification. Therefore,
many investors and policy makers have become interested in
the BRICS stock markets (Jiang, Fu, & Ruan, 2019). Emerging
markets face many risks (become vulnerable) due to global
events (e.g., fluctuations in commodity prices, financial un-
certainty, and the slowdown in the global economy), so risk
management has also become an important topic (Kumar,
2014; Raza, Shahzad, Tiwari, & Shahbaz, 2016; Wen &
Cheng, 2018). During periods of financial turbulence, the pri-
ces of risky assets have fallen simultaneously via different
contagion channels (Coudert & Raymond, 2011). For example,
the correlations and the comovements were more obvious
during the 2008 global financial crisis period (Bhardwaj,
Gorton, & Rouwenhorst, 2015; Büyükşahin & Robe, 2014;
Jiang et al., 2019; Kang, Maitra, Dash, & Brooks, 2019; Mensi,
Al-Yahyaee, & Kang, 2017; Yousaf, Ali, & Wong, 2020).
Globalization resulted in financial integration, which is the

https://doi.org/10.1016/j.bir.2022.10.013
2214-8450/Copyright © 2022 Borsa İstanbul Anonim Şirketi. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://
creativecommons.org/licenses/by-nc-nd/4.0/).
A.G. Gençyürek, R. Ekinci
main cause of these linkages (cross-market information flow)
(Al-Yahyaee, Mensi, Maitra, & Al-Jarrah, 2019). The spillover
effect explains the interactions among markets and illustrates
possible crisis contagion.
All these facts attract interest from scholars and investors
about the spillover relationships in portfolio management,
hedging strategies (Baruník, Kočenda, & Vácha, 2016;
Bhatia, Das, & Kumar, 2020), asset pricing, and market
microstructural problems (Khalifa, Otranto, Hammoudeh, &
Ramchander, 2016). This is because economic and political
uncertainty and uncertainty due to the pandemic lead risk-
averse investors to switch from risky assets to less-risky as-
sets in order to maintain the value of their assets and the
trade-off between risks and returns (Nandelenga, Alagidede,
& Simpasa, 2021; Tuysuz, 2013; Yousaf, Bouri, Ali, &
Azoury, 2021). Prospect theory explains this investor
behavior, holding that investors are more sensitive to losses
than gains (Ghazali, Lean, & Bahari, 2015). In addition, the
spillover relationship helps policy makers to observe signif-
icant changes among markets (Wang, Ma, Liu, & Yang,
2020) in order to obtain information on the fragility and
stability of the market (Poon & Granger, 2003; Yu, 2002).
They affect decisions by policy makers (Ciner, Gurdgiev, &
Lucey, 2013), enabling them to carry out policies to control
(curb) market risk (Chng, 2009; Kang, McIver, & Yoon,
2016).
In modern times, trading in commodities that offer alter-
native investment opportunities has grown considerably
(Batten, Ciner, & Lucey, 2010; Vivian & Wohar, 2012) for
two reasons: first, because they can be used to diversify
portfolio risk (Kang, McIver, & Yoon, 2017) and, second,
because commodities are considered safe havens. Some re-
searchers have called this phenomenon “flight-to-quality”
(Jiang et al., 2019; Mensi, Hammoudeh, & Kang, 2015,
2017; Miyazaki & Hamori, 2013), for three reasons. First, the
value of commodities is more stable than that of stocks.
Second, the factors that affect commodity prices and stock
prices are different. Third, commodities are more useful for
hedging against inflation (Al-Yahyaee, Mensi, Sensoy, &
Kang, 2019). The hedging property of gold against infla-
tion has been reported in the literature (e.g., Adrangi,
Chatrath, & Raffiee, 2003; Aye, Chang, & Gupta, 2016;
Beckmann & Czudaj, 2013; Dee, Li, & Zheng, 2013; Ghosh,
Levin, Macmillan, & Wright, 2004; Greer, 1978;
Worthington & Pahlavani, 2007). Depending on the reasons
for a safe haven, a small or negative correlation is expected to
be found between commodities and stocks (Belousova &
Dorfleitner, 2012; Daskalaki & Skiadopoulos, 2011;
Skiadopoulos, 2012). If commodities and traditional assets
become more related (through spillover), systemic risks
might dominate commodity markets (Silvennoinen & Thorp,
2013), portfolio risk might increase, and the diversification
benefits decline (Mensi, Sensoy, Aslan, & Kang, 2019).
Direct investment in commodities such as financial assets is
unrealistic because of disadvantages such as high transaction
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costs, insurance costs, and storage costs. Instead, it is more
sensible to trade commodity futures (Jensen, Johnson, &
Mercer, 2000). Commodity futures are used primarily to
hedge against negative price movements, but they are often
used to yield profit later. The trading (short and long) position
in the commodity futures market reveals the market trend and
market expectations. They can also be used to diversify risk in
stock or bond portfolios, particularly in periods of turmoil
(Andreasson, Bekiros, Nguyen, & Uddin, 2016). Progress in
commodity derivatives has caused commodity financialization,
and, so, hedge funds, institutional investment firms, and ETFs
(Exchange Traded Funds) have taken greater interest in com-
modity markets.
According to the modern portfolio theory, investors can
increase portfolio performance (reduce risk without lowering
expected return) by including unique assets, which means
with less than complete correlation (Jensen et al., 2000;
Lagesh, Kasim C, & Paul, 2014; Sensoy, Hacihasanoglu, &
Nguyen, 2015). In other words, a well-diversified portfolio
infers less correlation among bonds, equities, commodities,
countries, and industry sectors. Multiple systemic risk drivers
are the reason for low correlation (Roll, 2013). The high
correlation between assets that do not allow diversification
occurs in periods of high volatility (periods of turmoil)
(Antoniou, Pescetto, & Stevens, 2007; Longin & Solnik,
1995). Bodie and Rosansky (1980), Lee, Leuthold, and
Cordier (1985), Abanomey and Mathur (1999), and
Conover, Jensen, Johnson, and Mercer (2010) indicate that it
is possible to improve portfolio performance by adding
commodity futures. Contrary to these studies, Cheung and
Miu (2010) state that the benefits of the portfolio perfor-
mance of commodity futures are not available in bearish
periods.
Recently, because of their high economic value, precious
metals (gold, silver, platinum, palladium) have attracted
attention from decision-makers (Yıldırım, Cevik, & Esen,
2020) and are useful in risk management, due to their safe-
haven properties (Arouri, Lahiani, & Nguyen, 2015; Bouri,
Jain, Biswal, & Roubaud, 2017; Creti, Joëts, & Mignon,
2013; Flavin, Morley, & Panopoulou, 2014; Gürgün &
Ünalmış, 2014; Husain, Tiwari, Sohag, & Shahbaz, 2019;
Raza et al., 2016; Rehman, Shahzad, Uddin, & Hedström,
2018; Shahzad, Rehman, & Jammazi, 2019; Yousaf et al.,
2020), especially during periods of inflation and global eco-
nomic and political vulnerability (Kearney & Lombra, 2009).
Only a limited number of researchers have identified the risk
management role of precious metals in the stock markets of the
five fragile countries (Brazil, Russia, India, China, and South
Africa) as well as Turkiye (here called BRICS-T), although
countries share increased economic stress. In addition, previous
studies have not observed the impacts of turbulent (crisis) and
tranquil periods on the risk management role (hedging, diver-
sification, and safe haven) of precious metals for these coun-
tries. Therefore, this paper explores the relationship between
the BRICS-T stock markets and precious metals (gold, silver,
A.G. Gençyürek, R. Ekinci
platinum, and palladium), considering COVID-19 for the
above-mentioned reasons. This study seeks to answer the
following four questions. (1) Which precious metal plays the
best safe-haven, hedging, and diversification role for each of
the BRICS-T countries? (2) Should precious metals be used as
a hedge or diversification instrument to reduce risk? (3) What is
the leading and lagging indicator relationship between BRICS-
T and precious metals? and (4) What are the implications for
risk management of COVID-19? The other novel aspects of
this study include: (1) a thorough analysis of the statistics of
hedge efficiency to decide their risk management role with
certainty and (2) the approaches to empirical research adopted
for this study. The DCC-GARCH-t-copula and rolling Hong
causality (Lu, Hong, Wang, Lai, & Liu, 2014) methods were
used because of their ability to detect the dependent extreme
values observed in the financial data and their time-varying
causality ability, which allows the use of all GARCH type
models, respectively.
Although, echoing previous theoretical studies, this paper
reveals that the precious metals are strong risk management
instruments, it offers some important unique insights. First,
precious metals are more effective for use in portfolio diver-
sification, rather than hedge transactions. Second, investors
should increase the weight of precious metals in their portfolios
to control the increased risks due to COVID-19, excluding an
exceptional asset (gold). Finally, stock market investors and
policy makers should consider the precious metals while they
are curbing risks.
Our paper is organized as follows. Following this Intro-
duction, Section 2 presents a literature review, Section 3 de-
scribes our methodology, Section 4 defines the data, Section 5
gives our empirical results and a discussion, and Section 6 is
the conclusion.
2. Literature review
This section offers a brief summary of the literature related
to the spillover between precious metals and stock markets. As
mentioned earlier, a growing body of literature identifies the
importance of precious metals, especially gold, in risk man-
agement, because of increased uncertainty and risk in the
economy.
Although gold appears to be a safe-haven instrument for
stock markets (e.g., Baumöhl & Lyócsa, 2017; Baur &
Lucey, 2010; Baur & McDermott, 2010; Beckmann,
Berger, & Czudaj, 2015; Bredin, Conlon, & Potì, 2015;
Chkili, 2016; Nguyen, Bhatti, Komorníková, & Komorník,
2016; Junttila, Pesonen, & Raatikainen, 2018; Shahzad,
Bouri, Roubaud, & Kristoufek, 2020; Wen & Cheng,
2018), some studies present a different view (e.g.,
Choudhry, Hassan, & Shabi, 2015; He, O'Connor, &
Thijssen, 2018). Moreover, the research indicates that its
strength as a safe haven differs based on the country
analyzed. For instance, Coudert and Raymond (2011) found
that gold was a strong safe haven for the US, but a weak safe
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haven for France, Germany, and the UK in the bear market.
Similarly, Yousaf et al. (2021) show that gold is a strong safe
haven for China, Indonesia, Singapore, and Vietnam, but a
weak safe haven for Pakistan and Thailand during the
COVID-19 period. Ghazali et al. (2015) and Elie, Naji,
Dutta, and Uddin (2019) show that gold is a weak safe
haven for the sharia-compliant stock market and the clean
energy sector, respectively. Nandelenga et al. (2021)
demonstrate that gold is a strong safe haven for stock mar-
kets of sub-Saharan Africa. Tuysuz (2013) also discussed the
safe-haven role of gold during different periods of turmoil.
He found that, during a crisis in Asia and Russia, gold is not
a safe haven for the S&P 500, but during the dot.com crisis,
gold was a weak safe-haven instrument. During the global
financial crises, gold acted as a strong safe haven.
In addition to being a safe haven, gold can be used for
hedging or diversification purposes, as examined in numerous
studies. Do, McAleer, and Sriboonchitta (2009) indicate that
gold is a substitute instrument in the stock markets of Vietnam
and the Philippines, but is complementary in Indonesia,
Thailand, and Malaysia. Chen and Lin (2014) document that
gold is a good hedging instrument in some bear periods.
Gencer and Musoglu (2014) use a BEKK-GARCH (Baba,
Engle, Kraft, and Kroner- Generalized Autoregressive Condi-
tional Heteroscedasticity) model and reveal bidirectional shock
and volatility spillover between the Turkish stock market and
gold. They also assert that an optimal portfolio consisting of
gold and stocks should be dominated by gold. Baruník et al.
(2016) use wavelet transformed DCC (Dynamic Conditional
Correlation) and find that a portfolio consisting of gold, oil, and
the S&P 500 is well diversified. Hong, Lean, and Wong (2015)
analyze the relationship between gold and the French stock
market, revealing that gold is a good diversifier for the stock
market. Basher and Sadorsky (2016) show that the hedging
effectiveness of gold is less than 0.10 for the MSCI Emerging
Market Index. Kang et al. (2016) document that the Indian
stock market should include a gold-dominated optimal port-
folio; they also write that when gold has a low weight, this also
applies to the stock market of Brazil. Yoon, Al Mamun, Uddin,
and Kang (2019) use the Diebold Yılmaz Spillover Index
method and state that gold is a source of diversification for
Asian-Pacific stock markets. Yunus (2020) reveals that
although gold has no hedging effect during tranquil periods, in
periods of global financial crises, it provides weak diversifi-
cation. Ahmed and Huo (2021) employ the VAR-BEKK-
GARCH method and find no return spillover between gold
and the Chinese stock market. In considering volatility spill-
over, they find unidirectional spillover from the stock market to
the gold market. They also show that the optimal portfolio
consisting of gold/stocks is dominated by gold (0.58), with
gold providing the most suitable hedging opportunity. Zhang,
Wang, Xiong, and Zou (2021) show a very low positive cor-
relation (0–0.1) between gold and the Chinese stock market.
They believe that gold can be used as a diversification instru-
ment, rather than a hedging instrument. Their study also
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Borsa Istanbul Review 23-2 (2023) 297–321

