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© Business & Management Studies: An International Journal, 2020
Asisst. Prof. Dr., Bilecik Şeyh Edebali University
How to Cite
EXAMINATION OF VOLATILITY STRUCTURE BETWEEN TURKISH STOCK MARKET AND COMMODITY MARKETS: A PERSPECTIVE FOR THE PERIOD OF 2015-2019
Vol 8 No 1 (2020): BUSINESS & MANAGEMENT STUDIES: AN INTERNATIONAL JOURNAL
Submitted: Feb 6, 2020
Published: Mar 25, 2020
Commodity markets, both in the past and in modern times, have had an extraordinary economic impact on individuals and societies. Although it is not known exactly when and where commodity markets started, it is thought that it started about 6000 years ago with rice trade in China. Commodities, as raw material providers used in production, have an intensive usage area. This study aims to examine the global commodity prices such as gold ounce price, silver ounce price, copper price, Brent crude oil price, and natural gas prices, and the volatility structure in the Borsa Istanbul 100 index, representing the Turkey Stock Market. For this purpose, daily closing prices for the period of 2015 January-2019 December were examined in the study. To investigate the time evolution of correlations between the commodities and stock market, the dynamic conditional correlation (DCC) GARCH model is used. The results show that the volatility between the BIST 100 index and commodity prices has constant effects and a comprehensive volatility clustering arises.