The relationships among the returns of investment instruments: a vector autoregressive approach for Turkey

Abstract

This paper that uses monthly data from 2003:M01 to 2016:M07 investigates the relationships among monthly real rates of return of stocks, USD, one-month deposits, and gold in Turkey by employing vector autoregressive (VAR) analysis. The findings of the paper indicate that while stocks seem to be a good investment instrument against USD and gold, USD is a good investment instrument against stocks and one-month deposits. Besides, gold is a plausible investment instrument against one-month deposits. Therefore, the paper yields that only stocks and USD are good investments instruments against each other in Turkey. In conclusion, the paper reveals that financial market participants in Turkey do not consider short-term fluctuations of returns of assets very much and that they may be interested in the long-run return of an asset.

Keywords

• Financial and non-financial assets
• return of financial investment instruments
• vector autoregressive analysis