indicates that optimal portfolios consisting of gold spot/stocks
and gold futures/stocks should be gold weighted at a rate of
0.72 and 0.70, respectively.
Some studies that analyze this topic consider only the
leading and lagging role. If spillover, transmission, connect-
edness, or causality is found between gold and the stock market
indexes, gold likely has a weak risk-reducing effect. If there is
no significant linkage, gold probably has a good risk-reducing
impact. Chan, Treepongkaruna, Brooks, and Gray (2011) show
that gold has a strong effect on the US stock market during
periods of tranquility. Mensi, Beljid, Boubaker, and Managi
(2013) demonstrate that prior volatility in the S&P 500 af-
fects the volatility of gold. Miyazaki and Hamori (2013) show
only return causality from the S&P 500 to gold. Mensi et al.
(2014) use quantile regression and find that gold comoves
with the stock market in Brazil, India, and South Africa. Jain
and Biswal (2016) use DCC-GARCH, EGARCH, and
TGARCH, as well as symmetrical and asymmetrical nonlinear
causality, and find a negative correlation over a short period.
Bouri, Roubaud, Jammazi, and Assaf (2017) apply the fre-
quency domain causality model and find bidirectional causality
between gold and stock markets (in China and India) at high

Table 1
Risk management role of precious metals in stock markets.
Author Name Period and Frequency Method Key Findings
Hillier, Draper, and Faff 1976–2004 GARCH regression Hedging for S&P 500: gold, silver, platinum
(2006) Daily
Chong and Miffre (2009) 1981–2006 DCC-GARCH Good risk diversifier: gold, silver, platinum
Weekly
Choi and Hammoudeh (2010) 1990–2006 Markov-switching Good risk diversifier for S&P 500: gold
Weekly DCC-GARCH
Hood and Malik (2013) 1995–2010 GARCH regression Weak safe haven for S&P 500: gold
Daily
Lagesh et al. (2014) 2005–2011 DCC-GARCH Good risk diversifier for India: commodity index
Daily
Mensi et al. (2015) 2005–2014 DCC-FIAPARCH Risk diversifier for Saudi Arabia: gold
Daily
Lucey and Li (2015) 1989–2013 DCC-GARCH Safe haven for S&P 500 in different time periods: gold, silver, platinum, and
Daily palladium
Andreasson et al. (2016) 1990–2014 VECM causality • Bidirectional mean Granger causality between precious metals and S&P 500,
Weekly GJR-GARCH • Unidirectional volatility causality from gold to S&P 500 and from S&P 500
to platinum and silver.
Boako and Alagidede (2016) 2003–2014 DCC-GARCH • Diversifier for Morocco, Egypt, Kenya, South Africa: platinum
Daily • Diversifier for Tunisia: silver
• Diversifier for Namibia: gold
Mensi et al. (2017) 2000–2016 DECO-FIGARCH • Diversifier for STOXX600, TSX, Nikkei 225: palladium
Daily Diebold Yılmaz • Diversifier for S&P 500: gold
Spillover Index • Cheapest hedging process for all: palladium
Klein (2017) 20002–2016 DCC-FIAPARCH • Safe haven: gold and silver
Daily • Temporal safe haven in extreme market con.: platinum
Al-Yahyaee, Mensi, Sensoy, 2005–2016 DECO-FIAPARCH • Cheapest hedging transaction for GCC (Gulf Council Countries): silver
and Kang (2019) Daily Diebold Yılmaz • Most expensive hedging transaction for GCC: Gold
Spillover Index
Jiang et al. (2019) 2001–2017 DCC-GJR-GARCH • Cheapest hedging transaction for BRICS: gold
Daily • Most expensive hedging transaction for BRICS: palladium
Ali, Bouri, Czudaj, and 2001–2018 Cross-Quantilogram • Safe haven particularly for developed countries: gold
Shahzad (2020) Daily
Bhatia et al. (2020) 2000–2017 Wavelet • Cheapest hedging transaction for US: gold
Weekly DCC-GARCH • Cheapest hedging transaction for India: gold
Mandacı, Cagli, and Taşkın 1992–2019 TVP-VAR Diebold • Most efficient diversifier for developed markets or emerging markets: silver
(2020) Daily Yılmaz Spillover • Portfolio diversification is more efficient than hedge transactions.
Index
DCC-GARCH-t-
copulas
Peng (2020) 2006–2018 DCC-GARCH Precious metals are diversifiers for stocks. Also, precious metals can be used
Daily as a safe haven, with gold the strongest.
Uddin, Hernandez, Shahzad, 1996–2016 Copula They consider the upside and downside risk and indicate that strong
and Kang (2020) Daily asymmetric tail dependence is found between silver, platinum, and stock
markets in periods of turmoil, but a weak relationship between gold and
stock markets.
(continued on next page)

