Business & Management Studies: An International Journal

Yazarlar: Cumhur ŞAHİN

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Özet: 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.

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