AN ANALYSIS OF THE LONG-TERM ASYMMETRIC RELATIONSHIP BETWEEN GOLD PRICES, EXCHANGE RATES, YIELDS OF GOVERNMENT BOND, AND THE BIST100 INDEX

Abstract

This study examines the asymmetric effects of the gold price, the USD/TRY exchange rate, the corporate governance index, and the 10-year government bond yield on the BIST100 index, thus delving into the intricate web of financial markets. Using weekly data from September 2007 to September 2023, we employed the nonlinear ARDL model to examine the asymmetric effects of the variables on the BIST100 index. As a result, the nonlinear ARDL bound test proved the long-term cointegration between the BIST100 index and the explanatory variables used in the analysis. All asymmetric variables except the negative variable of gold price had statistically significant long-run effects on the BIST100 index. Government bond yields and gold price had negative effects on the stock index, while USD/TRY exchange rate and corporate governance index had positive effects on it. The Wald test's null hypothesis of no long-term asymmetries was rejected for government bond yields, the USD/TRY exchange rate, and the corporate governance index. On the other hand, the test for short-term asymmetry was rejected only for the corporate governance index. Accordingly, the corporate governance index has both short-term and long-term asymmetric effects on the BIST100 index, while government bond yields and the dollar exchange rate have only long-term asymmetric effects on it.