Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi (Jun 2018)
KIYMETLİ MADENLERİN PORTFÖY ÇEŞİTLENDİRME KATKISI: BİST UYGULAMASI
Abstract
PORTFOLIO DIVERSIFICATION CONTRIBUTION OF PRECIOUS METAL: CASE OF BIST EXTENDED SUMMARY Research Purpose: In this study, it was researched diversification benefit of gold, platinum and silver (which are precious metals) for stock portfolio in Istanbul Stock Exchange (BIST). Literature Review: In literature it was pointed out that commodities and precious metals have negative correlations with stocks and they contribute to stocks portfolio in terms of diversification (Ermiş, 2010:22). Bodie and Rosansky (1980), Hillier et al. (2006), Erb and Harvey (2006), Ildırar and Iscan (2016), Buyuksahin et al. (2010) got results in this direction. Particularly, gold’s negative relationship with stocks increase during crisis periods and it limits losses at portfolio during these times. In empirical workings it was found results in this direction for developed and emerging countries and gold was described as safe haven. Aksoy and Topçu (2013) and Çitak (1998) also found that gold is safe haven for Istanbul Stock Exchange (BIST) investor. Methodology: BIST100 return index was used as representative of BIST stocks portfolio. Istanbul Gold Exchange gold spot price and London Metal Exchange silver and platinum spot price was used for precious metal prices. Data period is between 1999-April and 2018-April and data frequency is weekly. Risk free interest rate for every year is 90 days expiry treasury interest rate. In this study, firstly descriptive statistics (return, risk, Sharpe ratio and correlations) for BIST100 index, gold, silver and platinum are indicated. Later, it was indicated return, risk and performance (Sharpe ratio) of BIST100 index portfolios which include various weighted gold in terms of passive investing strategy. Results and Conclusions: Weekly returns of BIST100, gold, silver and platinum are respectively %0.47, %0.43, %0.39, %0.43; standard deviations are %4.75, %2.82, %4.08, %3.45 and Sharpe ratios are %6.2, %9.3, %6.4; %6.4. Also it was seen that there are negative correlations between BIST100 and three precious metals (respectively -0.30, -0.12 and -0.20). These findings point out a priori knowledge that diversifying stocks portfolios in BIST with precious metal is useful. Gold was added at different ratios to stock portfolios and it was seen that portfolio risk decreased and Sharpe ratio increased. It was found that optimal gold weight in stock portfolios is %67 and in this case stock portfolio Sharpe ratio increased roughly twice. Additionally negative correlation of gold with BIST100 increased during crisis periods. In these times, %30 being of gold in portfolio decreased losses %41, %40 being of gold in portfolio decreased losing %54. In the robustness part of working, beta coefficient of gold to BIST100 was found -0.18 and this negative beta coefficient increased to -0,31 during negative shocks. These findings confirmed that gold is safe haven for BIST investor.