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Table 1 (continued )
Author Name
Akhtaruzzaman, Boubaker,
Lucey, and Sensoy (2021)
Cheema et al. (2022)
Hasan, Hassan, Rashid, and
Alhenawi (2021)
Lahiani, Mefteh-Wali, and
Vasbieva (2021)
Omane-Adjepong and
Alagidede (2021)
Salisu, Raheem, and Vo
(2021)
Period and Frequency Method Key Findings
January 2, 2018–April DCC-GARCH • Prepandemic period: Gold provided weak hedge properties for S&P 500,
24, 2020 Diebold Yılmaz Nikkei 225, China FTSE 50, and EuroStoxx 50.
Hourly Spillover Index • After the first case reported by China (first pandemic period): Gold provided
safe haven properties S&P 500, Nikkei 225, China FTSE 50, and EuroStoxx
50.
• After the announcement of the government's first stimulus monetary and
fiscal policy (second pandemic period): Gold has played a diversification role
for all stock indexes.
2013–2021 Asymmetric DCC- • Before the pandemic: Gold and Bitcoin acted as hedge instruments for S&P
Daily TARCH 500, EuroStoxx 50, Nikkei 225.
• During the pandemic: Only gold has acted as a weak safe haven, except for
Nikkei 225.
2002–2020 Regression GJR- • Only gold is a strong hedge instrument for S&P 500
Daily GARCH • During the 2008 global financial crisis, only silver acted as a strong safe
haven.
• During COVID-19: Gold and silver have not been safe-haven instruments.
2019–2021 NARDL • Safe haven in the short term during COVID-19: palladium, copper, and gold
Daily (for S&P 500)
• Safe haven in the long term during COVID-19: None of the precious metals
(for S&P 500)
2015–2020 DCC-GARCH • Weak safe-haven properties in epidemic period: gold, silver, and palladium
Daily AR-NAGARCH (for some African stock markets).
• Weak safe-haven properties in pandemic period: gold, silver, palladium,
platinum (for some African stock markets)
• Strong safe-haven properties in pandemic period: gold and palladium (for
some African stock markets).
• Safe-haven role of precious metals, especially gold, has decreased.
December 31, Feasible Quasi GLS • Gold offers better risk management instrument than other precious metals,
2019–May 28, 2020 regardless of period. (for VIX)
• Gold has acted as a safe-haven instrument during COVID-19 (for VIX)
- Gold provided higher risk management effectiveness before COVID-19
period (for VIX)

Sikiru and Salisu (2021) 1990–2021 Clark and West test Only gold has acted as a safe haven during COVID-19 among precious metals.
Daily
Esparcia, Jareño, and Umar 2018–2020 MODWT • Gold has played a safe-haven role during COVID-19, but this role has
(2022) Daily ADCC-GARCH decreased at lower frequencies.
Hau, Zhu, Yu, and Yu (2022) 2005–2019 Wavelet Bidirectional causality in mean and variance between trade policy uncertainty
Monthly Nonparametric of China, US, and rare earths.
Causality in Quantile
Kumar and Padakandla 2015–2020 Wavelet Quantile • Gold is an diversifier and hedge instrument.
(2022) Daily Correlation • Gold is a safe haven for CAC 40, S&P 500, EuroStoxx
Liu and Lee (2022) 1997–2021 DCC-MIDAS -Gold acts as a diversifier, rather than a hedge for oil in the long run.
Monthly -Gold acts as a safe haven in periods of turmoil in the long run.
Mensi, Ali, Vo, and Kang 2000–2021 Quantile Coherency -Precious metals can be used as strong hedge instruments for major currencies.
(2022) Daily Frequencies
Connectedness Index
Wen et al. (2022) 2019–2021 TVP-VAR Gold has acted as a safe haven during COVID-19 for S&P 500.
Daily

and low frequencies. Maghyereh, Awartani, and Tziogkidis
(2017) find no volatility relationship. Singhal, Choudhary,
and Biswal (2019) conduct an ARDL (Autoregressive
Distributed Lag) bound test in Mexico. They show that the
price of gold has a positive effect on the stock market.
Maghyereh, Awartani, and Hassan (2018) reveal that gold is
not a good hedging instrument for sharia-compliant securities.
Wen, Wang, Ma, and Zhang (2020) analyze return, volatility,
and risk spillover between the US stock market indexes
(S&P500, NASDAQ, DJI) and the gold market. They
demonstrate that although the return relationship is insignifi-
cant, the volatility transmission is important (bidirectional).
Table 1 indicates the studies considering the risk management
roles of precious metals together.
All the studies reviewed here support the hypothesis that
precious metals, especially gold, are good risk diversifiers for
stock markets. In turbulent (crisis) periods, gold is generally a
safe-haven instrument, but its strength differs across the coun-
tries analyzed. In addition, the risk management property of
precious metals decreased during the later periods of COVID-19.

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3. Methodology (bilateral hedge ratios), Kroner and Ng (1998) (bilateral

optimal portfolio diversification strategy) and Ederington (1979)
This section describes the methodology used in the paper. (hedge effectiveness) offered some equations, accordingly.
The most suitable methods for determining portfolio diversi-
fication and the hedging role of assets are multivariate condi- βjit = hijt /hiit (8)
tional heteroskedasticity models. A major advantage of these
models is that they allow correlation and covariance between in which hijt and hiit indicate conditional covariance between i
assets. Among them, the most flexible is the dynamic condi- and j and conditional variance of i, respectively.
tional correlation (DCC) model proposed by Engle (2002). ωt = hii − hij /hjj − 2hij + hii (9)
Most of the multivariate conditional heteroskedasticity
models assume that financial assets are linearly dependent and
have a multivariate normal distribution. These assumptions are ⎨ 0, if ωt < 0
⎧
ωt = ⎩ ωt , if 0 ≤ ωt ≤ 1 (10)
drawbacks in the field of finance because financial assets have
1, if ωt > 1
a leptokurtic and skewed structure. The copula function helps
the data to be individually decomposed into marginal distri-
βjit shows the short position cost of i against long position of j.
butions, without the constraint of the multivariate normal dis-
ωt demonstrates the optimal portfolio.
tribution assumption, and marginal distributions can be
nonelliptical (Hsu, Tseng, & Wang, 2008). Copula functions HE = 1 − VarianceH / Variance (11)
are very flexible tools in terms of measuring dependence
among financial assets (Joe, 1997). Patton (2006) expands the VarianceH and VarianceU are hedged and unhedged positions,
copula theory to address multivariate situations. The equations respectively.
for the conditional distribution and the underlying univariate Another model used in this study is rolling Hong causality
GARCH model parameters are as follows: (Lu et al., 2014). The model is calculated by taking into ac-
count a rolling correlation in applying the causality relationship
C(u1 …uN |Rt , v) = tv (1) method in mean and variance, a concept introduced by Hong
(2001). The model is based on the standardized residuals and
F1−1 (u1 ) FN−1 (uN )
r(v + N /2) 1 ′ −1 (u+N)/
2
squared residuals obtained from the appropriate autoregressive
∫ …∫ 1/2 (1 + zt Rt zt )
−∞ −∞ r(v/2)(vπ ) |Rt |
N/2
v conditional heteroskedasticity models. The equations in the
(2) rolling Hong model are as follows (Lu et al., 2014):
To estimate time-varying conditional correlation and con- C12,t (J, S)
r12,t (J, S) = √̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅ (12)
ditional variance, we use Engle's (2002) two-step DCC model, C11,t (0, S)C22,t (0, S|)
as follows:
s−j−1
rt = μ(θ) + εt 3 ⎧
⎪ ∑i=0 u1,t−i u2,t−i−j
⎪
⎪ , j = 0, 1, ……S − 1
⎨ S
εt = Ht1/2 ut C12,t (J, S) = (13)
4 ⎪
⎪
⎪ s−j−1
⎩ ∑i=0 u1,t−i u2,t−i
, J = −1, −2, …….1 − S
Ht = Dt Rt Dt 5 S
The variables are defined as follows: S−1
S∑j=1 k 2 (MJ )r12,t
2
(J, S) − C1S (k)
r
H1,t (S) = √̅̅̅̅̅̅̅̅̅̅̅̅̅̅̅ (14)
• rt : vector of volatilities 2D1S (k)
• μt (θ): conditional mean vector of rt Equation (12) shows the rolling correlation value in lag j.
• Ht : conditional covariance matrix C11,t (0, S) and C22,t (0, S) are the subsample variances of u1,t
• Dt : diagonal matrix of square root conditional variance and u2,t ; C12,t (J, S) is cross covariance between u1,t and u2,t .
• Rt : matrix of time-varying conditional correlations

