Kıymetli Metaller Arasındaki İlişkinin Portföy Çeşitlendirmesi Açısından İncelenmesi Fourier ARDL ve Fourier ADL Testlerinden Kanıtlar
The Investigating Relationship Between Precious Metals in Terms of Portfolio Diversity: Evidence from Fourier ARDL and Fourier ADL Tests
Anahtar Kelimeler:
Kıymetli Metaller, Portföy Çeşitlendirilmesi, Fourier Bootstrap ARDL Sınır Testi, Fourier Bootstrap ADL Testi.Özet
Bu çalışmada, kıymetli metallerden (altın, gümüş, platin, paladyum) oluşturulacak bir portföyde, bu varlıkların muhtemel çeşitlendirme özellikleri üzerine bir araştırma yapılmıştır. Bu doğrultuda, kıymetli metaller arasındaki eşbütünleşme ilişkileri 01.02.2010 – 01.05.2023 dönemine ait aylık veriler kullanılarak Fourier Bootstrap ARDL sınır testi ve Fourier Bootstrap ADL testi ile incelenmiştir. Fourier Bootstrap ARDL sınır testi ve Fourier Bootstrap ADL testinden elde edilen sonuçlara göre, kıymetli metallerin uzun dönemde birlikte hareket etmedikleri tespit edilmiştir. Daha açık bir ifadeyle incelenen kıymetli metaller arasında eşbütünleşme ilişkisinin bulunmadığı ortaya konulmuştur. Buna göre kıymetli metallerden oluşturulan bir sepet ile portföy çeşitlendirilmesi yapmak mümkün gözükmektedir.
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