Affiliation:
1. BURDUR MEHMET AKİF ERSOY ÜNİVERSİTESİ
Abstract
High volatility and contagion effect panic in financial markets increase the risks of investors. Thus, investors started to consider alternative instruments that could be included in their portfolios in order to be protected from the increasing risk, and at this point, precious metals began to be seen as a safe haven. The relationship of precious metals with other financial assets and markets is as important as their relationship with each other and is a subject that needs to be investigated. For this purpose, the causality relationship between precious metals was analyzed using the Garman-Klass (1980) range-based realized volatility series, as well as the Hacker and Hatemi-J Boostrap (2006) Causality test, in order to see the asymmetrical relationships as well as the Hatemi-J (2012) Asymmetric Causality test. As a result of the analysis, various causality relationships were found between the variables. In particular, the copper variable has a reciprocal causality relationship with all of the gold, silver, palladium, and platinum variables. The most important conclusion reached is that gold has a limited relationship with silver and since there is no causal relationship with platinum and palladium, gold can be kept more in portfolios to be formed and it still remains a safe haven as an investment tool.
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