Rt = diag(q−1/2 −1/2 −1/2 −1/2 4. Dataset

ii,t , …, qNN,t )Qt diag(qii,t , …, qNN,t )
Qt = (1 − α − β)Q + αut−1 u′t−1 + βQt−1
where Q represents an unconditional variance matrix, and ut is
a vector of standardized residuals. The scalar parameters α and
β satisfy α + β < 1.
The DCC-GARCH model enables us to obtain information
about risk management strategies. Kroner and Sultan (1993)
(6)
This section briefly describes the dataset. We use daily
(7)
observations, and the dataset covers the period between
January 2015 and June 2022. The abbreviations used are as
follows: gold (GLD), silver (SLV), platinum (PLA), palladium
(PAL), BOVESPA Index of Brazil (BOV), RTS Index of
Russia (RTSI), NIFTY 50 Index of India (NIFTY), Shangai
Composite Index of China (SH), Top 40 Index of South Africa

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A.G. Gençyürek, R. Ekinci
(SA), Borsa Istanbul 100 Index of Turkiye (BIST100). The
dataset was obtained from the Eikon Datastream. The price
series of the data are shown in Fig. 1.
In Fig. 1, the shaded area is the COVID-19 period from the
announcement of the pandemic in early 2020 by the WHO
(World Health Organization) until 2022, with a clear decrease in
prices during the first period of COVID-19, except for gold.
After this period, although we see recovery in the stock markets
and commodities, the recovery weakened in some countries and
Fig. 1. Price series of BRICS-T countries and precious metals.
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Borsa Istanbul Review 23-2 (2023) 297–321
commodities because of the war in Ukraine. To observe the
stochastic process, we use ln (Pt /Pt−1 )*100. We divide the
dataset into two subperiods (considering the WHO's announce-
ment of the pandemic, on March 11, 2020) to observe the impact
of COVID-19 on links between the BIRCS-T stock markets and
precious metals. The descriptive statistics of the dataset are re-
ported in Table 2.
Table 2 indicates that, before COVID-19, the negative mean
value occurs not only in SH and SA but also in PLA. BOV has
A.G. Gençyürek, R. Ekinci _
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Table 2
Descriptive statistics of return series before and during COVID-19.
BEFORE BOVESPA RTSI NIFTY SH SA
Mean 0.039327 0.023448 0.017214 −0.006342 −0.000132
Maximum 6.898900 8.963928 5.182469 5.603582 3.897743
Minimum −12.98064 −13.94861 −6.097258 −8.873175 −6.796768
Std. Dev. 1.446840 1.620696 0.856553 1.469917 1.039647
Skewness −0.826083 −0.663325 −0.432973 −1.289900 −0.514503
Kurtosis 10.67650 11.37724 7.595321 10.71292 5.694059
JB 3478.560*** 4058.509*** 1233.654*** 3731.654*** 469.2065***
ADF −37.42098*** −35.22239*** −34.61025*** −35.33287*** −37.02912***
PP −37.42431*** −35.19313*** −34.55401*** −35.31352*** −37.02912***
BEFORE BIST100 GLD SLV PLA PAL
Mean 0.012089 0.024159 0.005165 −0.024526 0.075491
Maximum 5.255558 4.556809 5.174672 4.595785 7.146051
Minimum −7.347013 −4.724797 −7.598437 −5.248118 −10.65918
Std. Dev. 1.288338 0.810375 1.378755 1.290210 1.731234
Skewness −0.439078 0.065361 −0.458990 −0.071372 −0.387846
Kurtosis 5.376336 6.521793 7.047256 4.236319 5.466130
JB 362.089*** 700.701*** 971.662*** 87.3816*** 7.14605***
ADF −35.563*** −37.871*** −37.826*** −38.609*** −36.485***
PP −35.546*** −37.860*** −37.829*** −38.565*** −36.513***
COVID-19 BOV RTSI NIFTY SH SA
Mean 0.031897 0.028757 0.068772 0.018892 0.056241
Maximum 13.02285 23.20443 8.400291 5.554202 7.907103
Minimum −15.99383 −48.29211 −13.90375 −5.267923 −10.45042
Std. Dev. 1.91858 3.214118 1.516616 1.075399 1.482477
Skewness −1.395355 −5.622211 −1.719394 −0.438397 −0.732999
Kurtosis 22.83896 96.80237 20.39976 6.625095 11.27325
JB 9867.073*** 212720.2*** 7733.353*** 329.7848*** 1735.480***
ADF −35.61389*** −29.61802*** −27.03058*** −23.36709*** −25.88700***
PP −35.47256*** −29.22859*** −27.27882*** −23.44961*** −27.36907***
COVID-19 BIST100 GLD SLV PLA PAL
Mean 0.155770 0.017068 0.042235 0.010990 −0.032584
Max. 5.810361 5.775363 8.888745 11.17623 18.62702
Min. −10.30675 −5.113959 −12.38543 −12.34688 −22.91715
Std. Dev. 1.635149 1.123489 2.382905 2.310088 2.986158
Skewness −1.718285 −0.267325 −0.710620 −0.358350 −0.676724
Kurtosis 11.93951 7.195546 7.823959 6.472995 13.29276
JB 2254.90*** 439.758*** 621.724*** 309.144*** 2649.41***
ADF −14.835*** −24.709*** −25.257*** −23.329*** −22.326***
PP −26.106*** −25.260*** −25.401*** −24.185*** −22.342***
Note: Significance at ***, **, and * at the 99%, 95%, and 90% confidence intervals, respectively.
BOV: BOVESPA Index of Brazil, RTSI: RTS Index of Russia, NIFTY: NIFTY 50 Index of India.
SH: Shangai Composite Index of China, SA: Top 40 Index of South Africa, BIST100: Borsa Istanbul 100 Index of Turkiye, GLD: Gold, SLV: Silver, PLA;
Platinum, PAL: Palladium, Max: Maximum, Min: Minimum.
JB: Jarque Bera Test, ADF: Augmented Dickey Fuller Unit Root Test, PP: Philips-Perron Unit Root Test.

the highest average return among stock markets, and PAL has
the highest among precious metals. After the pandemic
announcement, the negative average returns become positive,
with BIST 100 (SLV) having the highest mean return among
stock market indexes (precious metals). In terms of the stan-
dard deviation, the riskiest stock market and precious metals
are RTSI (1.62 and 3.21, respectively) and PAL (1.73 and 2.98,
respectively) before and during COVID-19. As expected, Table
2 shows that the risks (in standard deviation) increase after the
announcement of the pandemic, but, interestingly, this is not
the case in SH. Higher left skewness also indicates increased
risk. Commodities are expected to be right-skewed (positive) in
the diversification process, so they can be exposed to upswings,
such as price booms (Ali et al., 2020). The positive skewness
indicates that good conditions are more common than negative
ones in related assets. The skewness of precious metals (except
for GLD before COVID-19) is negative, but they are not
unique. This result shows that precious metals are diversifiers,
and GLD seems to be a strong risk management instrument
only before COVID-19. As expected, because of the logarith-
mic differences, the ADF and PP tests reject the null hypothesis
that the series have a unit root.

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Note: Significance at confidence intervals of *** 99%, ** 95%, and * 90%, respectively. Test statistics are in parentheses. The results of the other models are in Appendix Table 1 α: ARCH coefficient; β: GARCH
1.20*** (20.54)
5. Empirical results and discussion

0.07*** (2.65)
This section discusses the empirical findings on the hedging,

IGARCH
diversifying, safe-haven role, and spillover direction of the data
PAL set. We first apply the DCC-GARCH-t-copula separately on a
country-by-country basis, due to the high degrees of freedom

1.32*** (20.00)
0.03*** (3.26) and time difference (the Precious Metals’ Futures Market is
traded in the US). However, we face two important limitations:
IGARCH

first, in some cases, the sum of ARCH and GARCH parameters

PLA

(ARCH + GARCH = 1) directed us to consider the DCC-

IGARCH-t-copula processes, and, second, in some cases, the
0.96*** (25.81)
0.03*** (2.79)

DCC models did not satisfy the stability conditions during

COVID-19. Because of these limitations and the need for
IGARCH

consistency, we model the dataset with the IGARCH process for

SLV

two periods: before COVID-19 and the full sample period.

Table 3 shows the full sample period.
1.03*** (16.73)

Table 3 shows the outputs of two-step dynamic conditional

0.02*** (2.64)

correlation generalized autoregressive conditional hetero-

IGARCH

skedasticity (DCC-GARCH) models. First, the models exhibit

GLD

a univariate GARCH structure. What is striking about the table

is the non–mean-reverting process in PLA due to the sum of α
(ARCH) and β (GARCH) coefficients. This implies that the
1.22*** (18.82)

0.97*** (41.17)
6.49*** (19.66)
0.10*** (5.75)

0.01* (1.89)

variance has a unit root. The IGARCH approach allows

IGARCH

modeling of infinite memory.

BOV

The high volatility persistence derived from the GARCH

models could be due to structural changes in the variance
(Caporale, Pittis, & Spagnolo, 2003). Diebold (1986, p. 55) sug-
0.92*** (24.09)
1.22*** (18.54)

gests that “this would correspond to stationary GARCH move-

0.06** (2.43)
GARCH(1,1)

ments within regimes, with an unconditional ‘jump’ occurring

between regimes.” Switching heteroskedasticity can cause con-
PAL

ditional variance that is highly persistent when the transition

probabilities are close to one (Morana, 2002). Caporale et al.
0.97*** (700.54)

(2003) indicate that fitting a misspecified GARCH model to a

1.33*** (18.55)

coefficient; GED (Generalized Error Distribution). The other acronyms are seen in Table 2.
0.03*** (9.36)
GARCH(1,1)

true MS-GARCH process results in an IGARCH process. Based

on this information, we use a Markov switching GARCH model to
PLA

observe regimes in PLA. The results are listed in Appendix Table

2. Table 3 also indicates spillovers across the dataset because of
statistically significant joint α (ARCH) and joint β (GARCH)
0.96*** (606.22)
DCC-GARCH-t-copula and DCC-IGARCH-t-copula of the full sample.

0.98*** (23.60)
0.03*** (7.86)

coefficients. Table 4 lists the statistics for conditional correlations

GARCH(1,1)

in the IGARCH process.

The DCC results can be interpreted in terms of the defini-
SLV

tions by Baur and Lucey (2010, p. 219): “A diversifier is

defined as an asset that is positively (but not perfectly corre-
0.97*** (414.17)
1.05*** (21.24)

lated) with another asset or portfolio on average.”, and

0.02*** (7.09)
GARCH(1,1)

Baur–McDermott (2010:1889): “A strong (weak) hedge is

defined as an asset that is negatively correlated (uncorrelated)
with another asset or portfolio on average.” “A strong (weak)
GLD

safe-haven is defined as an asset that is negatively correlated

(uncorrelated) with another asset or portfolio in certain periods
(32.62)
(16.06)

(37.77)
(19.90)
(4.55)

(2.46)
GARCH(1,1)

only, e. g. in times of falling stock markets (stress-turmoil).”

Table 4 gives an overview of dynamic conditional correla-
0.08***
0.88***
1.27***
0.01***
0.96***
6.29***

tions, showing that precious metals are good for stock market
BOV

index diversification because of the positive but not perfect

correlations, but this property may differ in some cases. For
Joint Shape

instance, GLD is a strong hedge instrument for SH and SA

Table 3

Joint α
Joint β
Coeff.

before COVID-19, as shown in Table 4. The most surprising

GED

aspect of Table 4 is related to the safe-haven role (negative

α
β

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Table 4
Dynamic conditional correlation statistics.
BOV_GLD BOV_SLV BOV_PLA BOV_PAL
Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19
Mean 0.012333 0.020008 0.119749 0.123754 0.158584 0.190585 0.187424 0.192437
Max. 0.190337 0.130123 0.262739 0.233051 0.251117 0.338079 0.347833 0.289858
Min. −0.132584 −0.172975 −0.019315 −0.002678 0.046335 0.078975 0.060501 0.094400
RTSI_GLD RTSI_SLV RTSI_PLA RTSI_PAL
Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19
Mean 0.010105 0.015793 0.037492 0.059937 0.048252 0.081034 0.046289 0.059325
Max. 0.105411 0.092159 0.137336 0.116333 0.168636 0.154756 0.180097 0.114956
Min. −0.096210 −0.052439 −0.075735 −0.025857 −0.066640 −0.017402 −0.048525 −0.018687
NIFTY_GLD NIFTY_SLV NIFTY_PLA NIFTY_PAL
Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19
Mean 0.030864 0.037119 0.058285 0.084611 0.068529 0.079806 0.040326 0.015773
Max. 0.168118 0.106141 0.172023 0.158216 0.158811 0.191161 0.165230 0.097673
Min. −0.114473 −0.070529 −0.083923 −0.018129 −0.042763 −0.047654 −0.089339 −0.106389
SH_GLD SH_SLV SH_PLA SH_PAL
Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19
Mean −0.020301 0.036712 0.023354 0.065868 0.055614 0.078515 0.052416 0.048722
Max. 0.075778 0.125298 0.098028 0.138354 0.189408 0.166175 0.191934 0.116014
Min. −0.117906 −0.095671 −0.113238 −0.039749 −0.071296 −0.037597 −0.043537 −0.088751
SA_GLD SA_SLV SA_PLA SA_PAL
Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19
Mean −0.015414 0.001039 −0.007659 0.016579 0.025146 0.056526 0.025342 0.044150
Max. 0.169047 0.082849 0.169727 0.089166 0.145060 0.124524 0.157393 0.168064
Min. −0.186858 −0.149232 −0.119249 −0.061949 −0.073918 −0.043649 −0.085862 −0.078684
BIST100_GLD BIST100_SLV BIST100_PLA BIST100_PAL
Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19 Pre-COVID-19 COVID-19
Mean 0.017781 0.002002 0.028195 0.015864 0.043867 0.013231 0.016353 0.006203
Max. 0.119314 0.104891 0.112888 0.099550 0.183384 0.115384 0.123138 0.113542
Min. −0.090038 −0.082691 −0.094915 −0.116841 −0.047513 −0.116774 −0.100611 −0.177070
Note: The acronyms are seen in Table 2.

conditional correlations) of precious metals. Table 4 indicates
that the safe-haven property of precious metals does not play a
dominant role, as seen in the positive mean values during the
pandemic. To assess this situation clearly, time-varying con-
ditional correlation graphs are needed, shown in Fig. 2.
Note: Shaded areas show the COVID-19 period. RTSI can
be modeled until January 31, 2022, due to instability in the
DCC model (the sum of the joint ARCH and joint GARCH
coefficient is 1).
Fig. 2 demonstrates that GLD clearly acts as a safe haven for
all the BRICS-T stock markets after the first COVID-19
diagnosis in China, but that slowly failed to hold from the
WHO's pandemic announcement until the war began in
Ukraine. Akhtaruzzaman et al. (2021), Lahiani et al. (2021),
Omane-Adjepong and Alagidede (2021), and Cheema, Faff,
and Szulczyk (2022) corroborate gold's decreasing role as a
safe haven. After the war started, all the precious metals began
to serve as safe havens. Fig. 2 shows that the safe-haven role is
not long-lasting. In order to interpret the risk management role
of precious metals based on quantitative data, we calculate
optimal portfolio weights, listed in Table 5.
Table 5 is revealing in three ways. First, it indicates the
optimal portfolio weights in terms of BRICS-T, considering
COVID-19. Second, it shows the efficiency of risk reduction
(hedge effectiveness). Finally, and most important, the results
are statistically supported by the F statistics (Antonakakis,
Cunado, Filis, Gabauer, & De Gracia, 2018). wjt/ 1- wjt in-
dicates that in a $100 portfolio, $wjt should be invested in j
and $1 - wjt in t. Primarily, Table 5 shows that precious
metals are crucial in portfolio diversification because of the
values for hedge effectiveness and statistical significance.
During the full sample period, GLD (BOV, RTSI, BIST 100)
and PAL (NIFTY, SH, SA, BIST100) are the most efficient
precious metals. For an investor considering the full sample
period, the highest portfolio efficiency occurs between RTSI
and GLD (0.78), with a weight of 0.29/0.71. This result can
be interpreted as follows: In a $100,000 portfolio, to reduce
risk by 78 percent, $29,000 should be invested in RTSI and
the remaining $71,000 should be invested in gold futures.
NIFTY/PAL portfolio's risk reduction efficiency and domi-
nance are 0.77 and 0.20/0.80, respectively, so these situations
mean that, in a $100,000 portfolio, to reduce risks by 77
percent, $20,000 should be invested in NIFTY, and the

306
A.G. Gençyürek, R. Ekinci
Fig. 2. DCC between BRICS-T countries and precious metals.
remaining $80,000 should be invested in palladium futures.
Table 5 shows that precious metals should be used domi-
nantly in portfolios for good risk management, during the full
sample period. To see the impact of COVID-19 on risk
management, the periods before and during the pandemic can
be compared. Table 5 demonstrates that GLD lost its effi-
ciency in risk management except for NIFTY, and the
dominance of GLD in bilateral portfolios decreased after the
announcement of the pandemic. In addition, Table 5 indicates
that PLA for BOV, SLV for RTSI, and PAL for NIFTY lost
their effectiveness in risk diversification after the announce-
ment. The time-varying optimal portfolio weights are shown
in Fig. 3.
The graphs in Fig. 3 demonstrate that investors included
precious metals predominantly in their portfolios since the first
COVID-19 announcement. The single most striking result in
Fig. 3 is the reduced weight of GLD in the portfolio after the
WHO's announcement of the pandemic and the increased
weights of precious metals again when the war began in Ukraine.
After detecting the diversifier property of precious metals, we
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Borsa Istanbul Review 23-2 (2023) 297–321
calculated the hedge ratio and risk reduction effectiveness, and
the results for the full sample period are in Table 6.
Interestingly, Table 6 indicates that hedge transactions do
not provide any effectiveness, except for the long position in
PLA and short in BOV, with a hedge ratio (which implies the
cost of hedge transactions) of 0.20. If investors expect that
future volatility will be higher (lower) than current volatility,
they should take a long (short) position. Hence, the result is
interpreted as follows: a $100 long position in PLA should be
hedged (short positions) with $20 in BOV, and this transaction
reduces risk by 12 percent. If PLA is used in the portfolio with
BOV, it provides risk reduction of 44 percent. The results
before COVID-19 indicate that hedge transactions have no risk
reduction effectiveness.
DCC, diversification, hedging and safe-haven roles are
generally important for individual and institutional investors.
Most econometric analysis package programs fail to provide
the direction of spillover in the DCC model, so we use rolling
Hong causality to observe it. The spillover direction provides
useful information for policy makers as well as investors (Lu
A.G. Gençyürek, R. Ekinci _
Borsa Istanbul Review 23-2 (2023) 297–321

Table 5 et al., 2014). This model has two advantages. First, it enables
Optimal portfolio weights. the observation of time-varying properties of causality (spill-
Pre-COVID-19 Period over). Second, unlike the multivariate GARCH models, it has
wjt/1- wjt Portfolio Hedging 1- wjt/wjt Portfolio Hedge no requirement to use a common GARCH model. However, to
Weights Effectiveness Weights Effectiveness provide coherence with the DCC-IGARCH-t copulas model,
BOV/GLD 0.27 0.76*** GLD/BOV 0.73 0.23*** we used IGARCH for all datasets.
BOV/SLV 0.51 0.47*** SLV/BOV 0.49 0.42*** There are several reasons for capturing time-varying prop-
BOV/PLA 0.47 0.48*** PLA/BOV 0.53 0.35*** erties. First, stock markets generally reveal increasing or
BOV/PAL 0.62 0.30*** PAL/BOV 0.38 0.51***
RTSI/GLD 0.27 0.80*** GLD/RTSI 0.73 0.19***
decreasing movements, therefore, relationships with precious
RTSI/SLV 0.49 0.57*** SLV/RTSI 0.51 0.40*** metals can change over time. Second, a crisis causes structural
RTSI/PLA 0.81 0.25*** PLA/RTSI 0.19 −0.18*** breaks in stock markets, so the relationships can change
RTSI/PAL 0.59 0.45*** PAL/RTSI 0.41 0.51*** depending on whether the period is before, during, or after the
NIFTY/GLD 0.47 0.50*** GLD/NIFTY 0.53 0.44*** crisis, Third, the limited rational behavior of investors can
NIFTY/SLV 0.71 0.20*** SLV/NIFTY 0.29 0.69***
NIFTY/PLA 0.69 0.24*** PLA/NIFTY 0.31 0.67***
change over time (Bugan, Cevik, & Dibooglu, 2022).
NIFTY/PAL 0.79 0.14*** PAL/NIFTY 0.21 0.79*** A rolling sample size is vital for rolling Hong causality. If
SH/GLD 0.38 0.80*** GLD/SH 0.62 0.33*** the rolling sample size is small, it leads to biased test results; if
SH/SLV 0.58 0.59*** SLV/SH 0.42 0.53*** it is too large, it is difficult to detect changes (Lu et al., 2014).
SH/PLA 0.56 0.62*** PLA/SH 0.44 0.51*** Therefore, we use the optimal rolling sample size proposed by
SH/PAL 0.67 0.46*** PAL/SH 0.33 0.61***
SA/GLD 0.40 0.63*** GLD/SA 0.60 0.39***
Van Belle (2008) and Lu et al. (2014). The equation is as
SA/SLV 0.63 0.36*** SLV/SA 0.37 0.63*** follows:
SA/PLA 0.61 0.38*** PLA/SA 0.39 0.60*** 2
SA/PAL 0.72 0.23*** PAL/SA 0.28 0.72*** 2(z1−α/2 + z1−β )
S= (15)
BIST100/GLD
BIST100/SLV
0.29
0.53
0.71***
0.45***
GLD/BIST100
SLV/BIST100
0.71
0.47
0.27***
0.52***
Δ2
BIST100/PLA 0.50 0.46*** PLA/BSIT100 0.50 0.47*** α and β are the probability of Type I (the size of the test) and
BIST100/PAL 0.62 0.34*** PAL/BIST100 0.38 0.63*** Type II error (the power of the test), respectively. Δ is the
Full Sample Period standardized difference between mean values. When we
wjt/1- wjt Portfolio Hedging 1- wjt/wjt Portfolio Hedge consider α = 0.01, β = 0.01, and Δ = 0.5, the optimal rolling
Weights Effectiveness Weights Effectiveness sample size is 192. To simplify the calculation, we take into
BOV/GLD 0.31 0.75*** GLD/BOV 0.69 0.24*** account S = 200, as proposed by Lu et al. (2014). The results
BOV/SLV 0.57 0.43*** SLV/BOV 0.43 0.52*** for mean causality are shown in Fig. 4.
BOV/PLA 0.55 0.40*** PLA/BOV 0.45 0.44*** Note: Asymptotic critical value at %5 is 1.65.
BOV/PAL 0.67 0.22*** PAL/BOV 0.33 0.58***
RTSI/GLD 0.29 0.78*** GLD/RTSI 0.71 0.20***
The null hypothesis of rolling Hong causality is that “there
RTSI/SLV 0.54 0.50*** SLV/RTSI 0.46 0.51*** is no causality from x to y.” If the curve are below (above) the
RTSI/PLA 0.52 0.52*** PLA/RTSI 0.48 0.47*** threshold (1.65), the null hypothesis is accepted (rejected), and
RTSI/PAL 0.61 0.34*** PAL/RTSI 0.39 0.55*** the graphs in Fig. 4 show no return causality between BOV
NIFTY/GLD 0.49 0.58*** GLD/NIFTY 0.51 0.39*** and precious metals before COVID-19, except for abnormal
NIFTY/SLV 0.74 0.22*** SLV/NIFTY 0.26 0.69***
NIFTY/PLA 0.73 0.24*** PLA/NIFTY 0.27 0.67***
short-term periods. This means that the past and current returns
NIFTY/PAL 0.80 0.11*** PAL/NIFTY 0.20 0.77*** of BOV (precious metals) cannot be used to forecast the future
SH/GLD 0.43 0.72*** GLD/SH 0.57 0.38*** returns of precious metals (BOV) except during abnormal
SH/SLV 0.65 0.49*** SLV/SH 0.35 0.69*** short-term periods. After the WHO's announcement of the
SH/PLA 0.64 0.51*** PLA/SH 0.36 0.68*** pandemic, there is short-term return causality from BOV to
SH/PAL 0.72 0.38*** PAL/SH 0.28 0.76***
SA/GLD 0.42 0.62*** GLD/SA 0.58 0.36***
precious metals. Therefore, the past and current returns of
SA/SLV 0.66 0.29*** SLV/SA 0.34 0.67*** BOV can be used to forecast the future returns of precious
SA/PLA 0.66 0.29*** PLA/SA 0.34 0.64*** metals in that period. Short-term return causality relationships
SA/PAL 0.75 0.09** PAL/SA 0.25 0.73*** exist from GLD, PAL, and PLA to BOV, but there is no return
BIST100/GLD 0.32 0.69*** GLD/BIST100 0.68 0.27*** causality from SLV to BOV. The harmony between the no-
BIST100/SLV 0.57 0.38*** SLV/BIST100 0.43 0.60***
BIST100/PLA 0.55 0.39*** PLA/BSIT100 0.45 0.57***
return causality situations and DCC results before COVID-
BIST100/PAL 0.65 0.26*** PAL/BIST100 0.35 0.69*** 19 lead us to accept precious metals as effective risk man-
Note: Significance at confidence intervals of *** 99%, ** 95%, and * 90%,
agement instruments for BOV. After the WHO's announce-
respectively. The acronyms are seen in Table 2. ment of the pandemic, the statistically significant return

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Borsa Istanbul Review 23-2 (2023) 297–321

Fig. 3. Time-varying optimal portfolios.

Table 6 causality between precious metals and BOV, as well as the

Hedging strategies in the full sample period. DCC results, indicate that precious metals are not very effec-
Long/Short Hedge Hedging Long/Short Hedge Hedge tive as risk management instruments. For policy makers, these
Ratio Effectiveness Ratio Effectiveness results provides useful information to observe shock impact.
BOV/GLD 0.03 0.00 GLD/BOV 0.01 −0.01 For example, the return causality from BOV to precious metals
BOV/SLV 0.12 0.01 SLV/BOV 0.14 0.01 means that sudden changes in BOV cause an abrupt changes in
BOV/PLA 0.16 0.04 PLA/BOV 0.20 0.12***
precious metals. The time-varying variance causality is shown
BOV/PAL 0.14 0.03 PAL/BOV 0.28 0.07
RTSI/GLD 0.02 0.00 GLD/RTSI 0.01 −0.01 in Fig. 5.
RTSI/SLV 0.04 0.00 SLV/RTSI 0.05 0.00 What is interesting about the graphs in Fig. 5 is that the
RTSI/PLA 0.06 0.00 PLA/RTSI 0.07 −0.01 variance causality is mostly non–time-varying, as there are
RTSI/PAL 0.04 0.00 PAL/RTSI 0.07 0.00 always bidirectional spillovers between BRICS-T and precious
NIFTY/GLD 0.03 0.00 GLD/NIFTY 0.03 0.00
metals. That means the past and current volatility of stock
NIFTY/SLV 0.04 0.01 SLV/NIFTY 0.12 0.01
NIFTY/PLA 0.04 0.01 PLA/NIFTY 0.13 0.00 markets (precious metals) can be used to forecast the future
NIFTY/PAL 0.02 0.00 PAL/NIFTY 0.07 0.00 volatility of precious metals (stock markets). The variance
SH/GLD −0.01 0.00 GLD/SH 0.00 0.00 causality (volatility spillover) indicates risk and information
SH/SLV 0.02 0.00 SLV/SH 0.07 0.00 spillover between assets.
SH/PLA 0.05 0.00 PLA/SH 0.10 0.00
The existence of causality (return or variance) runs contrary
SH/PAL 0.03 0.00 PAL/SH 0.10 0.00
SA/GLD −0.01 0.00 GLD/SA −0.01 −0.02 to effective risk management. Therefore, it can be said that the
SA/SLV 0.00 0.00 SLV/SA 0.00 −0.01 risk management role of precious metals is limited. However,
SA/PLA 0.02 0.00 PLA/SA 0.05 0.00 when the weights of assets are adjusted optimally, as shown in
SA/PAL 0.02 0.00 PAL/SA 0.06 0.01 Table 5, the risk reduction is at least 40 percent. This conclu-
BIST100/GLD 0.02 0.00 GLD/BIST100 0.01 −0.01
sion is likely to be related to the low strength of shock, risk,
BIST100/SLV 0.02 0.00 SLV/BIST100 0.03 0.00
BIST100/PLA 0.03 0.00 PLT/BIST100 0.04 0.00 and information transfer.
BIST100/PAL 0.01 0.00 PAL/BIST100 0.02 0.00 This section reviews the two key aspects of precious metals
Note: Significance at confidence intervals of *** 99%, ** 95%, and * 90%, for emerging countries: the risk management role (diversifier,
respectively. The acronyms are seen in Table 2. hedge, safe haven) and the directions of shock and volatility

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Fig. 4. Time-varying causality in mean (return).

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Fig. 5. Time-varying variance causality.

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A.G. Gençyürek, R. Ekinci
spillover. The study finds that precious metals are effective
risk management instruments despite the existence of return
and variance causality, due to the low power of the causality-
transmission-spillover impacts. The most efficient precious
metals are GLD for BOV, RTSI, and BIST 100, and PAL for
NIFTY, SH, SA, and BIST100. Moreover, the risk manage-
ment effectiveness of precious metals, especially GLD,
decreased shortly after the announcement of the pandemic.
The possible explanation for this is increased uncertainty and
interactions due to the joint factors (COVID-19) affecting the
prices of precious metals and stock prices. One unanticipated
finding is that precious metals provide no risk reduction
effectiveness when precious metals can be used in hedge
transactions. Our results imply that precious metals should be
used in portfolio diversification but not hedge transactions.
Another important finding is that, to reduce risk, portfolios that
consist of commodities and stock markets should be mostly
dominated by precious metals.
Our results corroborate the findings in most previous work
(e.g., Ahmed & Huo, 2021; Ali et al., 2020; Boako & Alagidede,
2016; Chong & Miffre, 2009; Hillier et al., 2006; Hong et al.,
2015; Lagesh et al., 2014; Peng, 2020; Yoon et al., 2019;
Zhang et al., 2021). In addition, GLD and SLV clearly serve as
safe havens during the COVID-19 period. This result also con-
firms that of prior literature (e.g., Arouri et al., 2015; Baumöhl &
Lyócsa, 2017; Baur & Lucey, 2010; Baur & McDermott, 2010;
Beckmann et al., 2015; Bredin et al., 2015; Chkili, 2016; Creti
et al., 2013; Gürgün & Ünalmış, 2014; Junttila et al., 2018;
Nguyen et al., 2016; Shahzad et al., 2020; Wen & Cheng, 2018).
This paper also identifies bidirectional volatility spillover
(variance causality) between stock markets and precious metals.
Gencer and Musoglu (2014), Wen et al. (2020), and Yousaf et al.
(2020) corroborate the bidirectional volatility spillover between
precious metals and stock markets. Hence, investors in the stock
markets (precious metals) should consider precious metals
(stock markets) for forecasting future volatility because stock
markets and precious metals play continual leading and lagging
roles, considering variance. Therefore, systemic risk factors
might affect the precious metals market, though the impact might
be small, and precious metals might be a systemic risk factor for
stock markets, though the impact might be small. In addition, the
lagging and leading roles should help policy makers design
policies that consider precious metals in order to curb market
risk.
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Borsa Istanbul Review 23-2 (2023) 297–321
6. Conclusion
The purpose of this study is to determine the risk manage-
ment, leading, and lagging roles of precious metals for the
stock markets in the BRICS-T countries. We faced two major
limitations to achieving our analytical goals: first, the sum of
ARCH and GARCH coefficients is 1 in PLA, and, second, after
the COVID-19 period began, the DCC model did not satisfy
the stability conditions (joint ARCH and joint GARCH co-
efficients are equal 1 in some samples). To deal with the first
issue, we use the DCC-IGARHC-t copula method and, to
address the second, we data on the pre-COVID-19 and the full
sample period.
The most obvious finding to emerge from this study is that
precious metals (particularly gold and silver) are good risk
management instruments for constructing an optimal portfo-
lio, but not for hedging transactions because of the ineffective
risk-reducing process. In addition, although precious metals
(especially gold) are safe-haven instruments, this impact
slowed over time until the war began in Ukraine. This study
adds to the growing body of research that indicates precious
metals are good risk management tools. This is because
precious metals and conventional assets have multiple
different systemic risk drivers. Other findings are as follows.
Investors should increase the weight of precious metals,
except for gold, in portfolios during periods of turmoil, and
bidirectional variance causality occurs between precious
metals and stock markets, though the impacts are small. These
findings have significant implications for understanding what
positions investors and policy makers should take to reduce
and curb risk.
Future research should focus on the dependence of tails
(risk spillover), causality in frequencies, Fourier functions,
and wavelet transforms to evaluate our research and
consider portfolio performance indicators, such as the
Sharpe ratio.
Appendix Table 1. DCC-GARCH-t-Copula and DCC-
IGARCH-t-Copula
 A.G. Gençyürek, R. Ekinci
Full Sample
Coef. RTSI GLD SLV PLA PAL RTSI GLD SLV PLA PAL
GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) IGARCH IGARCH IGARCH IGARCH IGARCH
А 0.07*** (5.74) 0.02*** (5.84) 0.03*** (7.39) 0.03*** (8.80) 0.07* (1.81) 0.08*** (6.84) 0.02*** (2.75) 0.04*** (2.61) 0.03*** (3.23) 0.07** (2.40)
В 0.92*** (75.72) 0.97*** (338.01) 0.96*** (528.66) 0.97*** (663.09) 0.90*** (13.25)
GED 1.31*** (14.71) 1.03*** (23.26) 0.95*** (22.44) 1.32*** (18.78) 1.24*** (17.62) 1.29*** (16.58) 1.01*** (21.17) 0.92*** (24.21) 1.30*** (20.05) 1.21*** (18.85)
Joint α 0.01*** (3.30) 0.01*** (3.98)
Joint β 0.99*** (197.12) 0.98*** (199.05)
Joint Shape 6.38*** (19.96) 6.66*** (19.61)
313

Before COVID-19
Coef. RTSI GLD SLV PLA PAL RTSI GLD SLV PLA PAL
GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) IGARCH IGARCH IGARCH IGARCH IGARCH

Borsa Istanbul
α 0.07*** (4.03) 0.01*** (5.02 0.01*** (4.21) 0.02*** (4.77) 0.06 (0.96) 0.07*** (3.29) 0.02*** (10.43) 0.01** (1.98) 0.02*** (3.95) 0.04*** (2.55)
β 0.93*** (58.14) 0.98*** (5848.34) 0.99*** (2591.96) 0.97*** (589.25) 0.90*** (6.06)

_
GED 1.32*** (11.67) 1.08*** (17.93) 0.98*** (19.67) 1.37*** (18.42) 1.43*** (17.97) 1.29*** (12.74) 1.07*** (17.34) 0.95*** (19.53) 1.39*** (15.27) 1.36*** (18.47)
Joint α 0.01*** (3.87) 0.01*** (7.83)
Joint β 0.99*** (205.56) 0.98*** (507.46)

Review 23-2 (2023) 297–321

Joint Shape 6.87*** (16.58) 10.88*** (12.00)
 A.G. Gençyürek, R. Ekinci
Full Sample
Coef. NIFTY GLD SLV PLA PAL NIFTY GLD SLV PLA PAL
GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) IGARCH IGARCH IGARCH IGARCH IGARCH
α 0.08*** (5.43) 0.02*** (6.79) 0.03*** (7.82) 0.03*** (9.39) 0.06*** (2.44) 0.09*** (6.91) 0.02*** (2.71) 0.04*** (2.81) 0.03*** (3.29) 0.07*** (2.64)
β 0.90*** (58.94) 0.97*** (334.18) 0.96*** (575.23) 0.97*** (707.55) 0.92*** (24.12)
GED 1.22*** (17.40) 1.05*** (20.78) 0.97*** (23.31) 1.33*** (18.30) 1.22*** (18.50) 1.20*** (18.74) 1.03*** (21.44) 0.95*** (24.74) 1.32*** (19.49) 1.20*** (12.55)
Joint α 0.01*** (3.30) 0.01*** (3.68)
Joint β 0.99*** (171.87) 0.98*** (161.97)
Joint Shape 6.33*** (21.06) 6.44*** (21.04)
314

Before COVID-19
Coef. NIFTY GLD SLV PLA PAL NIFTY GLD SLV PLA PAL
GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) IGARCH IGARCH IGARCH IGARCH IGARCH

Borsa Istanbul
α 0.06*** (3.82) 0.01*** (5.04) 0.01*** (4.09) 0.02*** (4.78) 0.06 (0.87) 0.07** (2.18) 0.01** (2.33) 0.01* (1.91) 0.02*** (3.10) 0.04*** (2.50)
β 0.90*** (38.60) 0.98*** (5788.32) 0.99*** (3175.60) 0.97*** (608.74) 0.90*** (5.27)

_
GED 1.19*** (14.95) 1.08*** (17.79) 0.98*** (19.76) 1.37*** (18.81) 1.43*** (17.96) 1.16*** (12.26) 1.07*** (16.41) 0.96*** (20.06) 1.35*** (18.20) 1.39*** (18.49)
Joint α 0.01*** (3.35) 0.01*** (3.63)
Joint β 0.98*** (163.84) 0.98*** (169.85)

Review 23-2 (2023) 297–321

Joint Shape 6.74*** (17.03) 6.45*** (17.84)
 A.G. Gençyürek, R. Ekinci
Full Sample
Coef. SH GLD SLV PLA PAL SH GLD SLV PLA PAL
GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) IGARCH IGARCH IGARCH IGARCH IGARCH
α 0.08*** (4.69) 0.02*** (6.77) 0.03*** (7.80) 0.03*** (9.36) 0.06*** (2.44) 0.08*** (5.71) 0.02*** (2.71) 0.04*** (2.80) 0.03*** (3.29) 0.07*** (2.66)
β 0.92*** (59.80) 0.97*** (334.49) 0.96*** (572.85) 0.97*** (706.01) 0.92*** (24.10)
GED 0.89*** (16.05) 1.05*** (20.84) 0.97*** (23.38) 1.33*** (18.29) 1.22*** (18.49) 0.88*** (21.15) 1.03*** (21.48) 0.95*** (24.77) 1.32*** (19.47) 1.19*** (20.52)
Joint α 0.01** (1.99) 0.01*** (2.78)
Joint β 0.98*** (82.90) 0.98*** (104.32)
Joint Shape 5.94*** (22.59) 6.23*** (22.02)
315

Before COVID-19
Coef. SH GLD SLV PLA PAL SH GLD SLV PLA PAL
GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) IGARCH IGARCH IGARCH IGARCH IGARCH

Borsa Istanbul
α 0.07*** (4.47) 0.01*** (5.03) 0.01*** (4.10) 0.02*** (4.78) 0.06 (0.87) 0.07*** (4.82) 0.01** (2.33) 0.01* (1.91) 0.02*** (3.10) 0.04*** (2.50)
β 0.93*** (65.32) 0.98*** (5777.20) 0.99*** (3166.68) 0.97*** (610.11) 0.90*** (5.31)

_
GED 0.85*** (12.30) 1.08*** (17.83) 0.98*** (19.82) 1.37*** (18.81) 1.42*** (17.95) 0.85*** (16.11) 1.07*** (16.43) 0.96*** (20.08) 1.35*** (18.19) 1.39*** (18.45)
Joint α 0.01*** (2.51) 0.01*** (3.33)
Joint β 0.98*** (99.80) 0.98*** (150.03)

Review 23-2 (2023) 297–321

Joint Shape 6.13*** (18.77) 6.25*** (18.82)
 A.G. Gençyürek, R. Ekinci
Full Sample
Coef. SA GLD SLV PLA PAL SA GLD SLV PLA PAL
GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) IGARCH IGARCH IGARCH IGARCH IGARCH
α 0.09*** (4.89) 0.02*** (6.76) 0.03*** (7.83) 0.03*** (9.36) 0.06*** (2.44) 0.10*** (4.77) 0.02*** (2.71) 0.04*** (2.80) 0.03*** (3.29) 0.07*** (2.64)
β 0.87*** (31.73) 0.97*** (334.23) 0.96*** (572.31) 0.97*** (704.58) 0.92*** (24.09)
GED 1.33*** (19.66) 1.05*** (20.82) 0.97*** (23.35) 1.33*** (18.31) 1.22*** (18.51) 1.29*** (20.50) 1.03*** (21.49) 0.95*** (24.76) 1.32*** (19.50) 1.20*** (12.56)
Joint α 0.01* (1.74) 0.01*** (2.93)
Joint β 0.98*** (55.94) 0.98*** (100.23)
Joint Shape 6.35*** (20.20) 6.50*** (19.89)
316

Before COVID-19
Coef. SA GLD SLV PLA PAL SA GLD SLV PLA PAL
GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) IGARCH IGARCH IGARCH IGARCH IGARCH

Borsa Istanbul
α 0.08*** (4.65) 0.01*** (5.05) 0.01*** (4.09) 0.02*** (4.78) 0.06 (0.87) 0.09*** (3.92) 0.01** (2.33) 0.01* (1.91) 0.02*** (3.10) 0.04*** (2.50)
β 0.89*** (34.20) 0.98*** (5792.52) 0.99*** (3180.75) 0.97*** (609.20) 0.90*** (5.27)

_
GED 1.32*** (15.63) 1.08*** (17.83) 0.98*** (19.76) 1.37*** (18.82) 1.43*** (17.98) 1.29*** (15.82) 1.07*** (16.43) 0.96*** (20.06) 1.35*** (18.20) 1.39*** (18.49)
Joint α 0.01*** (2.77) 0.01*** (3.26)
Joint β 0.98*** (116.21) 0.98*** (141.14)

Review 23-2 (2023) 297–321

Joint Shape 6.87*** (16.14) 6.77*** (16.32)
 A.G. Gençyürek, R. Ekinci
Full Sample
Coef. BIST100 GARCH(1,1) GLD SLV PLA PAL BIST100 IGARCH GLD SLV PLA PAL
GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) IGARCH IGARCH IGARCH IGARCH
α 0.07*** (2.97) 0.02*** (6.71) 0.03*** (7.87) 0.03*** (9.28) 0.06*** (2.44) 0.09*** (3.31) 0.02*** (2.70) 0.04*** (2.78) 0.03*** (3.27) 0.07*** (2.64)
β 0.85*** (13.24) 0.97*** (331.47) 0.96*** (563.08) 0.97*** (694.46) 0.92*** (24.02)
GED 1.11*** (19.25) 1.05*** (20.82) 0.97*** (23.38) 1.33*** (18.26) 1.22*** (18.50) 1.06*** (22.24) 1.03*** (21.47) 0.95*** (24.78) 1.32*** (19.49) 1.20*** (12.56)
Joint α 0.01 (0.75) 0.01 (1.55)
Joint β 0.96*** (9.87) 0.98*** (45.16)
Joint Shape 6.03*** (21.54) 6.18*** (21.08)
317

Before COVID-19
Coef. BIST100 GARCH(1,1) GLD SLV PLA PAL BIST100 IGARCH GLD SLV PLA PAL
GARCH(1,1) GARCH(1,1) GARCH(1,1) GARCH(1,1) IGARCH IGARCH IGARCH IGARCH

Borsa Istanbul
α 0.05 (0.50) 0.01*** (5.04) 0.01*** (4.10) 0.02*** (4.82) 0.06 (0.85) 0.03*** (2.52) 0.01** (2.33) 0.01* (1.91) 0.02*** (3.10) 0.04*** (2.50)
β 0.91*** (3.11) 0.98*** (5712.48) 0.99*** (3167.90) 0.97*** (605.61) 0.90*** (5.14)

_
GED 1.22*** (16.65) 1.08*** (17.90) 0.98*** (19.71) 1.37*** (18.85) 1.43*** (17.95) 1.20*** (17.20) 1.07*** (16.41) 0.96*** (20.07) 1.35*** (18.20) 1.39*** (18.49)
Joint α 0.02 (0.51) 0.01** (2.26)
Joint β 0.95*** (6.33) 0.98*** (91.23)

Review 23-2 (2023) 297–321

Joint Shape 6.67*** (16.66) 6.65*** (16.90)
A.G. Gençyürek, R. Ekinci _
Borsa Istanbul Review 23-2 (2023) 297–321

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